Strategy Report Card — RSI 14 Mean Reversion (QQQ)

VERDICT: DEPLOYABLE (small size)

Start at <=25% of your per-strategy risk budget; scale up only after live confirms the backtest.

Classic RSI mean-reversion strategy. It goes long when the RSI of close falls below the oversold threshold (30) and goes short when the RSI rises above the overbought threshold (70), using a 14-period RSI. It is designed to profit in ranging/mean-reverting market regimes.

Family rsi_reversion · direction long_short · params period=14, oversold=30, overbought=70

Translation warnings

The script does not include explicit exit logic — positions are only reversed when the opposite signal fires. The built-in engine mirrors this behaviour.
No stop-loss or take-profit conditions are present; pure signal-flip exits only.

Metric	Original ★	Improved +low_vol+flat
OOS Sharpe	0.566	0.162
Stress Sharpe (3x cost)	0.235	-0.136
Ann return	6.5%	1.3%
Max drawdown	-16.0%	-11.3%
Ann turnover	37.7	23.3
PSR (P[Sharpe>0])	0.938	0.665
Bootstrap p(mean<=0)	0.049	0.322

Recommended: original — OOS Sharpe 0.566, PSR 0.938, bootstrap p 0.049.

Breadth — does the same edge hold elsewhere?

MIXED — works in some places; likely regime/asset specific

Across assets: 5/8 positive (3/8 under stress), median Sharpe 0.109

Asset	Sharpe	Stress
SPY	0.21	-0.13
QQQ	0.57	0.24
IWM	0.01	-0.29
EEM	0.44	0.17
EWZ	-0.03	-0.17
GLD	-0.30	-0.74
AAPL	-0.42	-0.66
MSFT	0.47	0.19

Timeframe	Sharpe	Stress
D	0.57	0.24
W	0.12	0.05
M	0.00	0.00

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Out-of-sample, net of cost. PSR / bootstrap / stress-test robustness is what a TradingView backtest cannot show. Not investment advice. Full methodology → · Why most backtests lie →