Strategy Zoo / S0038

RSIOversold_V0038

ARCHIVEDmean_reversion

structuralrestricted to volatility regimes ['LOW_VOLATILITY']; changed rsi_14 threshold 30.0 -> 34.6991

Fitness

0.1806

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

RSIOversold_V0009S0009 · gen 0ARCHIVEDstructural

seed strategy

Children (1)

RSIOversold_V0041S0041 · gen 2REJECTEDcrossover

Strategy Logic (pseudocode)

# RSIOversold_V0038  [mean_reversion]
require regime.volatility in ['LOW_VOLATILITY']
if flat and rsi_14 < 34.6991:
    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	-0.3%	3.6%	-1.2%	0.2%
Total Return	-2.6%	11.1%	-4.4%	3.4%
Sharpe	0.03	0.48	0.02	0.08
Sortino	0.01	0.15	0.01	0.03
Calmar	-0.02	0.39	-0.04	0.01
Volatility	11.2%	7.9%	17.5%	12.6%
Max DD	-19.4%	-9.2%	-27.0%	-27.0%
Win Rate	80.0%	100.0%	33.3%	64.7%
Avg Win	3.2%	11.1%	10.8%	5.3%
Avg Loss	-12.6%	0.0%	-5.9%	-8.2%
Payoff	0.25	5.00	1.83	0.65
Expectancy	0.0%	11.1%	-0.3%	0.5%
Profit Factor	1.01	5.00	0.92	1.19
Trades	10	1	6	17
Avg Holding Days	12.5	30.0	20.3	16.3
Turnover	2.5	0.7	3.2	2.3
Exposure	5.7%	3.8%	12.5%	7.0%

Growth of $100

RSIOversold_V0038 vs TSLA Buy & Hold

RSIOversold_V0038 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	5.0%	0.43	-8.3%	3
2017	1.5%	0.41	-1.9%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	11.1%	0.84	-9.2%	1
2022	0.0%	0.00	0.0%	0

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	-3.8%	-0.16	23%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	11.9%	0.99	0%
hidden test	LOW VOLATILITY	429	-6.5%	-0.29	26%
hidden test	MEDIUM VOLATILITY	248	0.3%	0.03	2%
hidden test	NORMAL	800	0.4%	0.02	14%
hidden test	SIDEWAYS	293	-11.6%	-0.69	13%
hidden test	UPTREND	371	12.6%	1.16	4%
train	DOWNTREND	518	-13.2%	-0.73	9%
train	EXPENSIVE	311	0.0%	0.00	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-7.0%	-0.60	0%
train	LOW VOLATILITY	745	2.3%	0.19	14%
train	MEDIUM VOLATILITY	568	6.8%	0.76	1%
train	NORMAL	1,601	0.4%	0.03	7%
train	SIDEWAYS	592	10.1%	0.92	9%
train	UPTREND	902	1.7%	0.43	2%
validation	DOWNTREND	125	-8.8%	-0.99	5%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	15.7%	0.98	16%
validation	MEDIUM VOLATILITY	315	0.0%	0.00	0%
validation	NORMAL	474	6.1%	0.61	6%
validation	SIDEWAYS	206	19.3%	1.44	11%
validation	UPTREND	425	0.0%	0.00	0%

Trades (full period)

17 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-02-06	2026-04-16	$411.11	$388.90	-1.52%	48
2024-04-19	2024-04-25	$147.05	$170.18	7.92%	5
2024-03-07	2024-04-11	$178.65	$174.60	-2.90%	25
2024-01-16	2024-02-08	$219.91	$189.56	-14.47%	18
2023-10-20	2023-11-10	$211.99	$214.65	-4.80%	16
2023-08-17	2023-08-30	$219.22	$256.90	13.77%	10
2021-05-13	2021-06-24	$190.56	$226.61	11.08%	30
2017-10-26	2017-11-01	$21.74	$21.41	1.54%	5
2016-11-03	2016-11-25	$12.49	$13.11	2.52%	16
2016-08-31	2016-10-04	$14.13	$14.09	0.91%	24
2016-05-06	2016-05-20	$14.33	$14.69	1.54%	11
2015-10-09	2015-10-21	$14.71	$14.01	-6.23%	9
2014-12-09	2015-02-04	$14.46	$14.57	1.66%	39
2014-10-15	2014-10-24	$15.31	$15.68	3.42%	8
2014-10-02	2014-10-03	$16.76	$17.01	4.45%	2
2012-05-10	2012-05-11	$2.20	$2.15	9.44%	2
2012-01-04	2012-01-17	$1.85	$1.77	-19.00%	9