Strategies / Mean reversion / RSI Zone Bounce Long

RSI Zone Bounce Long

The idea buys when RSI(14) stays below 31 for 2 bars after 3 returns from the neutral zone, once per episode. It closes the long when RSI(14) rises above 72 after returning from the neutral zone.

Mean reversionLong onlyIntradayFTSE 1005 min

2.20Profit factor

2,869Net profit EUR

69.28%Win rate

166Trades

-679Max drawdown

17.28Avg trade

Best run of 45. FTSE 100, 5 min, spread 2, from run pf:2026-10-04-FTSE100-5m.tsv:1.

Entry rules, long

Only one entry is taken per episode below 31.
No long position is open.

Exit rules

Only one exit is taken per episode above 72.

Test conditions

Period	Up to 2026-10-04
Instrument	FTSE 100, 5 minutes
Spread	2 points
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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
FTSE 100Best run	5 min	2.20	166	69.28	2,869 EUR	-679
FTSE 100	10 min	2.14	167	72.46	4,281 EUR	-625
Nasdaq 100	10 min	1.93	203	66.50	14,909 EUR	-2,521
USD/JPY	1 hour	n/a	148	70.27	544,810 USD	-187,200
USD/JPY	30 min	n/a	195	69.74	358,250 USD	-208,290
Nikkei 225	15 min	n/a	195	67.18	29,863 USD	-7,839
Nikkei 225	1 hour	n/a	99	67.68	22,887 USD	-8,987
Nikkei 225	30 min	n/a	205	66.34	19,391 USD	-8,712
Nikkei 225	4 hours	n/a	24	75.00	16,556 USD	-8,989
Silver	2 min	n/a	145	71.03	16,381 USD	-15,982
Dow Jones	4 hours	n/a	14	85.71	14,583 EUR	-5,862
Nasdaq 100	15 min	n/a	186	68.82	12,269 EUR	-4,421
Nikkei 225	5 min	n/a	168	67.26	12,177 USD	-8,248
Nikkei 225	10 min	n/a	168	61.90	11,987 USD	-10,602
Nikkei 225	1 min	n/a	179	67.04	11,949 USD	-5,980
Nasdaq 100	30 min	n/a	168	72.02	10,061 EUR	-3,997
Dow Jones	30 min	n/a	79	68.35	9,859 EUR	-8,876
Dow Jones	15 min	n/a	154	66.88	9,263 EUR	-7,947
Silver	Daily	n/a	11	81.82	9,005 USD	-3,683
DAX 40	4 hours	n/a	29	75.86	8,722 EUR	-3,182
Nasdaq 100	1 hour	n/a	126	69.05	8,462 EUR	-4,421
DAX 40	15 min	n/a	187	68.98	8,362 EUR	-5,244
DAX 40	10 min	n/a	189	67.72	6,900 EUR	-2,326
Nasdaq 100	Daily	n/a	8	87.50	6,890 EUR	-1,248
Nasdaq 100	4 hours	n/a	34	76.47	6,402 EUR	-4,478
Dow Jones	10 min	n/a	169	66.86	6,293 EUR	-5,311
DAX 40	1 hour	n/a	125	71.20	5,635 EUR	-5,362
DAX 40	Daily	n/a	11	81.82	5,229 EUR	-4,076
EUR/USD	2 min	n/a	188	66.49	5,061 USD	-2,467
Brent Crude	3 min	n/a	167	68.86	4,982 EUR	-1,927
GBP/USD	4 hours	n/a	55	69.09	4,558 USD	-3,027
FTSE 100	1 hour	n/a	103	71.84	3,932 EUR	-2,464
FTSE 100	4 hours	n/a	28	78.57	3,732 EUR	-2,991
S&P 500	4 hours	n/a	34	82.35	2,941 EUR	-1,148
S&P 500	10 min	n/a	182	67.58	2,916 EUR	-733
S&P 500	30 min	n/a	184	72.83	2,764 EUR	-1,053
S&P 500	Daily	n/a	9	66.67	2,509 EUR	-536
US Crude Oil	1 min	n/a	168	66.67	2,378 EUR	-1,325
Nasdaq 100	1 min	n/a	161	65.22	1,958 EUR	-1,714
S&P 500	1 hour	n/a	116	69.83	1,889 EUR	-989
FTSE 100	3 min	n/a	183	73.22	1,749 EUR	-707
Gold	1 hour	n/a	124	59.68	1,348 EUR	-833
FTSE 100	2 min	n/a	185	64.32	950 EUR	-830
S&P 500	1 min	n/a	144	70.14	908 EUR	-333
Gold	Daily	n/a	9	77.78	711 EUR	-248

Charts

Results by run

Top 10 of 45 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 Zone Bounce Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE dir = 0
ONCE dur = 0
ONCE bounces = 0
ONCE willbounce = 0
ONCE persisted = 0
ONCE adviced = 0
ONCE flats = 0

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

63 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
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 barsFTSE 100 · 5 min · older data 307.60 EUR

On the long run with 940,000 bars the net result was 3,176 EUR, against 2,869 EUR on the standard 200,000-bar run. The older data alone gave 308 EUR.

FTSE 100 · 5 min

Bars available	940,000
Net, standard 200,000-bar run	2,868.60 EUR
Net, long run	3,176.20 EUR
Net on the older data alone	307.60 EUR

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 Zone Bounce Long 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 45 market and timeframe combinations. The best run was FTSE 100, 5 minutes, with a profit factor of 2.20 over 166 trades.

How large was the drawdown?

The best run had a maximum drawdown of 679 EUR at the tested position size, against a net result of 2,869 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

DAX Survivor

Best run on the same market, FTSE 100.

1.17 PF · 1,514 trades

Double Seven Close Reversion

Also a mean reversion strategy.

2.21 PF · 569 trades

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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.com Stats Docs