Strategy Zoo / S0009

RSIOversold_V0009

ARCHIVEDmean_reversion

seedseed strategy

Fitness

0.3093

Generation

Complexity

Created

2026-09-18

Lineage

Parents (0)

None — seed strategy

Children (2)

RSIOversold_V0038S0038 · gen 1ARCHIVEDstructural

RSIOversold_V0041S0041 · gen 2REJECTEDcrossover

Strategy Logic (pseudocode)

# RSIOversold_V0009  [mean_reversion]
if flat and rsi_14 < 30.0:
    position = 1.0
if long and rsi_14 > 55.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	14.5%	1.9%	19.6%	12.0%
Total Return	194.3%	5.7%	93.9%	429.5%
Sharpe	0.74	0.23	0.73	0.54
Sortino	0.46	0.17	0.55	0.35
Calmar	0.48	0.04	0.59	0.23
Volatility	21.2%	36.8%	31.0%	27.8%
Max DD	-29.9%	-52.6%	-33.2%	-53.1%
Win Rate	83.3%	100.0%	71.4%	77.3%
Avg Win	12.2%	25.4%	17.9%	15.0%
Avg Loss	-2.5%	0.0%	-7.3%	-11.1%
Payoff	4.85	5.00	2.44	1.35
Expectancy	9.7%	25.4%	10.7%	9.1%
Profit Factor	10.00	5.00	6.11	4.60
Trades	12	3	7	22
Avg Holding Days	23.6	28.7	27.7	28.3
Turnover	3.0	2.3	3.8	3.0
Exposure	13.5%	18.7%	20.1%	16.2%

Growth of $100

RSIOversold_V0009 vs TSLA Buy & Hold

RSIOversold_V0009 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	37.3%	1.43	-27.0%	4
2017	9.7%	1.03	-4.4%	1
2018	22.4%	0.73	-19.4%	2
2019	-4.5%	-0.14	-29.9%	1
2020	45.7%	1.20	-18.9%	1
2021	27.2%	1.01	-13.7%	1
2022	-43.2%	-1.06	-52.6%	1

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	267	60.6%	1.13	58%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	84.2%	1.73	28%
hidden test	LOW VOLATILITY	429	-2.8%	-0.13	20%
hidden test	MEDIUM VOLATILITY	248	3.5%	0.20	11%
hidden test	NORMAL	800	26.3%	0.79	23%
hidden test	SIDEWAYS	293	2.5%	0.14	8%
hidden test	UPTREND	371	11.2%	1.14	2%
train	DOWNTREND	518	14.1%	0.41	33%
train	EXPENSIVE	311	15.1%	0.91	3%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	41.8%	1.30	21%
train	LOW VOLATILITY	745	7.7%	0.70	11%
train	MEDIUM VOLATILITY	568	-5.9%	-0.49	8%
train	NORMAL	1,601	16.8%	0.74	16%
train	SIDEWAYS	592	35.6%	1.67	15%
train	UPTREND	902	3.6%	0.86	1%
validation	DOWNTREND	125	-90.4%	-1.47	74%
validation	EXPENSIVE	138	56.6%	1.67	12%
validation	EXTREME	144	23.6%	1.31	1%
validation	HIGH VOLATILITY	258	67.9%	1.17	38%
validation	LOW VOLATILITY	183	0.0%	0.00	0%
validation	MEDIUM VOLATILITY	315	-35.2%	-1.56	14%
validation	NORMAL	474	-10.1%	-0.24	26%
validation	SIDEWAYS	206	-5.6%	-0.17	15%
validation	UPTREND	425	44.4%	1.57	4%

Trades (full period)

22 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-24	2026-08-24	$313.03	$348.95	13.27%	22
2025-02-26	2025-04-28	$290.80	$285.88	-6.09%	43
2024-01-19	2024-04-30	$212.19	$183.28	-8.60%	71
2023-10-23	2023-11-15	$212.08	$242.84	11.77%	18
2023-08-18	2023-08-30	$215.49	$256.90	17.08%	9
2023-04-27	2023-05-19	$160.19	$180.14	14.82%	17
2022-10-10	2023-01-24	$222.96	$143.89	-35.69%	73
2022-05-13	2022-07-11	$256.53	$234.34	3.14%	39
2021-03-08	2021-04-14	$187.67	$244.08	27.23%	27
2020-03-17	2020-04-14	$28.68	$47.33	45.96%	20
2019-04-29	2019-06-18	$16.10	$14.98	-4.49%	36
2018-09-10	2018-10-24	$19.03	$19.23	11.52%	33
2018-03-28	2018-05-10	$17.19	$20.33	9.68%	31
2017-11-03	2017-12-12	$20.41	$22.74	9.69%	27
2016-09-02	2016-10-04	$13.19	$14.09	6.23%	22
2016-06-27	2016-07-12	$13.24	$14.98	16.15%	11
2016-05-13	2016-06-08	$13.84	$15.70	11.87%	18
2016-01-28	2016-02-26	$12.65	$12.69	-0.54%	21
2015-10-13	2015-11-05	$14.62	$15.45	7.23%	18
2014-12-09	2015-02-04	$14.46	$14.57	1.66%	39
2013-11-19	2013-12-13	$8.41	$9.84	21.06%	18
2012-01-17	2012-01-27	$1.77	$1.96	26.75%	9