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Strategies / Mean reversion / Slow RSI Recovery With Trend Filter

Slow RSI Recovery With Trend Filter

Buys when the 10-period RSI crosses back above 25 while the bar low stays above the 600-period exponential average. Sells when RSI crosses below 20 or the low drops below that average, with a 20% trailing stop.

Mean reversionLong onlySwingNasdaq 1001 hour
2.08Profit factor
14,855Net profit EUR
39.20%Win rate
199Trades
-2,512Max drawdown
74.65Avg trade

Best run of 24. Nasdaq 100, 1 hour, spread 3, from run pf:2026-10-05-NAS100-1h.tsv:7.

Entry rules, long

  2. The bar low is above the 600-period exponential moving average
  3. Volume is greater than 0

Exit rules

  2. The bar low falls below the 600-period exponential moving average
  3. A 20% trailing stop follows the open trade

Test conditions

PeriodUp to 2026-10-05
InstrumentNasdaq 100, 1 hour
Spread3 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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run1 hour2.08 19939.2014,855 EUR-2,512
USD/JPYDailyn/a 1154.55567,420 USD-198,220
USD/JPY30 minn/a 35928.13292,630 USD-152,320
USD/JPY10 minn/a 37331.64201,540 USD-86,020
EUR/USD1 hourn/a 30626.4733,381 USD-31,015
Silver30 minn/a 30128.2423,041 USD-16,478
Nikkei 2252 minn/a 34830.179,275 USD-5,017
Brent Crude1 hourn/a 10536.197,130 EUR-3,509
US Crude OilDailyn/a 2100.004,348 EUR-1,803
Brent CrudeDailyn/a 633.334,125 EUR-2,458
Nasdaq 10010 minn/a 44729.314,042 EUR-2,463
Nasdaq 10030 minn/a 36331.133,983 EUR-2,381
Nasdaq 10015 minn/a 47529.053,905 EUR-2,802
Gold4 hoursn/a 8725.292,252 EUR-673
Gold30 minn/a 35830.452,239 EUR-745
Brent Crude1 minn/a 33829.291,849 EUR-1,536
GoldDailyn/a 933.331,712 EUR-1,196
Gold5 minn/a 34729.971,548 EUR-628
S&P 5001 hourn/a 18234.621,508 EUR-603
S&P 5004 hoursn/a 5843.101,324 EUR-709
Gold10 minn/a 37628.991,132 EUR-939
Gold2 minn/a 28425.35912 EUR-307
S&P 50030 minn/a 35234.09871 EUR-592
Gold3 minn/a 30728.66814 EUR-312

Charts

Results by run

Top 10 of 24 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Slow RSI Recovery With Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

myRsi = RSI[10](close)
ema = ExponentialAverage[600](close)

13 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

RSIEMAVolume
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · 1 hour · older data 208.50 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 114,000 bars.

Nasdaq 100 · 1 hour

Bars available114,000
Net, standard 200,000-bar run14,855.30 EUR
Net, long run15,063.80 EUR
Net on the older data alone208.50 EUR
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Slow RSI Recovery With Trend Filter 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 24 market and timeframe combinations. The best run was Nasdaq 100, 1 hour, with a profit factor of 2.08 over 199 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,512 EUR at the tested position size, against a net result of 14,855 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Extreme Reversal With Trend Filter

Also a mean reversion strategy.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

Copy trading on US indices is available to ProRealAlgos members as spots open.

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