Strategies / Mean reversion / Two Period RSI State Cross

Two Period RSI State Cross

The idea buys when RSI(2) crosses above 10 after a bullish state, with price above the 200-period average and below the 5-period average. It sells short when RSI(2) crosses below 90 after the mirror-image bearish state.

Mean reversionLong & shortSwingS&P 500Daily

2.12Profit factor

5,081Net profit EUR

67.27%Win rate

498Trades

-755Max drawdown

10.20Avg trade

Best run of 8. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:27.

Entry rules, long

Buys 1 contract at market when no long position is open

Entry rules, short

Sells 1 contract short at market when no short position is open

Exit rules

RSI[2] crosses under 90 while the last entry was long, closing the long position

Test conditions

Period	Up to 2026-10-13
Instrument	S&P 500, Daily
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	Daily	2.12	498	67.27	5,081 EUR	-755
USD/JPY	Daily	n/a	405	64.94	604,760 USD	-421,920
EUR/USD	Daily	n/a	384	65.36	67,122 USD	-37,113
EUR/USD	4 hours	n/a	1,388	62.39	49,444 USD	-29,163
Nikkei 225	Daily	n/a	346	66.76	40,494 USD	-11,072
Dow Jones	Daily	n/a	444	65.09	17,510 EUR	-5,239
Nasdaq 100	Daily	n/a	345	65.22	11,143 EUR	-4,022
S&P 500	4 hours	n/a	989	64.00	2,558 EUR	-1,043

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Two Period RSI State Cross
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE entry = 0
ONCE chk = 0

myRsi = RSI[2](close)
mafive = Average[5](close)
malong = Average[200](close)
prevchk = chk

40 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

RSISMA

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 Two Period RSI State Cross 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 8 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.12 over 498 trades.

How large was the drawdown?

The best run had a maximum drawdown of 755 EUR at the tested position size, against a net result of 5,081 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

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CCI Sign With EMA Alignment

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Also a mean reversion 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