Strategies / Mean reversion / Simple Average Reversion Long

Simple Average Reversion Long

Buys when the 2-period simple average of close crosses under 0.97 times the 5-period simple average while the 5-period EMA of RSI(2) is below 30. Sells when the 2-period average crosses back over the 5-period average.

Mean reversionLong onlySwingUS Crude OilDaily

n/aProfit factor

6,394Net profit EUR

68.15%Win rate

135Trades

-3,537Max drawdown

47.36Avg trade

Best run of 33. US Crude Oil, Daily, spread 3, from run sweeps:2026-10-11-CRUDE-D-opt.tsv:40.

Entry rules, long

The 5-period EMA of RSI(2) is below 30.

Exit rules

The 2-period simple average crosses over the 5-period simple average, and the position is sold at market for 1 contract.

Test conditions

Period	Up to 2026-10-11
Instrument	US Crude Oil, Daily
Spread	3 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	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
US Crude OilBest run	Daily	n/a	135	68.15	6,394 EUR	-3,537
Nikkei 225	Daily	n/a	44	79.55	13,689 USD	-3,546
Silver	1 hour	n/a	22	59.09	5,039 USD	-3,788
Silver	5 min	n/a	4	75.00	4,408 USD	-1,709
Nasdaq 100	Daily	n/a	51	66.67	4,148 EUR	-1,519
Nikkei 225	4 hours	n/a	6	100.00	4,113 USD	-385
Brent Crude	Daily	n/a	60	65.00	3,546 EUR	-3,063
DAX 40	Daily	n/a	42	71.43	3,430 EUR	-3,201
Dow Jones	4 hours	n/a	3	100.00	1,996 EUR	-852
Nikkei 225	1 hour	n/a	4	75.00	1,723 USD	-555
FTSE 100	Daily	n/a	19	68.42	1,502 EUR	-1,382
Nikkei 225	30 min	n/a	4	100.00	1,433 USD	-298
Silver	3 min	n/a	2	100.00	1,358 USD	-1,179
Brent Crude	10 min	n/a	3	100.00	1,023 EUR	-76.40
Nasdaq 100	4 hours	n/a	8	75.00	989 EUR	-256
Brent Crude	3 min	n/a	3	100.00	926 EUR	-98.50
Dow Jones	30 min	n/a	1	100.00	826 EUR	-0.00
DAX 40	1 hour	n/a	5	80.00	717 EUR	-359
Dow Jones	1 hour	n/a	1	100.00	644 EUR	-1.50
FTSE 100	4 hours	n/a	8	75.00	643 EUR	-361
Brent Crude	15 min	n/a	9	55.56	470 EUR	-399
S&P 500	4 hours	n/a	11	72.73	386 EUR	-95.00
US Crude Oil	3 min	n/a	3	66.67	333 EUR	-60.10
Gold	30 min	n/a	1	100.00	180 EUR	-25.50
Gold	15 min	n/a	1	100.00	167 EUR	-1.10
GBP/USD	1 hour	n/a	1	100.00	155 USD	-75.90
Brent Crude	1 min	n/a	2	50.00	141 EUR	-68.80
Nasdaq 100	3 min	n/a	1	100.00	131 EUR	-88.70
DAX 40	30 min	n/a	1	100.00	130 EUR	-3.10
Gold	1 hour	n/a	2	100.00	89.80 EUR	-0.30
S&P 500	1 hour	n/a	3	66.67	57.38 EUR	-35.75
S&P 500	3 min	n/a	1	100.00	51.12 EUR	-27.63
FTSE 100	30 min	n/a	1	100.00	49.50 EUR	-31.90

Charts

Results by run

Top 10 of 33 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Simple Average Reversion Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

smallma = Average[2](close)
bigma = Average[5](close)
buyma = 0.97 * bigma
rsiema = ExponentialAverage[5](RSI[2](close))

10 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

SMAEMARSI

Read this firstKnown weaknesses3 points

No profit factor is available, because only sweep results exist for this strategy.
The maximum drawdown of 3,537 EUR is large next to the net profit of 6,394 EUR.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Simple Average Reversion 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 33 market and timeframe combinations. The best run by trade count was US Crude Oil, Daily, with 135 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,537 EUR at the tested position size, against a net result of 6,394 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

Short Term RSI Pullback Long Short

Best run on the same market, US Crude Oil.

1.33 PF · 493 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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

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