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Strategies / Mean reversion / Smoothed Composite RSI Entry

Smoothed Composite RSI Entry

The idea buys when a two-bar average of a composite momentum score crosses above 40. The score is the mean of RSI(3), a streak RSI and a 100-bar percent rank, and the long closes when the average crosses below 70.

Mean reversionLong onlySwingS&P 5004 hours
n/aProfit factor
3,041Net profit EUR
58.96%Win rate
2,159Trades
-1,327Max drawdown
1.41Avg trade

Best run of 9. S&P 500, 4 hours, spread 1, from run sweeps:2026-10-12-USA500-4h-opt.tsv:58.

Entry rules, long

  2. Composite is the mean of RSI[3] of close, RSI[2] of the up-down streak and the 100-bar percent rank of the 1-bar rate of change
  3. Buys 1 contract at market when no long position is open

Exit rules

  1. The 2-bar SMA of the composite score crosses under 70 while the long is open, closing 1 contract at market

Test conditions

PeriodUp to 2026-10-12
InstrumentS&P 500, 4 hours
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best run4 hoursn/a 2,15958.963,041 EUR-1,327
Nikkei 2254 hoursn/a 1,68359.8330,332 USD-13,368
Dow JonesDailyn/a 1,00463.3529,655 EUR-13,666
Nikkei 225Dailyn/a 78463.6529,459 USD-23,573
Nasdaq 1004 hoursn/a 2,09359.6818,458 EUR-4,970
Nasdaq 100Dailyn/a 78057.4412,951 EUR-5,328
DAX 404 hoursn/a 2,01161.769,088 EUR-6,000
FTSE 100Dailyn/a 79461.594,882 EUR-3,499
S&P 500Dailyn/a 1,08558.713,570 EUR-1,203

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Smoothed Composite RSI Entry
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE ud = 0

IF close = close[1] THEN
    ud = 0

44 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

RSISMA
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 Smoothed Composite RSI Entry 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 9 market and timeframe combinations. The best run by trade count was S&P 500, 4 hours, with 2,159 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,327 EUR at the tested position size, against a net result of 3,041 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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