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Strategies / Mean reversion / RSI CCI Z Score Band

RSI CCI Z Score Band

Combines z-scores of the 14 period RSI and 14 period CCI into one line, then trades its crossings of a 14 period band. Buys when the line crosses over the lower band and sells when it crosses under the upper band, long only.

Mean reversionLong onlySwingNasdaq 1004 hours
n/aProfit factor
12,814Net profit EUR
59.07%Win rate
1,383Trades
-4,546Max drawdown
9.27Avg trade

Best run of 7. Nasdaq 100, 4 hours, spread 3, from run sweeps:2026-10-11-NAS100-4h-opt.tsv:22.

Entry rules, long

Exit rules

  1. The blended line crosses under the upper band, which is the 14 period average plus one standard deviation

Test conditions

PeriodUp to 2026-10-11
InstrumentNasdaq 100, 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run4 hoursn/a 1,38359.0712,814 EUR-4,546
Dow JonesDailyn/a 59261.9919,192 EUR-8,913
DAX 404 hoursn/a 1,30959.4316,713 EUR-4,193
Nasdaq 100Dailyn/a 45860.2614,821 EUR-4,863
US Crude OilDailyn/a 49657.468,838 EUR-8,102
S&P 500Dailyn/a 62761.243,966 EUR-1,027
S&P 5004 hoursn/a 1,38159.883,178 EUR-869

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI CCI Z Score Band
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE comb = 0

myRsi = RSI[14](close)
ma = Average[14](close)
myMd = 0
FOR myJ = 0 TO 13 DO
    myMd = myMd + ABS(close[myJ] - ma)
NEXT
myMd = myMd / 14

26 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

RSICCIStandard DeviationSMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run RSI CCI Z Score Band 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 7 market and timeframe combinations. The best run by trade count was Nasdaq 100, 4 hours, with 1,383 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,546 EUR at the tested position size, against a net result of 12,814 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Volatility Spike Regression Long

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1.22 PF · 1,850 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

Copy trading on US indices is available to ProRealAlgos members as spots open.

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