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Strategies / Mean reversion / RSI Filter With Unit Band Exits

RSI Filter With Unit Band Exits

Buys after two closes that did not rise, when RSI(200) is above 51. Closes the long when price moves 1 unit above the entry or 2 units below, where the unit is a 100-bar average of 2 times the 50-bar standard deviation.

Mean reversionLong onlySwingNasdaq 100Daily
2.58Profit factor
26,188Net profit EUR
82.18%Win rate
174Trades
-4,767Max drawdown
151Avg trade

Best run of 33. Nasdaq 100, Daily, spread 3, from run pf:2026-10-12-NAS100-D.tsv:7.

Entry rules, long

  1. RSI(200) is above 51 on the current bar.
  3. Entries start after bar 200 and only when flat.

Exit rules

  2. The long also closes when the close is more than 2 units below the entry price.
  3. The unit is a 100-bar average of 2 times the 50-bar standard deviation of close, recalculated each bar.

Test conditions

PeriodUp to 2026-10-12
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily2.58 17482.1826,188 EUR-4,767
Gold4 hours1.43 31370.612,928 EUR-644
USD/JPYDailyn/a 11273.21781,350 USD-445,800
Silver1 hourn/a 89167.68596,028 USD-568,944
USD/JPY10 minn/a 1,75367.48169,170 USD-167,720
EUR/USDDailyn/a 8771.2668,826 USD-39,850
Nikkei 225Dailyn/a 12074.1751,799 USD-14,158
EUR/USD15 minn/a 1,37762.2435,744 USD-29,588
Dow JonesDailyn/a 18975.6626,196 EUR-10,808
Nikkei 2254 hoursn/a 24569.3924,063 USD-11,471
Nikkei 2251 hourn/a 84166.3522,063 USD-10,169
Nikkei 22510 minn/a 1,62466.1919,164 USD-6,979
Silver4 hoursn/a 23768.7819,024 USD-18,505
Dow Jones30 minn/a 70366.5714,274 EUR-4,165
Nasdaq 1004 hoursn/a 37073.2413,576 EUR-5,308
Dow Jones1 hourn/a 36567.4012,837 EUR-5,223
DAX 40Dailyn/a 17574.8611,457 EUR-5,195
Dow Jones4 hoursn/a 11769.2311,014 EUR-4,658
Nikkei 22515 minn/a 1,62165.2710,895 USD-10,135
Nikkei 22530 minn/a 1,62764.0410,618 USD-10,442
Nasdaq 1001 hourn/a 1,20568.306,228 EUR-6,050
Nasdaq 10030 minn/a 1,82366.765,367 EUR-4,795
Nasdaq 10015 minn/a 1,76066.314,821 EUR-3,953
S&P 500Dailyn/a 19278.124,711 EUR-1,314
DAX 404 hoursn/a 31667.724,488 EUR-4,391
DAX 4015 minn/a 1,70165.313,427 EUR-3,139
S&P 5004 hoursn/a 35572.393,143 EUR-1,059
GoldDailyn/a 13979.143,134 EUR-1,183
Nasdaq 1002 minn/a 1,77766.012,854 EUR-2,345
S&P 50030 minn/a 1,79066.591,575 EUR-677
S&P 50015 minn/a 1,76865.33911 EUR-701
Gold5 minn/a 1,77265.74829 EUR-522
Gold3 minn/a 1,61165.30597 EUR-538

Charts

Results by run

Top 10 of 33 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 Filter With Unit Band Exits
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[200](close)
unit = Average[100](2 * STD[50](close))

11 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

RSISMAStandard 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 Filter With Unit Band Exits 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 33 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 2.58 over 174 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,767 EUR at the tested position size, against a net result of 26,188 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