RSI Mean Reversion (14, 30/70)
Positive risk-adjusted return in 13 of 18 cells — strongest on GOLD · 1H (Sharpe 1.04); 5 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 156.7pp; none of the 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.36 across 18 cells. The edge concentrates in GOLD 1H (Sharpe 1.04); 5 of 18 cells are negative after the 0.05% per-side fee.
§ Alpha score breakdown
alpha = edge (0-40: clamp(compositeSharpe/2,0,1)*40) + stability (0-25: positiveCells/18*25) + flaw penalty (0 to -25: static findings, 0 across v1 catalog) + reproduction (0-10: engine oracle parity vs pine2py, 251/257 scripts = 9)
§ Equity vs buy-and-hold — fee-adjusted, per cell
§ All 18 cells — including the ugly ones
| Market · TF | Sharpe | Return | vs B&H | Max DD | Win | Trades |
|---|---|---|---|---|---|---|
| BTCUSD 1H | -0.05 | -74.2% | -1455.5pp | -89.7% | 65% | 285 |
| BTCUSD 4H | 0.25 | +25.9% | -1341.4pp | -84.2% | 68% | 90 |
| BTCUSD 1D | 0.36 | +127.8% | -1261.7pp | -51.9% | 77% | 13 |
| ETHUSD 1H | -0.17 | -94.5% | -622.7pp | -97.1% | 65% | 304 |
| ETHUSD 4H | -0.18 | -94.5% | -609.7pp | -97.8% | 60% | 75 |
| ETHUSD 1D | 0.19 | -6.7% | -534.0pp | -73.7% | 75% | 12 |
| SPX500 1H | 0.57 | +19.5% | -52.7pp | -19.4% | 74% | 23 |
| SPX500 4H | 0.65 | +22.0% | -49.7pp | -17.0% | 83% | 6 |
| SPX500 1D | 0.57 | +191.1% | -392.2pp | -28.7% | 86% | 14 |
| QQQ 1H | 0.90 | +46.1% | -46.9pp | -16.8% | 85% | 27 |
| QQQ 4H | 0.54 | +21.7% | -70.2pp | -19.7% | 80% | 5 |
| QQQ 1D | 0.58 | +223.0% | -1186.6pp | -29.9% | 94% | 16 |
| GOLD 1H | 1.04 | +42.3% | -86.7pp | -16.8% | 93% | 30 |
| GOLD 4H | 0.37 | +9.7% | -118.7pp | -18.4% | 83% | 6 |
| GOLD 1D | 0.22 | +30.2% | -194.7pp | -29.2% | 71% | 14 |
| EURUSD 1H | -0.19 | -2.7% | -11.7pp | -7.7% | 61% | 70 |
| EURUSD 4H | 0.39 | +5.1% | -4.0pp | -7.8% | 76% | 21 |
| EURUSD 1D | -0.30 | -26.1% | -7.5pp | -37.9% | 50% | 10 |
13 of 18 cells positive · best GOLD · 1H · cells are not equal length — the composite is a median
§ The exact source that ran — Pine v5
//@version=5strategy("RSI Mean Reversion (14, 30/70)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)r = ta.rsi(close, 14)longSig = ta.crossover(r, 30)exitSig = ta.crossover(r, 70)if longSig strategy.entry("L", strategy.long)if exitSig strategy.close("L")plot(strategy.equity, "equity")plot(strategy.position_size, "pos")plot(strategy.closedtrades, "closed")plot(strategy.wintrades, "wins")plot(strategy.grossprofit, "gp")plot(strategy.grossloss, "gl")This source was executed verbatim by the wavealgo JS engine — there is no port step to drift. The engine is oracle-verified bar-by-bar (1e-9 tolerance) against an independent Python implementation on 251/257 corpus scripts.
§ Flaw checklist
Verdict rules: pass: composite Sharpe >= 0.9 and >= 12/18 cells positive · cond: composite Sharpe > 0 and best cell Sharpe >= 0.9 · fail: otherwise · rep: static repaint/look-ahead finding (none in the authored v1 catalog: confirmed-bar signals, next-bar-open fills)
§ What the numbers mean
- Sharpe ratio
- Risk-adjusted return: mean daily return divided by its standard deviation, annualized ×√252. The composite figure is the median of the 18 cell Sharpes, not the mean — cells differ in length by an order of magnitude, and one long cell should not carry the other seventeen.
- Max drawdown
- The worst peak-to-trough equity loss over the window, measured on the fee-adjusted curve. What you would have sat through, not what you would have ended with. The headline figure is the deepest of the 18 cells, not their average.
- Profit factor (PF)
- Gross profit divided by gross loss, with fees charged to the loss side. Above 1.0 means gross gains exceeded gross losses; 1.0–1.2 is usually noise.
- Win rate
- Share of closed trades that closed profitable. A high win rate with a profit factor near 1 means many small wins and a few large losses — common in mean-reversion.
- vs buy-and-hold
- Strategy total return minus the return of simply holding the asset over the same window — the benchmark any active strategy must beat to justify existing. Shown as the median of the 18 cells plus how many cells beat it; a mean would let one long cell stand in for the rest.
- Alpha score
- The desk’s 0–100 composite: out-of-sample edge (0–40; the methodology page defines what out of sample means for the catalog), regime stability across cells (0–25), flaw penalty (0 to −25), reproduction accuracy (0–10). The exact formula ships with the data.
Bring your own. We grade it the same.
Engine: resin 0.2.2 (next-bar-open fills, TV rule) · scored UTC 2026-11-07 10:58 · deterministic rerun — same data, same numbers. Backtested results are measurements of the past, not investment advice; nothing here is a recommendation to trade. wavealgo is operated by Streamize LLC.