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Strategies / Momentum / Stochastic Laguerre RSI Alignment

Stochastic Laguerre RSI Alignment

The strategy buys when a bullish stochastic reversal state lines up with a Laguerre RSI above 0.8, and sells short when a bearish stochastic state lines up with a Laguerre RSI below 0.2. Any open position closes when the two states disagree.

MomentumLong & shortSwingUSD/JPYDaily
1.54Profit factor
2,671,900Net profit USD
37.58%Win rate
471Trades
-505,150Max drawdown
5,673Avg trade

Best run of 6. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:17.

Entry rules, long

  2. The Laguerre RSI state (gamma 0.5) turns bullish when it rises above 0.8 and bearish when it falls below 0.2.
  3. A long opens at market when both states are bullish and no long position is open.

Entry rules, short

  2. The Laguerre RSI state turns bearish when it falls below 0.2 and bullish when it rises above 0.8.
  3. A short opens at market when both states are bearish and no short position is open.

Exit rules

  2. An open short closes at market when the two states are no longer both bearish.

Test conditions

PeriodUp to 2026-10-12
InstrumentUSD/JPY, Daily
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
USD/JPYBest runDaily1.54 47137.582,671,900 USD-505,150
USD/JPY1 hourn/a 5,00436.09279,880 USD-248,750
Nikkei 225Dailyn/a 38640.1624,193 USD-16,387
Silver4 hoursn/a 1,17133.2216,499 USD-14,041
Brent CrudeDailyn/a 18145.3016,159 EUR-10,235
GoldDailyn/a 48635.602,095 EUR-773

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Stochastic Laguerre RSI Alignment
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE sincebad = 1000
ONCE poslag = 0
ONCE lzero = 1
ONCE lone = 1
ONCE ltwo = 1
ONCE lthree = 1

ll = lowest[14](low)
hh = highest[14](high)

77 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

StochasticSMA
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 Stochastic Laguerre RSI Alignment 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 6 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.54 over 471 trades.

How large was the drawdown?

The best run had a maximum drawdown of 505,150 USD at the tested position size, against a net result of 2,671,900 USD.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs