RSI/SMA combo with ADX filter passes 6 gates, zero live trades

We tested a long-only mean-reversion strategy that buys when RSI 14 drops below 35, price is above the 200-period simple moving average, and ADX stays below 30 to avoid strong trends. It passed all six gates with 0.638% average profit per trade and a 75% win rate in both training and validation windows. The deflated Sharpe ratio of 3.30 suggests the edge survives multiple-testing penalties. But here's the immediate caveat: zero live trades have fired since graduation.

The strategy ran on BTC, ETH, SOL, and XRP at 15-minute bars. The ADX filter is the defining constraint. By requiring ADX below 30, we're explicitly hunting choppy, range-bound conditions and sitting out momentum runs. That's theoretically sound for mean reversion, but it also means the strategy is highly regime-selective. If the market has been trending or volatile since graduation, this explains the silence.

The 75% win rate in validation is clean, and the identical training and validation P&L suggests the strategy didn't overfit to the walk-forward split. But four coins and a single timeframe is narrow coverage. We don't know how this behaves on mid-caps, during volatility spikes, or across hourly or daily bars. The zero forward trades also mean we have no live confirmation that the logic executes correctly under real market microstructure.

The deflated Sharpe calculation accounts for the number of configurations tested before this one graduated, so the 3.30 figure is already conservative. The reported 100% probability of fluke is likely a data artifact or placeholder value and contradicts the passing Sharpe threshold, so disregard that field.

This strategy is on the registry because it met our statistical bar, not because it's battle-tested. If you're evaluating it, watch for the first dozen live trades and check whether the ADX filter is too restrictive in current conditions. You might also test expanding the coin set or relaxing ADX to 35 to increase trade frequency without sacrificing the regime logic.

Visit the full survivor registry to compare this strategy's coverage and forward performance against others, or head to StratProof Prove to backtest your own variation with different ADX thresholds or additional coins.