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Strategies / Mean reversion / RSI Crossover With Regression Bands

RSI Crossover With Regression Bands

Buys one contract when RSI(14) crosses above 40 or the close crosses back above a lower regression band. Sells when RSI(14) crosses below 65 or the close crosses below the upper band.

Mean reversionLong onlySwingS&P 500Daily
3.22Profit factor
4,971Net profit EUR
74.23%Win rate
163Trades
-1,103Max drawdown
30.49Avg trade

Best run of 23. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:9.

Entry rules, long

  2. The lower band is the 2646-bar linear regression of close minus its standard deviation, and band crosses are checked only after bar 2650.

Exit rules

  2. Or the close crosses below the upper band, the 2646-bar linear regression of close plus its standard deviation.

Test conditions

PeriodUp to 2026-10-12
InstrumentS&P 500, Daily
Spread1 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
S&P 500Best runDaily3.22 16374.234,971 EUR-1,103
S&P 5001 hour1.31 1,34565.284,493 EUR-1,065
Dow JonesDailyn/a 16172.0534,405 EUR-8,834
Nikkei 22530 minn/a 2,10960.3127,850 USD-13,993
Nikkei 2254 hoursn/a 28066.0727,018 USD-10,695
Nikkei 2251 hourn/a 1,04461.8817,486 USD-11,778
Nasdaq 1004 hoursn/a 34571.3016,431 EUR-6,388
DAX 40Dailyn/a 14674.6616,390 EUR-5,511
Dow Jones15 minn/a 1,71164.0015,769 EUR-8,565
Nasdaq 10015 minn/a 2,08565.0414,423 EUR-6,471
Nikkei 22515 minn/a 2,14459.7013,597 USD-13,135
Dow Jones4 hoursn/a 12270.4913,301 EUR-11,208
Nasdaq 1001 hourn/a 1,33463.4913,092 EUR-4,880
Dow Jones1 hourn/a 43365.5912,642 EUR-7,915
DAX 404 hoursn/a 36466.2111,863 EUR-6,549
Nasdaq 10030 minn/a 2,07163.9810,706 EUR-5,973
Nasdaq 100Dailyn/a 12564.809,520 EUR-6,239
FTSE 100Dailyn/a 13769.347,401 EUR-4,290
S&P 5004 hoursn/a 36372.184,650 EUR-1,240
S&P 50030 minn/a 2,07864.733,552 EUR-1,204
S&P 50015 minn/a 2,06163.852,182 EUR-1,496
GoldDailyn/a 14163.121,614 EUR-855
Gold4 hoursn/a 33563.281,280 EUR-1,129

Charts

Results by run

Top 10 of 23 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 Regression Bands
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[14](close)
lin = LinearRegression[2646](close)
sd = STD[2646](close)
upper = lin + sd
lower = lin - sd

15 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

RSILinear RegressionStandard Deviation
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 Crossover With Regression Bands 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 23 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 3.22 over 163 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,103 EUR at the tested position size, against a net result of 4,971 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Lower Band Cross Long

Also a mean reversion strategy.

3.21 PF · 164 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