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Strategies / Momentum / RSI Momentum with Moving Average Exit

RSI Momentum with Moving Average Exit

The system buys when RSI rises above 70 and sells short when RSI falls below 30, provided volatility is not contracting. Positions close when price crosses back through the 50-period average.

MomentumLong & shortSwingUSD/JPYDaily
1.78Profit factor
2,016,800Net profit USD
44.31%Win rate
167Trades
-481,100Max drawdown
12,077Avg trade

Best run of 13. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:60.

Entry rules, long

  1. After bar 50, RSI (14) is above 70 and the 20-period standard deviation is not lower than on the previous bar.

Entry rules, short

  1. After bar 50, RSI (14) is below 30 and the 20-period standard deviation is not lower than on the previous bar.

Exit rules

  2. A short closes when the close rises above the 50-period average, unless a long signal is also present.

Test conditions

PeriodUp to 2026-10-13
InstrumentUSD/JPY, Daily
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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily1.78 16744.312,016,800 USD-481,100
USD/JPY30 min1.13 2,51638.08629,680 USD-151,605
EUR/USDDailyn/a 15346.4188,605 USD-52,555
Silver4 hoursn/a 42641.3140,064 USD-10,366
Nikkei 225Dailyn/a 14244.3734,421 USD-11,739
Silver30 minn/a 2,39635.5220,115 USD-18,113
GBP/USDDailyn/a 16136.0214,424 USD-5,312
Nikkei 2252 minn/a 2,41333.869,940 USD-7,561
Nikkei 2253 minn/a 2,46234.169,521 USD-9,231
Nasdaq 100Dailyn/a 14134.045,770 EUR-4,623
GoldDailyn/a 17634.661,912 EUR-850
Gold30 minn/a 2,48137.481,858 EUR-704
Gold1 hourn/a 1,64039.391,390 EUR-1,214

Charts

Results by run

Top 10 of 13 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 Momentum with Moving Average Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[14](close)
ma = Average[50](close)
sd = STD[20](close)

22 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 Momentum with Moving Average Exit 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 13 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.78 over 167 trades.

How large was the drawdown?

The best run had a maximum drawdown of 481,100 USD at the tested position size, against a net result of 2,016,800 USD.

Does it trade long, short or both?

It trades both long and short.

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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