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Strategies / Mean reversion / RSI Mean Reversion Close Stop

RSI Mean Reversion Close Stop

Buys when RSI(14) falls to 30 or below while flat. Exits at market when RSI(14) reaches 70 or when a bar low falls to 0.98 times the signal-bar close.

Mean reversionLong onlySwingDow JonesDaily
2.95Profit factor
44,048Net profit EUR
28.07%Win rate
171Trades
-6,390Max drawdown
258Avg trade

Best run of 32. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:26.

Entry rules, long

  2. Signals are considered only after the first 14 bars.

Exit rules

  2. A bar low at or below 0.98 times the signal-bar close closes the long at market, with no resting stop order.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, 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
Dow JonesBest runDaily2.95 17128.0744,048 EUR-6,390
FTSE 1005 min1.39 83267.794,037 EUR-928
FTSE 10010 min1.26 82667.924,316 EUR-846
EUR/USD10 minn/a 74562.4232,384 USD-10,499
Nikkei 22515 minn/a 1,04662.8124,400 USD-14,502
Nikkei 2254 hoursn/a 26235.8816,826 USD-7,906
Nikkei 2251 hourn/a 71352.7316,766 USD-10,940
Nikkei 22530 minn/a 1,19259.4814,391 USD-10,480
Dow Jones1 hourn/a 29759.2614,026 EUR-7,563
Nasdaq 100Dailyn/a 10837.0411,488 EUR-3,262
Nikkei 22510 minn/a 98363.6810,901 USD-10,710
Dow Jones30 minn/a 47562.119,898 EUR-8,343
Dow Jones15 minn/a 78963.249,119 EUR-7,696
DAX 40Dailyn/a 18930.697,989 EUR-3,036
DAX 401 hourn/a 86551.917,803 EUR-6,770
Dow Jones10 minn/a 86866.137,655 EUR-5,946
Nasdaq 1004 hoursn/a 34040.296,817 EUR-6,151
DAX 404 hoursn/a 34034.126,300 EUR-3,869
Nasdaq 10010 minn/a 98764.745,722 EUR-4,248
DAX 4010 minn/a 88765.285,641 EUR-3,669
US Crude OilDailyn/a 24727.945,612 EUR-5,449
Dow Jones1 minn/a 68766.965,136 EUR-3,321
Dow Jones3 minn/a 76965.285,053 EUR-4,923
FTSE 100Dailyn/a 11227.684,051 EUR-2,038
FTSE 10030 minn/a 1,03063.403,980 EUR-2,835
S&P 500Dailyn/a 17525.142,441 EUR-648
S&P 5004 hoursn/a 28842.362,330 EUR-1,112
S&P 50030 minn/a 1,04162.822,283 EUR-1,016
S&P 50010 minn/a 88665.802,033 EUR-1,057
S&P 50015 minn/a 94564.871,427 EUR-1,159
GBP/USD5 minn/a 74764.791,301 USD-813
S&P 5001 minn/a 60667.16679 EUR-348

Charts

Results by run

Top 10 of 32 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 Mean Reversion Close Stop
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE slprice = 0

myRsi = RSI[14](close)

IF LongOnMarket THEN

10 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

RSI
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run RSI Mean Reversion Close Stop 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 32 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.95 over 171 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,390 EUR at the tested position size, against a net result of 44,048 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Uses the same indicator.

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Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

Triple Extreme Reversion

Also a mean reversion strategy.

2.95 PF · 152 trades

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

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