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Strategies / Momentum / Stochastic Reversal With SMI Ergodic

Stochastic Reversal With SMI Ergodic

The strategy buys at market when the stochastic reversal state is bullish and the smoothed SMI Ergodic reading is above 0.5, and sells short when both are bearish with the reading below -0.5. Positions close when the two states disagree.

MomentumLong & shortIntradayUSD/JPY10 min
n/aProfit factor
420,480Net profit USD
37.64%Win rate
2,423Trades
-156,250Max drawdown
174Avg trade

Best run of 10. USD/JPY, 10 min, spread 1, from run sweeps:2026-10-11-USDJPY-10m-opt.tsv:27.

Entry rules, long

  2. The SMI Ergodic state turns bullish when the smoothed reading is above 0.5 and bearish when it is below -0.5.
  3. A long opens at market when both states are bullish and no long position is open.

Entry rules, short

  2. The SMI Ergodic state turns bearish when the smoothed reading is below -0.5 and bullish when above 0.5.
  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 2026-10-11
InstrumentUSD/JPY, 10 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run10 minn/a 2,42337.64420,480 USD-156,250
USD/JPYDailyn/a 16142.862,025,760 USD-680,450
Nikkei 225Dailyn/a 14039.2943,163 USD-14,869
Brent CrudeDailyn/a 7139.4413,725 EUR-7,354
US Crude Oil30 minn/a 2,29738.668,409 EUR-5,436
US Crude Oil1 hourn/a 1,18139.207,540 EUR-6,264
S&P 500Dailyn/a 18536.222,918 EUR-2,074
GoldDailyn/a 16938.461,701 EUR-1,086
Gold1 hourn/a 1,52438.651,658 EUR-1,224
Gold30 minn/a 2,35037.111,405 EUR-897

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Stochastic Reversal With SMI Ergodic
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 10 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE possmi = 0
ONCE sincebad = 1000
ONCE smi = 0

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

58 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

StochasticSMAEMA
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 Stochastic Reversal With SMI Ergodic 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 10 market and timeframe combinations. The best run by trade count was USD/JPY, 10 minutes, with 2,423 trades.

How large was the drawdown?

The best run had a maximum drawdown of 156,250 USD at the tested position size, against a net result of 420,480 USD.

Does it trade long, short or both?

It trades both long and short.

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

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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