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Strategies / Mean reversion / RSI Dip With Trend Filter

RSI Dip With Trend Filter

The strategy buys when the 14-period RSI is below 30 and the 10-period EMA is above the 100-period EMA. It sells at market when the RSI rises above 70 or the close falls below 0.97 times the entry signal close.

Mean reversionLong onlyIntradayDow Jones5 min
n/aProfit factor
6,804Net profit EUR
68.69%Win rate
313Trades
-3,005Max drawdown
21.74Avg trade

Best run of 20. Dow Jones, 5 min, spread 3, from run sweeps:2026-10-04-DOW30-5m-opt.tsv:24.

Entry rules, long

  2. The 10-period EMA is above the 100-period EMA
  3. No long position is currently open

Exit rules

  2. The close falls below 0.97 times the close of the entry signal bar

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, 5 minutes
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run5 minn/a 31368.696,804 EUR-3,005
Dow JonesDailyn/a 2454.1717,153 EUR-4,410
Silver15 minn/a 23767.0916,005 USD-7,279
Silver10 minn/a 27466.4212,547 USD-6,671
EUR/USD15 minn/a 23659.3210,059 USD-5,424
Nikkei 2254 hoursn/a 4751.069,347 USD-8,143
FTSE 100Dailyn/a 2161.904,261 EUR-699
GBP/USDDailyn/a 2060.004,047 USD-1,687
Nasdaq 1004 hoursn/a 8259.763,926 EUR-2,693
Nasdaq 100Dailyn/a 2540.003,780 EUR-1,507
Nasdaq 1001 minn/a 22869.303,619 EUR-993
Dow Jones2 minn/a 22564.442,894 EUR-2,047
DAX 405 minn/a 28068.932,093 EUR-2,030
GBP/USD15 minn/a 25964.091,664 USD-1,351
S&P 5004 hoursn/a 7265.281,144 EUR-634
S&P 500Dailyn/a 2548.00947 EUR-264
GBP/USD10 minn/a 22068.18940 USD-586
Gold4 hoursn/a 5660.71704 EUR-432
Gold2 minn/a 18965.61620 EUR-265
S&P 5001 minn/a 17566.29438 EUR-210

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI Dip With Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE ref = 0

myRsi = RSI[14](close)
fast = ExponentialAverage[10](close)
slow = ExponentialAverage[100](close)

12 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

RSIEMA
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 Dip With Trend Filter 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 20 market and timeframe combinations. The best run by trade count was Dow Jones, 5 minutes, with 313 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,005 EUR at the tested position size, against a net result of 6,804 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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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