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Strategies / Mean reversion / RSI Pullback With Trend Filter (long and short)

RSI Pullback With Trend Filter (long and short)

The strategy buys short-term dips in an uptrend, when a 2-period RSI falls below 5 and then recovers. It sells short rallies in a downtrend, when the RSI rises above 95, and exits when price moves back across the 10-period average.

Mean reversionLong & shortSwingEUR/USD4 hours
n/aProfit factor
46,241Net profit USD
67.73%Win rate
942Trades
-15,559Max drawdown
49.09Avg trade

Best run of 8. EUR/USD, 4 hours, spread 1, from run sweeps:2026-10-11-EURUSD-4h-opt.tsv:7.

Entry rules, long

  1. The close is above the 200-period simple moving average.
  2. The close is at or below the 10-period simple moving average.

Entry rules, short

  1. The close is below the 200-period simple moving average.
  2. The close is above the 10-period simple moving average.

Exit rules

  2. A short closes when the close is at or below the 10-period simple moving average.

Test conditions

PeriodUp to 2026-10-11
InstrumentEUR/USD, 4 hours
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
EUR/USDBest run4 hoursn/a 94267.7346,241 USD-15,559
EUR/USDDailyn/a 25072.4045,445 USD-18,441
Nikkei 225Dailyn/a 21765.9010,096 USD-9,565
Dow JonesDailyn/a 31365.818,583 EUR-3,297
Nikkei 2254 hoursn/a 52666.738,252 USD-6,661
Nasdaq 1004 hoursn/a 69662.933,408 EUR-2,329
S&P 500Dailyn/a 33863.611,504 EUR-687
GoldDailyn/a 27566.55356 EUR-352

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI Pullback With Trend Filter (long and short)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

maexit = Average[10](close)
matrend = Average[200](close)
myRsi = RSI[2](close)

21 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
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run RSI Pullback With Trend Filter (long and short) 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 8 market and timeframe combinations. The best run by trade count was EUR/USD, 4 hours, with 942 trades.

How large was the drawdown?

The best run had a maximum drawdown of 15,559 USD at the tested position size, against a net result of 46,241 USD.

Does it trade long, short or both?

It trades both long and short.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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