MR-01 · Mean Reversion

RSI Mean Reversion

A short-term mean reversion model using RSI with volatility gating.

Mean ReversionOscillator

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At a glance

Best onSPY 1Y Return Top3

Signal frequencyDaily

Typical holding periodDays

Asset classesIndex, FX, Commodity

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 10 of 10 markets.
Best market by Sharpe ratio: USO (Sharpe 0.99, CAGR 9.1%).
Weakest market: DBC (Sharpe 0.05, CAGR 0.1%).

Equity curve

RSI Mean Reversion Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 76.6SPY, 5 years

Return quality · 30%66

Drawdown control · 25%97

Consistency · 20%55

Robustness · 15%78

Significance · 10%99

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market6%

Ulcer index1.2%

Longest drawdown205 days

Daily VaR (95%)0.00%

Probability Sharpe > 099%

Beta vs buy & hold0.16

Alpha (annual)+3.4%

Positive months25%

CAGR after 10 bp costs4.0%

Deflated Sharpe (luck-adjusted)63%

CAGR, 90% bootstrap range1.0% to 10.2%

Max drawdown, 90% bootstrap range-12.2% to -2.9%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-6.7%	-19.2%
COVID crash (Feb–Mar 2020)	-4.8%	-33.7%
2022 bear market	+8.9%	-24.5%
Market above its 200-day average (annualized) · 81%	+0.7%	+12.5%
Market below its 200-day average (annualized) · 19%	+16.5%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
USOUnited States Oil Fund	9.1%	20.2%	0.99	-8.4%	-36.2%	9.3%	75
GLDSPDR Gold Shares	4.8%	16.4%	0.91	-6.0%	-28.3%	5.3%	71
SPYSPDR S&P 500	5.2%	11.6%	0.77	-7.2%	-24.5%	6.9%	77
SLViShares Silver Trust	6.2%	15.2%	0.56	-21.3%	-57.8%	12.1%	62
ETH-USDEthereum	12.2%	-15.1%	0.46	-38.0%	-79.0%	23.3%	86
BTC-USDBitcoin	9.1%	2.6%	0.42	-35.4%	-75.9%	18.4%	70
EURUSD=XEUR/USD	0.8%	-0.7%	0.30	-3.7%	-17.2%	2.8%	71
UNGUnited States Natural Gas	2.7%	-30.7%	0.23	-46.3%	-93.3%	24.0%	86
DBAInvesco DB Agriculture	0.6%	8.8%	0.16	-7.4%	-15.9%	4.2%	35
DBCInvesco DB Commodity Index	0.1%	10.8%	0.05	-12.0%	-27.3%	6.4%	32

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+3.9%	3.9%	1.07	0.37	-1.7%	2%	10
3 years	+13.9%	4.4%	0.65	0.38	-4.3%	2%	22
5 years	+28.8%	5.2%	0.77	0.44	-7.2%	3%	60
Full history	+79.9%	3.5%	0.51	0.14	-12.3%	3%	156

Rules

Entry

Buy when RSI < 30 and volatility < threshold

Exit

Exit when RSI > 50

Indicators

RSI(14)
Volatility(20)

Inputs

RSI = 14
Oversold = 30
Overbought = 70

Position sizing

Fixed 100% allocation

Risk controls

Disable signals when volatility spikes

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Works best in range-bound regimes
Underperforms during trend spikes

Related strategies

MR-05 · SPY 5Y Sharpe 0.43CCI Mean Reversion MR-10 · SPY 5Y Sharpe 0.66Stochastic Oscillator Reversion MR-11 · SPY 5Y Sharpe 0.17Williams %R Reversion MR-12 · SPY 5Y Sharpe 0.43Money Flow Index Reversion MR-13 · SPY 5Y Sharpe 0.00TRIX Reversion MR-14 · SPY 5Y Sharpe 0.14Detrended Price Oscillator

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.