Strategies / Mean reversion / Triple Extreme Reversion

Triple Extreme Reversion

The strategy buys on the bar after an oversold signal, where RSI is at or below 30, Williams %R is between -100 and -80, and the close is below the lower Bollinger Band. It sells short on the mirror overbought setup.

Mean reversionLong & shortSwingDow JonesDaily

2.95Profit factor

37,997Net profit EUR

62.50%Win rate

152Trades

-8,615Max drawdown

250Avg trade

Best run of 12. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:9.

Entry rules, long

The signal bar has RSI(14) at or below 30.
On the signal bar, Williams %R(14) is between -100 and -80.
Buys one contract at market on the next bar when flat, after bar 25.

Entry rules, short

The signal bar has RSI(14) at or above 70.
On the signal bar, Williams %R(14) is between -20 and 0.
Sells short one contract at market on the next bar when flat, after bar 25.

Exit rules

A short is covered at market when the close is at or below the lower Bollinger Band, or RSI(14) is at or below 30.

Test conditions

Period	Up to 2026-10-12
Instrument	Dow Jones, Daily
Spread	3 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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	Daily	2.95	152	62.50	37,997 EUR	-8,615
EUR/USD	10 min	n/a	2,126	61.48	37,293 USD	-27,877
Dow Jones	4 hours	n/a	136	66.91	14,474 EUR	-11,334
Nikkei 225	4 hours	n/a	299	60.87	12,092 USD	-10,314
Dow Jones	1 hour	n/a	554	64.44	11,998 EUR	-7,751
Nikkei 225	1 hour	n/a	1,171	60.89	11,309 USD	-9,692
DAX 40	Daily	n/a	167	62.28	8,952 EUR	-6,806
FTSE 100	Daily	n/a	107	61.68	6,337 EUR	-2,643
FTSE 100	1 hour	n/a	1,337	63.58	3,581 EUR	-2,338
FTSE 100	4 hours	n/a	328	63.11	3,312 EUR	-2,784
S&P 500	4 hours	n/a	381	66.67	2,371 EUR	-1,198
S&P 500	1 hour	n/a	1,621	60.27	1,464 EUR	-917

Charts

Results by run

Top 10 of 12 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Triple Extreme Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE wr = -50

myRsi = RSI[14](close)
basis = Average[20](close)
dev = 2 * STD[20](close)
upper = basis + dev
lower = basis - dev
hh = highest[14](high)
ll = lowest[14](low)

24 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

Bollinger BandsRSIWilliams %R

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 Triple Extreme Reversion 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 12 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.95 over 152 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,615 EUR at the tested position size, against a net result of 37,997 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

RSI Mean Reversion Close Stop

Also a mean reversion strategy.

2.95 PF · 171 trades

Put your name on the ProRealAlgos waitlist to trade a tested portfolio instead of single strategies.

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.com Stats Docs