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Strategies / Momentum / Trend Filtered RSI Average Entry

Trend Filtered RSI Average Entry

The strategy buys when price is above the 50-bar and 200-bar averages and the 9-bar average of RSI(21) is above 57. It sells when price falls below the 50-bar average and that RSI average is below 57.

MomentumLong onlySwingNasdaq 100Daily
3.40Profit factor
16,830Net profit EUR
45.69%Win rate
116Trades
-2,308Max drawdown
145Avg trade

Best run of 25. Nasdaq 100, Daily, spread 3, from run pf:2026-10-12-NAS100-D.tsv:10.

Entry rules, long

  1. The close is above the 50-bar simple moving average
  2. The close is above the 200-bar simple moving average

Exit rules

  1. The close is below the 50-bar simple moving average and the 9-bar average of RSI(21) is below 57

Test conditions

PeriodUp to 2026-10-12
InstrumentNasdaq 100, Daily
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily3.40 11645.6916,830 EUR-2,308
USD/JPYDailyn/a 10742.06632,960 USD-307,170
USD/JPY30 minn/a 1,52739.23452,760 USD-156,120
USD/JPY15 minn/a 1,57636.29252,190 USD-140,660
Nikkei 225Dailyn/a 9544.2137,285 USD-8,825
Silver4 hoursn/a 24637.4026,507 USD-16,207
Nikkei 22530 minn/a 1,56337.0422,183 USD-9,287
Nikkei 2251 hourn/a 84838.2115,375 USD-9,791
DAX 401 hourn/a 95939.0010,017 EUR-2,515
Nikkei 2254 hoursn/a 24036.678,984 USD-7,725
Dow Jones4 hoursn/a 9243.488,721 EUR-4,936
Nasdaq 1001 hourn/a 1,10438.958,389 EUR-3,825
Nasdaq 1004 hoursn/a 32240.378,373 EUR-3,051
Dow Jones1 hourn/a 34737.758,277 EUR-5,337
DAX 4030 minn/a 1,63836.457,863 EUR-2,574
Nasdaq 10015 minn/a 1,67736.494,831 EUR-3,096
Nasdaq 1005 minn/a 1,63634.173,467 EUR-3,429
GoldDailyn/a 11342.482,889 EUR-830
Gold1 hourn/a 94438.032,536 EUR-784
Gold30 minn/a 1,52534.751,696 EUR-661
Gold4 hoursn/a 28436.271,490 EUR-866
Gold15 minn/a 1,60932.631,322 EUR-458
S&P 5004 hoursn/a 33237.651,184 EUR-669
S&P 500Dailyn/a 16838.691,089 EUR-1,010
Gold5 minn/a 1,62934.44691 EUR-337

Charts

Results by run

Top 10 of 25 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filtered RSI Average Entry
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

smaf = Average[50](close)
smas = Average[200](close)
myRsi = RSI[21](close)
rsima = Average[9](myRsi)

10 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
  • 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 Trend Filtered RSI Average 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 25 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 3.40 over 116 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,308 EUR at the tested position size, against a net result of 16,830 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Volatility Spike Regression Long

Best run on the same market, Nasdaq 100.

1.22 PF · 1,850 trades

Moving Average RSI Long

Also a momentum strategy.

3.49 PF · 110 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