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Strategies / Mean reversion / RSI Armed SMA Cross

RSI Armed SMA Cross

Arms a buy after the 14 period RSI crosses under 31 and enters long when the close crosses above the 120 period average. Arms a sell after the RSI crosses over 69 and closes the long when the close crosses under that average.

Mean reversionLong onlySwingDAX 404 hours
2.00Profit factor
14,995Net profit EUR
42.86%Win rate
175Trades
-3,688Max drawdown
85.69Avg trade

Best run of 39. DAX 40, 4 hours, spread 3, from run pf:2026-10-12-DAX40-4h.tsv:9.

Entry rules, long

  1. The 14 period RSI has crossed under 31 and the buy has not yet been triggered

Exit rules

  1. A sell is armed once the 14 period RSI crosses over 69

Test conditions

PeriodUp to 2026-10-13
InstrumentDAX 40, 4 hours
Spread3 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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best run4 hours2.00 17542.8614,995 EUR-3,688
Nasdaq 10030 min1.49 97838.4518,229 EUR-2,639
USD/JPY4 hoursn/a 19336.79340,670 USD-297,320
USD/JPY15 minn/a 93233.05292,390 USD-162,330
USD/JPY30 minn/a 95232.14243,380 USD-160,710
Nikkei 2254 hoursn/a 14242.2531,449 USD-9,896
SilverDailyn/a 7035.7125,946 USD-25,287
Dow JonesDailyn/a 7549.3325,848 EUR-7,472
Nikkei 2251 hourn/a 49635.4820,564 USD-9,189
Nikkei 2252 minn/a 89733.8920,206 USD-7,932
Nasdaq 1004 hoursn/a 17548.0018,997 EUR-5,020
Nikkei 2253 minn/a 93733.7218,626 USD-10,092
Dow Jones10 minn/a 99732.0015,939 EUR-5,168
Nikkei 22510 minn/a 99230.5415,690 USD-10,537
Dow Jones4 hoursn/a 5750.8815,271 EUR-8,317
Nasdaq 1001 hourn/a 67034.4814,789 EUR-4,216
Nikkei 2255 minn/a 98932.4614,142 USD-10,768
Nikkei 22530 minn/a 97830.7812,581 USD-12,027
Dow Jones5 minn/a 94632.6610,976 EUR-2,957
Nasdaq 100Dailyn/a 5147.0610,649 EUR-5,027
DAX 4030 minn/a 1,03634.0710,015 EUR-4,743
Dow Jones30 minn/a 42236.269,830 EUR-7,424
DAX 401 hourn/a 60639.448,778 EUR-5,547
Nasdaq 1003 minn/a 91034.737,616 EUR-2,651
US Crude OilDailyn/a 5437.047,372 EUR-5,274
DAX 4015 minn/a 98532.597,229 EUR-3,885
DAX 40Dailyn/a 6847.066,528 EUR-4,946
GBP/USDDailyn/a 6235.486,436 USD-6,008
Nasdaq 1005 minn/a 93034.735,887 EUR-4,695
Nasdaq 1001 minn/a 86331.175,315 EUR-1,707
S&P 5004 hoursn/a 17642.053,779 EUR-1,412
Nasdaq 1002 minn/a 86532.723,389 EUR-2,724
S&P 500Dailyn/a 6648.482,712 EUR-898
S&P 50030 minn/a 96638.302,149 EUR-742
GoldDailyn/a 6440.622,094 EUR-1,729
Gold5 minn/a 92833.731,918 EUR-521
S&P 5001 hourn/a 65637.351,791 EUR-1,112
S&P 5005 minn/a 89734.561,464 EUR-696
Gold30 minn/a 91832.571,219 EUR-1,149

Charts

Results by run

Top 10 of 39 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

// ==============================================================
// RSI Armed SMA Cross
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE oswait = 0
ONCE obwait = 0

myRsi = RSI[14](close)
sma = Average[120](close)

22 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

RSISMA
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run RSI Armed SMA Cross 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 39 market and timeframe combinations. The best run was DAX 40, 4 hours, with a profit factor of 2.00 over 175 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,688 EUR at the tested position size, against a net result of 14,995 EUR.

Does it trade long, short or both?

It only takes long 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.comStatsDocs