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Strategies / Mean reversion / RSI Falling Streak Reversion

RSI Falling Streak Reversion

The strategy buys after the 2-period RSI has fallen for several bars and dropped below 10, provided the close is above its 200-bar average. It sells at market when that RSI rises above 70.

Mean reversionLong onlySwingNasdaq 100Daily
4.80Profit factor
5,136Net profit EUR
72.88%Win rate
118Trades
-1,063Max drawdown
43.52Avg trade

Best run of 9. Nasdaq 100, Daily, spread 3, from run pf:2026-10-11-NAS100-D.tsv:3.

Entry rules, long

  1. The close is above the 200-bar simple moving average.
  2. The 2-period RSI falls on two consecutive bars, and the reading two bars back is above 60.
  4. A long position opens at market when all conditions hold and no long position is open.

Exit rules

  1. A long position closes at market when the 2-period RSI rises above 70.

Test conditions

PeriodUp to 2026-10-11
InstrumentNasdaq 100, 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily4.80 11872.885,136 EUR-1,063
S&P 500Daily2.99 17367.051,497 EUR-296
USD/JPYDailyn/a 10165.35207,240 USD-187,530
USD/JPY15 minn/a 1,14066.3278,210 USD-46,240
Dow JonesDailyn/a 14269.7210,670 EUR-4,807
Nasdaq 1004 hoursn/a 33665.483,820 EUR-1,139
Dow Jones30 minn/a 56864.963,216 EUR-1,854
DAX 40Dailyn/a 14264.792,520 EUR-1,827
FTSE 100Dailyn/a 11170.271,853 EUR-1,024

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// RSI Falling Streak Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

sma = Average[200](close)
myRsi = RSI[2](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

RSISMA
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available10,000
Net, standard 200,000-bar run5,135.90 EUR
Net, long run5,135.90 EUR
Net on the older data alone0.00 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 Falling Streak Reversion 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 9 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 4.80 over 118 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,063 EUR at the tested position size, against a net result of 5,136 EUR.

Does it trade long, short or both?

It only takes long 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