The rule is as simple as it gets: go long when RSI(14) crosses above 50 and short when it crosses below. A trade closes when RSI moves back to the wrong side of 50 or hits a 1% stop. In testing, this idea lost money on every market and timeframe.
Best run of 16. DAX 40, 5 min, spread 3, from run sweeps:2026-09-07-DAX40-5m-opt.tsv:10.
| Period | Up to 2026-09-07 |
| Instrument | DAX 40, 5 minutes |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-07 |
| positionSize Contracts per trade | 1 |
| rsiPeriod RSI length | 14 |
| rsiMidLevel RSI midline | 50 |
| stopLossPct Protective stop, percent | 1 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| DAX 40Best run | 5 min | n/a | 12,155 | 18.48 | -34,668 EUR | -34,722 |
| Gold | 1 hour | n/a | 6,591 | 20.27 | -1,911 EUR | -2,440 |
| Gold | 30 min | n/a | 11,614 | 22.46 | -2,758 EUR | -6,360 |
| DAX 40 | 1 hour | n/a | 6,110 | 21.83 | -4,811 EUR | -8,912 |
| Gold | 5 min | n/a | 11,900 | 18.66 | -5,219 EUR | -5,280 |
| Gold | 15 min | n/a | 11,613 | 16.98 | -6,169 EUR | -7,817 |
| S&P 500 | 1 hour | n/a | 6,693 | 20.04 | -6,507 EUR | -6,607 |
| S&P 500 | 30 min | n/a | 11,500 | 23.39 | -6,588 EUR | -8,990 |
| S&P 500 | 15 min | n/a | 11,211 | 18.16 | -10,182 EUR | -10,216 |
| Nasdaq 100 | 1 hour | n/a | 6,517 | 20.75 | -10,645 EUR | -15,474 |
| S&P 500 | 5 min | n/a | 11,567 | 16.29 | -11,721 EUR | -11,721 |
| Nasdaq 100 | 30 min | n/a | 11,200 | 23.70 | -16,885 EUR | -21,340 |
| DAX 40 | 30 min | n/a | 11,160 | 21.92 | -18,976 EUR | -25,909 |
| Nasdaq 100 | 15 min | n/a | 10,857 | 19.83 | -20,207 EUR | -20,276 |
| DAX 40 | 15 min | n/a | 11,221 | 19.99 | -30,638 EUR | -30,919 |
| Nasdaq 100 | 5 min | n/a | 11,334 | 18.76 | -30,990 EUR | -31,177 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // RSI Midline Trend // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long & short // Timeframe tested: 5 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade rsiPeriod = 14 // RSI length rsiMidLevel = 50 // RSI midline that splits bullish from bearish stopLossPct = 1 // protective stop, percent of entry price // --- Indicators --- rsiValue = RSI[rsiPeriod](close)
26 more lines: the entry and exit rules.
Read this first
Questions
The code runs, but every backtest lost money. It is best treated as a study of why a plain RSI midline cross fails, not as a live system.
DAX 40, Gold, Nasdaq 100 and S&P 500 on intraday charts. The smallest loss was Gold 1 hour at EUR -1,910.90, and the largest were EUR -30,638.10 on DAX 40 15 minutes and EUR -30,989.60 on Nasdaq 100 5 minutes.
At 1 contract, the DAX 40 5 minute run had a max drawdown of EUR 34,722.20, almost equal to its total loss.
RSI(14) flips around 50 constantly on short bars, so the system trades thousands of times and pays the 3 point spread on each one.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
