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Strategies / Mean reversion / RSI EMA Percent B Reversal

RSI EMA Percent B Reversal

Buys when the position of a smoothed RSI oscillator inside its own Bollinger Bands rises back above 0.2. Sells short when that position falls back below 0.8 from above, and closes trades when it moves back through 0.2 or 0.8.

Mean reversionLong & shortSwingUSD/JPY1 hour
n/aProfit factor
761,600Net profit USD
48.38%Win rate
2,164Trades
-497,670Max drawdown
352Avg trade

Best run of 6. USD/JPY, 1 hour, spread 1, from run sweeps:2026-10-11-USDJPY-1h-opt.tsv:34.

Entry rules, long

  1. The %b position of the 28-period EMA of RSI(14) inside its 80-period Bollinger Bands (3 standard deviations) rises from below 0.2 to above 0.2.

Entry rules, short

  1. The same %b position falls from above 0.8 to below 0.8.

Exit rules

  2. No stop loss or profit target is set.

Test conditions

PeriodUp to 2026-10-11
InstrumentUSD/JPY, 1 hour
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run1 hourn/a 2,16448.38761,600 USD-497,670
Dow JonesDailyn/a 22050.4525,255 EUR-10,463
GBP/USDDailyn/a 22751.989,204 USD-7,363
Nasdaq 100Dailyn/a 18545.418,593 EUR-6,926
FTSE 100Dailyn/a 17751.986,701 EUR-4,904
S&P 5004 hoursn/a 50149.101,412 EUR-1,395

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI EMA Percent B Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE pb = 0.5

osc = ExponentialAverage[28](RSI[14](close))
basis = Average[80](osc)
sd = STD[80](osc)
upper = basis + 3 * sd
lower = basis - 3 * sd

21 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

RSIEMABollinger Bands
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 497,670 USD is large next to the net profit of 761,600 USD.

Questions

About this strategy

Can I run RSI EMA Percent B Reversal 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 6 market and timeframe combinations. The best run by trade count was USD/JPY, 1 hour, with 2,164 trades.

How large was the drawdown?

The best run had a maximum drawdown of 497,670 USD at the tested position size, against a net result of 761,600 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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ATR Band

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

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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