Strategies / Momentum / Trend Filtered Stochastic RSI Long

Trend Filtered Stochastic RSI Long

Buys in an uptrend when CCI(26) is below 100 and Stochastic RSI K and D are below 80 with K crossing above D. Closes the long when a weighted RSI line crosses below a dynamic upper line while Stochastic RSI K is above 80.

MomentumLong onlySwingS&P 5004 hours

2.32Profit factor

6,033Net profit EUR

69.80%Win rate

149Trades

-1,474Max drawdown

40.49Avg trade

Best run of 47. S&P 500, 4 hours, spread 1, from run pf:2026-10-12-USA500-4h.tsv:10.

Entry rules, long

The 12-period simple moving average is above the 26-period simple moving average.
CCI(26) of the close is below 100.
Stochastic RSI K and D (RSI 14, stochastic 14, K smoothing 3, D smoothing 3) are both below 80.
Stochastic RSI K and D (RSI 5, stochastic 5, K smoothing 4, D smoothing 3) are both below 80.

Exit rules

The dynamic upper line is the 60-bar RSI high minus 0.1 times a 14-period weighted blend of the RSI range and low.
The exit also requires Stochastic RSI K (RSI 14) above 80, with its range valid for at least 3 bars.

Test conditions

Period	Up to 2026-10-13
Instrument	S&P 500, 4 hours
Spread	1 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-13

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	4 hours	2.32	149	69.80	6,033 EUR	-1,474
S&P 500	30 min	1.32	1,063	58.89	5,333 EUR	-1,208
USD/JPY	30 min	n/a	1,201	56.37	634,110 USD	-250,590
USD/JPY	10 min	n/a	1,193	59.68	360,260 USD	-255,720
USD/JPY	15 min	n/a	1,201	57.04	303,560 USD	-272,740
Nikkei 225	Daily	n/a	59	59.32	61,878 USD	-28,186
Nikkei 225	4 hours	n/a	156	59.62	50,332 USD	-11,500
Nikkei 225	1 hour	n/a	534	57.30	50,155 USD	-11,696
Dow Jones	Daily	n/a	78	71.79	46,258 EUR	-11,142
Nikkei 225	30 min	n/a	1,112	56.12	44,215 USD	-13,172
Nikkei 225	15 min	n/a	1,117	55.86	31,897 USD	-10,481
Dow Jones	30 min	n/a	484	58.26	31,461 EUR	-9,197
Nasdaq 100	Daily	n/a	46	76.09	30,220 EUR	-6,298
Nasdaq 100	4 hours	n/a	165	60.61	24,997 EUR	-6,396
Dow Jones	4 hours	n/a	70	68.57	23,603 EUR	-9,731
Nasdaq 100	30 min	n/a	1,078	60.39	22,850 EUR	-7,952
Nasdaq 100	1 hour	n/a	664	57.53	22,582 EUR	-7,616
Nikkei 225	3 min	n/a	1,129	56.69	21,522 USD	-9,718
DAX 40	Daily	n/a	82	65.85	21,482 EUR	-5,780
Nasdaq 100	15 min	n/a	1,154	59.10	18,855 EUR	-6,836
Dow Jones	15 min	n/a	992	58.37	18,522 EUR	-10,681
Nikkei 225	10 min	n/a	1,097	55.24	18,512 USD	-13,533
DAX 40	4 hours	n/a	180	62.22	17,451 EUR	-6,140
Dow Jones	1 hour	n/a	220	57.27	16,697 EUR	-10,420
DAX 40	1 hour	n/a	581	58.86	14,453 EUR	-4,589
Nasdaq 100	10 min	n/a	1,134	57.50	14,184 EUR	-5,944
DAX 40	30 min	n/a	1,145	59.21	13,660 EUR	-6,004
Dow Jones	10 min	n/a	1,175	57.53	12,930 EUR	-10,258
DAX 40	10 min	n/a	1,238	57.27	8,664 EUR	-3,986
Nasdaq 100	5 min	n/a	1,150	57.83	8,404 EUR	-6,854
FTSE 100	Daily	n/a	56	60.71	8,242 EUR	-3,662
DAX 40	15 min	n/a	1,210	58.10	7,223 EUR	-5,076
S&P 500	Daily	n/a	72	68.06	7,177 EUR	-1,319
Brent Crude	10 min	n/a	1,184	56.25	6,609 EUR	-4,918
FTSE 100	1 hour	n/a	628	57.80	5,900 EUR	-2,873
Nasdaq 100	2 min	n/a	1,174	56.39	5,796 EUR	-4,689
S&P 500	1 hour	n/a	681	59.18	5,605 EUR	-1,420
FTSE 100	4 hours	n/a	159	57.86	4,564 EUR	-3,740
FTSE 100	30 min	n/a	1,186	57.76	4,386 EUR	-2,659
S&P 500	15 min	n/a	1,192	58.81	4,209 EUR	-1,289
Gold	Daily	n/a	81	55.56	3,387 EUR	-1,541
Gold	4 hours	n/a	211	60.19	3,214 EUR	-1,584
S&P 500	10 min	n/a	1,097	56.61	2,754 EUR	-1,436
Gold	1 hour	n/a	750	57.33	2,506 EUR	-1,488
Gold	15 min	n/a	1,225	54.78	2,024 EUR	-1,754
S&P 500	5 min	n/a	1,086	57.27	1,667 EUR	-1,506
FTSE 100	10 min	n/a	1,191	57.77	1,587 EUR	-1,438

Charts

Results by run

Top 10 of 47 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filtered Stochastic RSI Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE bada = 1000
ONCE badb = 1000

mafast = Average[12](close)
maslow = Average[26](close)

rsia = RSI[14](close)
hia = highest[14](rsia)
loa = lowest[14](rsia)

42 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

RSIStochasticSMACCIWMA

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 Stochastic RSI 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 47 market and timeframe combinations. The best run was S&P 500, 4 hours, with a profit factor of 2.32 over 149 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,474 EUR at the tested position size, against a net result of 6,033 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

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1.04 PF · 10,813 trades

CCI Sign With EMA Alignment

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Also a momentum strategy.

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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.com Stats Docs