Strategies / Mean reversion / Rolling VWAP Oversold RSI Reversion

Rolling VWAP Oversold RSI Reversion

The strategy buys when the close falls below the lower band of a 20-bar rolling VWAP and RSI readings are oversold. Each trade exits at a 2% profit target or a 15% stop loss.

Mean reversionLong onlySwingSilver4 hours

n/aProfit factor

8,774Net profit USD

92.54%Win rate

67Trades

-5,072Max drawdown

131Avg trade

Best run of 34. Silver, 4 hours, spread 2, from run sweeps:2026-10-07-SILVER-4h-opt.tsv:9.

Entry rules, long

The highest open of the last 4 bars is more than 4% above the close.
The 20-bar CTI, a correlation of close with time, is below -0.8.
The 14-period RSI is below 35, and the 84- and 112-period RSIs are below 60.

Exit rules

The position closes at a 2% profit target or a 15% stop loss.

Test conditions

Period	Up to 2026-10-07
Instrument	Silver, 4 hours
Spread	2 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	2026-10-07

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
SilverBest run	4 hours	n/a	67	92.54	8,774 USD	-5,072
USD/JPY	4 hours	n/a	1	100.00	18,500 USD	-0.00
Nikkei 225	4 hours	n/a	11	100.00	7,588 USD	-3,845
Silver	3 min	n/a	8	100.00	7,099 USD	-5,872
Silver	2 min	n/a	8	100.00	7,001 USD	-3,905
Nasdaq 100	4 hours	n/a	12	100.00	3,031 EUR	-1,196
Dow Jones	1 hour	n/a	6	100.00	2,773 EUR	-2,379
EUR/USD	Daily	n/a	1	100.00	2,229 USD	-0.00
Brent Crude	4 hours	n/a	44	90.91	2,183 EUR	-1,974
Brent Crude	15 min	n/a	17	94.12	1,574 EUR	-499
Dow Jones	30 min	n/a	3	100.00	1,509 EUR	-846
Nikkei 225	10 min	n/a	2	100.00	1,227 USD	-0.00
Nikkei 225	5 min	n/a	2	100.00	1,227 USD	-243
US Crude Oil	15 min	n/a	36	91.67	1,195 EUR	-852
Nikkei 225	15 min	n/a	2	100.00	942 USD	-110
FTSE 100	4 hours	n/a	6	100.00	783 EUR	-496
Dow Jones	15 min	n/a	2	100.00	769 EUR	-1.50
Brent Crude	10 min	n/a	4	100.00	753 EUR	-23.00
Nasdaq 100	30 min	n/a	2	100.00	471 EUR	-440
GBP/USD	Daily	n/a	2	100.00	448 USD	-78.10
S&P 500	4 hours	n/a	7	100.00	423 EUR	-323
Gold	1 hour	n/a	10	90.00	308 EUR	-154
Nasdaq 100	15 min	n/a	2	100.00	272 EUR	-1.50
GBP/USD	30 min	n/a	1	100.00	269 USD	-206
GBP/USD	4 hours	n/a	1	100.00	232 USD	-170
GBP/USD	1 hour	n/a	1	100.00	208 USD	-66.30
Gold	30 min	n/a	3	100.00	200 EUR	-52.30
Brent Crude	3 min	n/a	1	100.00	170 EUR	-0.00
DAX 40	30 min	n/a	1	100.00	169 EUR	-0.00
S&P 500	30 min	n/a	2	100.00	141 EUR	-126
Gold	5 min	n/a	1	100.00	103 EUR	-82.70
Gold	2 min	n/a	1	100.00	103 EUR	-0.00
FTSE 100	30 min	n/a	1	100.00	99.40 EUR	-0.00
S&P 500	15 min	n/a	2	100.00	92.70 EUR	-0.50

Charts

Results by run

Top 10 of 34 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Rolling VWAP Oversold RSI Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

tp = (high + low + close) / 3
vt = volume * tp
num = Summation[20](vt)
den = Summation[20](volume)

40 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

VWAPStandard DeviationRSIVolume

Read this firstKnown weaknesses3 points

No profit factor is available, because only sweep results exist for this strategy.
The best run has only 67 trades, which is a small sample to judge it on.
The maximum drawdown of 5,072 USD is large next to the net profit of 8,774 USD.

Questions

About this strategy

Can I run Rolling VWAP Oversold RSI Reversion 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 34 market and timeframe combinations. The best run by trade count was Silver, 4 hours, with 67 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,072 USD at the tested position size, against a net result of 8,774 USD.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

SMA Crossover With RSI Exit

Best run on the same market, Silver.

2.13 PF · 8,999 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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

Join the ProRealAlgos Community

Sign up is paused. All spots are currently filled.Leave your email and we’ll reach out as slots open.

When are you looking to start?

Within 6 months 6–12 months Just exploring