Strategies / Mean reversion / Regime Filtered RSI Dip

Regime Filtered RSI Dip

The strategy buys when price is below the 60-period and 120-period EMAs, minus DI is above its average, and RSI is not falling, within one of four trend regimes. It sells on exhaustion signals, with a 50% stop and a 100% target.

Mean reversionLong onlySwingS&P 5004 hours

3.57Profit factor

3,461Net profit EUR

79.00%Win rate

100Trades

-757Max drawdown

34.61Avg trade

Best run of 25. S&P 500, 4 hours, spread 1, from run pf:2026-10-05-USA500-4h.tsv:4.

Entry rules, long

The close is below both the 60-period EMA and the 120-period EMA
The 14-period minus DI is above its 25-period EMA
The 5-period RSI is not lower than its previous bar value
No exit condition is true on the same bar
No long position is currently open

Exit rules

The close is above the 120-period EMA, with the 5-period RSI EMA at or above 75 or the close above the 240-period SMA
The close is above the 120-period EMA, ADX is above 30, and the 5-period RSI EMA is at or above 80, in an uptrend regime
The 240-period SMA is not rising and its slope is slowing, with the 5-period RSI EMA at or above 75
The minus DI is below plus DI while the close is above the 60-period EMA
A stop loss sits 50% below and a profit target 100% above the entry price

Test conditions

Period	Up to 2026-10-05
Instrument	S&P 500, 4 hours
Spread	1 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	4 hours	3.57	100	79.00	3,461 EUR	-757
Nasdaq 100	1 hour	1.89	365	66.85	11,891 EUR	-1,594
USD/JPY	4 hours	n/a	99	66.67	326,500 USD	-163,190
Nikkei 225	1 hour	n/a	262	61.83	14,730 USD	-6,267
Silver	4 hours	n/a	102	63.73	14,599 USD	-11,675
Dow Jones	4 hours	n/a	38	71.05	14,376 EUR	-5,000
Silver	5 min	n/a	392	66.07	14,276 USD	-7,901
Nikkei 225	Daily	n/a	18	66.67	13,220 USD	-10,836
Dow Jones	1 hour	n/a	103	63.11	11,099 EUR	-4,937
Dow Jones	Daily	n/a	21	71.43	10,041 EUR	-8,615
Silver	3 min	n/a	391	65.73	9,113 USD	-7,295
DAX 40	1 hour	n/a	310	64.84	9,001 EUR	-2,604
Nasdaq 100	30 min	n/a	451	61.86	7,136 EUR	-3,050
EUR/USD	10 min	n/a	371	64.96	6,658 USD	-5,079
DAX 40	Daily	n/a	21	57.14	5,544 EUR	-3,520
Nasdaq 100	Daily	n/a	18	66.67	5,518 EUR	-3,611
Dow Jones	30 min	n/a	209	65.07	5,176 EUR	-4,700
FTSE 100	Daily	n/a	24	83.33	4,273 EUR	-2,081
EUR/USD	5 min	n/a	374	62.83	4,165 USD	-3,423
Brent Crude	2 min	n/a	419	62.77	3,029 EUR	-956
Dow Jones	2 min	n/a	357	64.71	2,847 EUR	-1,825
Brent Crude	10 min	n/a	444	61.94	2,309 EUR	-1,869
S&P 500	1 hour	n/a	346	62.72	2,076 EUR	-545
S&P 500	30 min	n/a	451	59.20	1,113 EUR	-944
Gold	2 min	n/a	340	65.00	709 EUR	-333

Charts

Results by run

Top 10 of 25 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Regime Filtered RSI Dip
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[5](close)
emarsi = ExponentialAverage[5](myRsi)
myAdx = ADX[14]
minusdi = DIminus[14](close)
plusdi = DIplus[14](close)
minusdiema = ExponentialAverage[25](minusdi)
lowsma = ExponentialAverage[60](close)
highsma = ExponentialAverage[120](close)
fastsma = Average[120](close)
slowsma = Average[240](close)

35 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

RSIEMAADXDMISMA

Longer historyRe-run on up to 1,000,000 barsS&P 500 · 4 hours · older data 0.00 EUR

S&P 500 had no history beyond the standard run, so both runs used 28,000 bars.

S&P 500 · 4 hours

Bars available	28,000
Net, standard 200,000-bar run	3,460.68 EUR
Net, long run	3,460.68 EUR
Net on the older data alone	0.00 EUR

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Regime Filtered RSI Dip in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 25 market and timeframe combinations. The best run was S&P 500, 4 hours, with a profit factor of 3.57 over 100 trades.

How large was the drawdown?

The best run had a maximum drawdown of 757 EUR at the tested position size, against a net result of 3,461 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Regime RSI Dip With 25% Stop

Also a mean reversion strategy.

3.57 PF · 100 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs