Bollinger RSI oversold above EMA200: 0.625% per trade, 85% wins

We tested a mean reversion strategy that buys when price dips below the lower Bollinger Band (20-period) and RSI drops below 35, then exits at a fixed profit target. It passed all six gates with 0.625% average profit per trade, an 85.2% win rate, and a deflated Sharpe ratio (a Sharpe adjusted for the number of tests we ran, protecting against false discoveries) of 7.83. The fluke probability after multi-test correction rounds to 0.0%.

The strategy runs on 15-minute bars and only trades when ADX stays below 60, filtering out strong trending regimes where mean reversion typically fails. It was tested on ten coins: BTC, ETH, SOL, XRP, DOGE, BNB, ADA, AVAX, LINK, and LTC. Both walk-forward training and validation windows returned identical 0.625% per-trade profit and 85.2% win rates, which is unusual but reflects the consistency of the entry and exit logic across the sample.

The configuration does not specify a short entry, so this is long-only. The exit mode is set to net profit, meaning it takes profit at a predetermined percentage gain rather than using a trailing stop or technical signal. The ADX filter is the main regime safeguard, keeping the strategy out of high-momentum conditions where price is more likely to continue in one direction rather than snap back.

Where you should be skeptical: the strategy has not taken a single forward trade yet, so we have zero live confirmation. The backtest metrics are strong, but 15-minute mean reversion setups can be sensitive to slippage, spread, and execution delay, none of which are fully captured in historical bar data. The identical performance across training and validation is encouraging for robustness but also means we are interpolating from a single market regime. If volatility structure or mean reversion speed shifts, performance may degrade.

The high win rate and low fluke probability suggest this is not curve-fit noise, but treat the 0.625% per-trade figure as an upper bound until live paper trading accumulates at least 30 trades. You can see the full survivor registry, including this strategy and all others that passed, at stratproof.com/survivors. If you want to test your own mean reversion idea with custom RSI or Bollinger parameters, head to stratproof.com/prove.