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Strategies / Momentum / Reversal With Ergodic TSI

Reversal With Ergodic TSI

Buys when a reversal pattern on closing prices and the Ergodic TSI above its own 3-period EMA both point up, and sells short when both point down. Any open position is closed when the two signals disagree.

MomentumLong & shortSwingSilver4 hours
n/aProfit factor
33,273Net profit USD
35.24%Win rate
2,276Trades
-9,949Max drawdown
14.62Avg trade

Best run of 5. Silver, 4 hours, spread 2, from run sweeps:2026-10-12-SILVER-4h-opt.tsv:8.

Entry rules, long

  2. TSI state is +1 when the Ergodic TSI is above its 3-period EMA, and -1 when it is below.
  3. The Ergodic TSI is built from EMAs of close changes, with signed changes scaled by 100 against absolute changes.
  4. The system buys one contract at market when both states are +1.

Entry rules, short

  2. TSI state is -1 when the Ergodic TSI is below its 3-period EMA.
  3. The system sells short one contract at market when both states are -1.

Exit rules

  2. A short closes when the two states no longer both point down.
  3. There is no stop or target.

Test conditions

PeriodUp to 2026-10-12
InstrumentSilver, 4 hours
Spread2 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
SilverBest run4 hoursn/a 2,27635.2433,273 USD-9,949
USD/JPYDailyn/a 1,01637.401,280,130 USD-419,900
Brent CrudeDailyn/a 39339.4411,235 EUR-4,840
Gold4 hoursn/a 2,27537.581,751 EUR-817
GoldDailyn/a 1,00336.991,476 EUR-1,096

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal With Ergodic TSI
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE sincebad = 1000
ONCE postwo = 0

ll = lowest[14](low)
hh = highest[14](high)

62 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. 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".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

EMASMAStochastic
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Reversal With Ergodic TSI 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 5 market and timeframe combinations. The best run by trade count was Silver, 4 hours, with 2,276 trades.

How large was the drawdown?

The best run had a maximum drawdown of 9,949 USD at the tested position size, against a net result of 33,273 USD.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs