RSI+SMA+ADX Chop Filter: 0.44% Per Trade, 88.9% Win Rate

We tested a long-only mean reversion setup that buys RSI(14) dips below 35 when price is above the 200-period simple moving average, but only when ADX is below 30 to avoid strong trends. It passed all six gates with a 0.44% average profit per trade, an 88.9% win rate in walk-forward validation, and a deflated Sharpe ratio of 16.83. The fluke probability after multi-test correction rounds to 0.0%.

The strategy targets choppy, range-bound markets where price is in a longer-term uptrend but experiencing short-term weakness. The ADX filter is the key: by requiring ADX below 30, we stay out when momentum is strong and mean reversion setups tend to get run over. The 200-SMA filter keeps us on the right side of the bigger picture. Exit is a fixed net profit target, so each trade closes when it hits a predefined gain.

We ran this on four coins (BTC, ETH, SOL, XRP) at 15-minute bars. The walk-forward training and validation results were identical: 0.44% per trade and 88.9% win rate in both phases. That consistency is a good sign, but the limited coin set and single timeframe mean we have not tested this across a wide range of market conditions. The deflated Sharpe of 16.83 is exceptionally high, but remember that this metric shrinks the raw Sharpe to account for the number of tests we ran. It passed, but it is not magic.

The biggest caveat is forward test coverage. This strategy has zero live paper trades recorded at the time of graduation. It passed our historical gates, but we have no real-time data yet to confirm it behaves as expected when the market is moving. We will update the registry as forward test data accumulates, but for now, treat this as historically robust and forward-unproven.

If you want to test your own idea with regime filters or custom exit rules, head to stratproof.com/prove. To browse all strategies that passed our gates, visit the survivor registry.