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Strategies / Mean reversion / RSI Crossover With ATR Stop

RSI Crossover With ATR Stop

Buys one contract when RSI(14) crosses above its 14-period SMA from below 35, a possible rebound from oversold. Each trade has a stop below the signal bar low and a target at four times that risk.

Mean reversionLong onlySwingDow JonesDaily
2.50Profit factor
37,654Net profit EUR
30.08%Win rate
133Trades
-6,593Max drawdown
283Avg trade

Best run of 15. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:7.

Entry rules, long

  2. The RSI(14) on the previous bar was below 35.
  3. A long is opened at market only when no position is open. Entries are checked only after bar 40.

Exit rules

  2. The profit target is 4 times the stop distance above the signal bar close.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, Daily
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest runDaily2.50 13330.0837,654 EUR-6,593
USD/JPYDaily2.08 22431.2533,320 USD-3,880
Nikkei 22530 minn/a 2,20519.6424,572 USD-11,184
Nasdaq 100Dailyn/a 8528.2421,402 EUR-7,028
Nikkei 2254 hoursn/a 23123.3820,197 USD-8,073
Nikkei 22510 minn/a 2,18017.8014,500 USD-14,489
Nikkei 22515 minn/a 2,24618.7414,496 USD-12,733
DAX 404 hoursn/a 33824.5613,777 EUR-3,665
SilverDailyn/a 11726.5010,355 USD-7,153
Nasdaq 1004 hoursn/a 31722.718,270 EUR-6,201
DAX 40Dailyn/a 15218.428,177 EUR-6,532
Brent Crude4 hoursn/a 21223.116,656 EUR-4,165
S&P 500Dailyn/a 13421.643,284 EUR-1,112
Gold4 hoursn/a 35423.451,829 EUR-745
Gold1 hourn/a 1,32919.641,199 EUR-497

Charts

Results by run

Top 10 of 15 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 Crossover With ATR Stop
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[14](close)
rsima = Average[14](myRsi)
myAtr = AverageTrueRange[14](close)

10 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

RSISMAATR
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 RSI Crossover With ATR Stop 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 15 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.50 over 133 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,593 EUR at the tested position size, against a net result of 37,654 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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

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