Strategies / Mean reversion / RSI Extremes With EMA Filter

RSI Extremes With EMA Filter

Buys 1 contract when the 14 period RSI falls below 30 while the 150 period EMA is above the 600 period EMA, and sells short when the RSI rises above 70 under the same filter. Exits on the opposite RSI extreme.

Mean reversionLong & shortSwingDow JonesDaily

2.75Profit factor

50,347Net profit EUR

72.00%Win rate

100Trades

-9,477Max drawdown

503Avg trade

Best run of 15. Dow Jones, Daily, spread 3, from run pf:2026-10-04-DOW30-D.tsv:11.

Entry rules, long

Any open short is reversed into a long on this signal.

Entry rules, short

Any open long is reversed into a short on this signal.

Exit rules

The 14 period RSI is below 30 while the 150 period EMA is at or below the 600 period EMA, closing the short.

Test conditions

Period	Up to 2026-10-04
Instrument	Dow Jones, Daily
Spread	3 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	Daily	2.75	100	72.00	50,347 EUR	-9,477
FTSE 100	5 min	1.31	1,078	67.07	3,909 EUR	-689
EUR/USD	10 min	n/a	821	62.97	64,652 USD	-27,877
Nikkei 225	4 hours	n/a	169	69.82	34,569 USD	-12,925
DAX 40	Daily	n/a	92	58.70	14,632 EUR	-8,788
Dow Jones	4 hours	n/a	80	68.75	14,482 EUR	-14,287
DAX 40	4 hours	n/a	227	66.96	12,480 EUR	-5,392
Nasdaq 100	4 hours	n/a	275	66.55	11,904 EUR	-4,834
FTSE 100	Daily	n/a	70	74.29	8,555 EUR	-4,740
Dow Jones	1 min	n/a	865	66.13	7,639 EUR	-2,618
FTSE 100	4 hours	n/a	180	64.44	5,640 EUR	-2,764
FTSE 100	1 hour	n/a	646	64.24	3,911 EUR	-2,512
DAX 40	1 min	n/a	838	64.20	2,409 EUR	-1,549
S&P 500	4 hours	n/a	227	66.52	1,734 EUR	-1,298
S&P 500	1 hour	n/a	833	62.67	1,238 EUR	-1,183

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 Extremes With EMA Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[14](close)
emafast = ExponentialAverage[150](close)
emaslow = ExponentialAverage[600](close)

21 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

EMARSI

Longer historyRe-run on up to 1,000,000 barsFTSE 100 · 5 min · older data 456.70 EUR

On the long run with 940,000 bars the net result was 4,366 EUR, against 3,909 EUR on the standard 200,000-bar run. The older data alone gave 457 EUR.

FTSE 100 · 5 min

Bars available	940,000
Net, standard 200,000-bar run	3,908.80 EUR
Net, long run	4,365.50 EUR
Net on the older data alone	456.70 EUR

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 Extremes With EMA 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 15 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.75 over 100 trades.

How large was the drawdown?

The best run had a maximum drawdown of 9,476 EUR at the tested position size, against a net result of 50,347 EUR.

Does it trade long, short or both?

It trades both long and short.

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

Rate of Change Band Reversion

Also a mean reversion strategy.

2.76 PF · 189 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.com Stats Docs