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Strategies / Mean reversion / SMA Filter RSI Dip Long

SMA Filter RSI Dip Long

Buys when price is above its 800 period SMA and RSI(14) crosses back above 30. Sells when RSI(14) rises above 75 or price crosses under the 800 period SMA. Long only, with no stop or target.

Mean reversionLong onlyIntradayS&P 50030 min
n/aProfit factor
1,359Net profit EUR
47.69%Win rate
497Trades
-630Max drawdown
2.73Avg trade

Best run of 20. S&P 500, 30 min, spread 1, from run sweeps:2026-10-07-USA500-30m-opt.tsv:6.

Entry rules, long

  1. The close is above the 800 period SMA.

Exit rules

  1. RSI(14) is above 75, which closes the long.

Test conditions

PeriodUp to 2026-10-07
InstrumentS&P 500, 30 minutes
Spread1 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best run30 minn/a 49747.691,359 EUR-630
USD/JPY2 minn/a 42637.5639,160 USD-31,170
EUR/USD4 hoursn/a 9445.7435,281 USD-29,043
Dow JonesDailyn/a 3565.7121,862 EUR-11,116
Silver5 minn/a 36041.3912,638 USD-11,534
Nikkei 2254 hoursn/a 6535.3810,741 USD-7,894
Nasdaq 1004 hoursn/a 11656.909,344 EUR-3,428
Nasdaq 1001 hourn/a 34446.518,860 EUR-4,061
Nasdaq 100Dailyn/a 3363.648,497 EUR-4,260
Dow Jones4 hoursn/a 3050.008,428 EUR-5,050
DAX 40Dailyn/a 3647.227,778 EUR-3,718
Nikkei 2251 hourn/a 25343.087,650 USD-5,983
FTSE 100Dailyn/a 3240.624,297 EUR-2,601
Nasdaq 10030 minn/a 49047.143,997 EUR-3,619
S&P 5004 hoursn/a 9850.003,099 EUR-572
Dow Jones2 minn/a 34740.352,962 EUR-1,593
Nasdaq 10010 minn/a 47841.842,669 EUR-2,067
Nasdaq 1001 minn/a 37141.241,567 EUR-1,054
Gold4 hoursn/a 7946.841,398 EUR-642
S&P 5001 hourn/a 35146.151,195 EUR-740

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// SMA Filter RSI Dip Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

sma = Average[800](close)
myRsi = RSI[14](close)

12 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

SMARSI
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run SMA Filter RSI Dip 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 20 market and timeframe combinations. The best run by trade count was S&P 500, 30 minutes, with 497 trades.

How large was the drawdown?

The best run had a maximum drawdown of 630 EUR at the tested position size, against a net result of 1,359 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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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