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Strategies / Mean reversion / Two Period RSI Trend Pullback

Two Period RSI Trend Pullback

Buys when price is above its 200-period average and the 2-period RSI is at or below 10, and sells short when price is below it and RSI is at or above 90. Longs close above the 5-period average, shorts close below it.

Mean reversionLong & shortSwingS&P 500Daily
2.18Profit factor
4,101Net profit EUR
60.20%Win rate
696Trades
-587Max drawdown
5.89Avg trade

Best run of 11. S&P 500, Daily, spread 1, from run pf:2026-10-05-USA500-D.tsv:13.

Entry rules, long

  1. The close is above the 200-period simple moving average
  3. The strategy is flat, with no open position

Entry rules, short

  1. The close is below the 200-period simple moving average

Exit rules

  2. While short, the close is below the 5-period simple moving average, which closes the trade

Test conditions

PeriodUp to 2026-10-05
InstrumentS&P 500, Daily
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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best runDaily2.18 69660.204,101 EUR-587
Nasdaq 100Daily2.12 50362.2314,035 EUR-3,330
Dow JonesDaily1.59 63363.3518,648 EUR-4,173
Nikkei 225Daily1.49 49367.7534,273 USD-7,696
EUR/USD4 hours1.14 2,01864.4746,260 USD-10,769
EUR/USD1 hour1.08 7,76063.5254,448 USD-11,980
USD/JPYDailyn/a 60366.00550,290 USD-423,700
US Crude OilDailyn/a 49265.0411,977 EUR-3,270
DAX 40Dailyn/a 69560.149,823 EUR-2,551
FTSE 100Dailyn/a 49467.214,669 EUR-1,434
GBP/USDDailyn/a 64266.044,662 USD-3,352

Charts

Results by run

Top 10 of 11 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

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

DEFPARAM CumulateOrders = false

myRsi = RSI[2](close)
slow = Average[200](close)
fast = Average[5](close)

19 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

RSISMA
Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 0.00 EUR

S&P 500 had no history beyond the standard run, so both runs used 14,000 bars.

S&P 500 · Daily

Bars available14,000
Net, standard 200,000-bar run4,101.31 EUR
Net, long run4,101.31 EUR
Net on the older data alone0.00 EUR
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 Trend Pullback 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 11 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.18 over 696 trades.

How large was the drawdown?

The best run had a maximum drawdown of 587 EUR at the tested position size, against a net result of 4,101 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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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.comStatsDocs