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Strategies / Mean reversion / RSI Threshold Reversal

RSI Threshold Reversal

Buys when the 14-period RSI moves back to 30 or above after having been below 30. Sells when it falls back to 70 or below after having been above 70, holding one contract, long only.

Mean reversionLong onlySwingNikkei 2254 hours
2.56Profit factor
43,200Net profit USD
75.83%Win rate
120Trades
-9,638Max drawdown
360Avg trade

Best run of 33. Nikkei 225, 4 hours, spread 10, from run pf:2026-10-04-NIKKEI-4h.tsv:6.

Entry rules, long

Exit rules

  1. The 14-period RSI falls back to 70 or below, once per episode in which it had risen above 70, closing the long

Test conditions

PeriodUp to 2026-10-04
InstrumentNikkei 225, 4 hours
Spread10 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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nikkei 225Best run4 hours2.56 12075.8343,200 USD-9,638
Nasdaq 1004 hours2.53 16275.9317,929 EUR-4,190
USD/JPY1 hourn/a 58564.96227,690 USD-225,800
Dow JonesDailyn/a 5585.4544,588 EUR-8,615
Nikkei 2251 hourn/a 41967.5431,951 USD-9,741
Nikkei 22530 minn/a 80666.6323,344 USD-8,983
Nikkei 22515 minn/a 81964.4723,322 USD-11,742
Nikkei 22510 minn/a 81064.4421,004 USD-11,069
DAX 40Dailyn/a 6075.0018,765 EUR-4,933
DAX 404 hoursn/a 14372.7316,556 EUR-4,192
Nasdaq 10030 minn/a 80969.5914,376 EUR-5,559
Dow Jones1 hourn/a 19569.2313,885 EUR-10,104
Nikkei 2255 minn/a 81463.0213,673 USD-11,162
Dow Jones30 minn/a 35466.3813,523 EUR-8,270
SilverDailyn/a 5174.5111,775 USD-7,304
Nasdaq 1001 hourn/a 55870.7910,985 EUR-5,551
Dow Jones15 minn/a 66466.5710,207 EUR-9,547
DAX 401 hourn/a 50366.409,525 EUR-5,745
Nasdaq 100Dailyn/a 4278.579,362 EUR-4,428
Nasdaq 10015 minn/a 82864.139,066 EUR-4,731
FTSE 100Dailyn/a 3987.187,827 EUR-3,190
DAX 4030 minn/a 83364.476,924 EUR-4,845
FTSE 1001 hourn/a 47068.095,088 EUR-2,711
Dow Jones1 minn/a 68866.284,028 EUR-3,415
FTSE 10010 minn/a 77066.623,900 EUR-1,055
S&P 5001 hourn/a 55871.683,876 EUR-1,383
FTSE 1004 hoursn/a 11969.753,665 EUR-2,817
S&P 50030 minn/a 79569.563,640 EUR-973
FTSE 1005 minn/a 82368.413,518 EUR-893
S&P 5004 hoursn/a 14075.003,404 EUR-1,298
S&P 500Dailyn/a 5280.773,018 EUR-945
Gold4 hoursn/a 14166.671,703 EUR-783
S&P 50010 minn/a 79167.381,431 EUR-1,322

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 Threshold Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE dir = 0
ONCE dur = 0
ONCE persisted = 0
ONCE adviced = 0

rsival = RSI[14](close)
longsig = 0
exitsig = 0

39 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
Longer historyRe-run on up to 1,000,000 barsNikkei 225 · 4 hours · older data 0.00 USD

Nikkei 225 had no history beyond the standard run, so both runs used 22,000 bars.

Nikkei 225 · 4 hours

Bars available22,000
Net, standard 200,000-bar run43,200.30 USD
Net, long run43,200.30 USD
Net on the older data alone0.00 USD
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 Threshold 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 33 market and timeframe combinations. The best run was Nikkei 225, 4 hours, with a profit factor of 2.56 over 120 trades.

How large was the drawdown?

The best run had a maximum drawdown of 9,638 USD at the tested position size, against a net result of 43,200 USD.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Rock Climber

Best run on the same market, Nikkei 225.

1.44 PF · 1,644 trades

RSI 30 70 Crossover

Also a mean reversion strategy.

2.54 PF · 163 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