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Strategies / Trend / RSI Supertrend Filtered Reversal

RSI Supertrend Filtered Reversal

Trades RSI crosses filtered by a Supertrend line, going long when the RSI crosses back above 27 with the close above the line. Each trade has a 0.3% target and 0.3% stop, and an opposite signal reverses it.

TrendLong & shortIntradayUSD/JPY2 min
n/aProfit factor
41,790Net profit USD
61.54%Win rate
39Trades
-27,670Max drawdown
1,072Avg trade

Best run of 19. USD/JPY, 2 min, spread 1, from run sweeps:2026-10-07-USDJPY-2m-opt.tsv:3.

Entry rules, long

  2. The close is above the Supertrend line built from a 10 period ATR and factor 3

Entry rules, short

  2. The close is below the Supertrend line built from a 10 period ATR and factor 3

Exit rules

  2. An opposite signal reverses the position

Test conditions

PeriodUp to 2026-10-07
InstrumentUSD/JPY, 2 minutes
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 tested2026-10-07

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run2 minn/a 3961.5441,790 USD-27,670
USD/JPY1 hourn/a 1566.6713,790 USD-9,550
EUR/USD1 hourn/a 1566.671,574 USD-948
EUR/USD15 minn/a 683.331,441 USD-532
Dow Jones1 hourn/a 5100.00639 EUR-34.80
Silver1 minn/a 1172.73533 USD-230
EUR/USD4 hoursn/a 366.67494 USD-374
Dow Jones3 minn/a 1758.82448 EUR-353
Nasdaq 10010 minn/a 1369.23429 EUR-127
Nasdaq 1003 minn/a 1266.67358 EUR-153
GBP/USD5 minn/a 1770.59269 USD-127
Silver3 minn/a 1154.55214 USD-169
US Crude Oil3 minn/a 1464.29101 EUR-48.70
S&P 5001 hourn/a 1266.6751.04 EUR-25.20
Gold5 minn/a 966.6730.40 EUR-13.60
Gold10 minn/a 1560.0021.60 EUR-19.10
Brent Crude4 hoursn/a 1100.0019.40 EUR-0.00
US Crude Oil4 hoursn/a 1100.0018.40 EUR-0.00
US Crude OilDailyn/a 366.6712.40 EUR-4.40

Charts

Results by run

Top 10 of 19 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// RSI Supertrend Filtered Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 2 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE ub = 0
ONCE lb = 0
ONCE dir = 1

myAtr = AverageTrueRange[10](close)
rawub = MedianPrice + 3.0 * myAtr
rawlb = MedianPrice - 3.0 * myAtr

56 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

RSISuperTrendATR
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The best run has only 39 trades, which is a small sample to judge it on.
  • The maximum drawdown of 27,670 USD is large next to the net profit of 41,790 USD.

Questions

About this strategy

Can I run RSI Supertrend Filtered Reversal 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 19 market and timeframe combinations. The best run by trade count was USD/JPY, 2 minutes, with 39 trades.

How large was the drawdown?

The best run had a maximum drawdown of 27,670 USD at the tested position size, against a net result of 41,790 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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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