RSI+SMA+ADX Range Filter: 0.67% Per Trade, 89% Win Rate

We tested a long-only strategy that buys RSI dips above the 200-period simple moving average, but only when ADX stays below 30 (meaning the market is ranging, not trending strongly). It passed all six gates with a deflated Sharpe ratio of 8.47, a fluke probability of 0.0%, and an average P&L per trade of 0.67% with an 89% win rate in walk-forward validation.

The core logic is straightforward: enter long when the 14-period RSI drops below 35 and price is above the 200 SMA, then exit using a net profit target. The ADX filter is the key differentiator. ADX measures trend strength, and by requiring it to be below 30, the strategy avoids entering during strong trends when RSI oversold conditions can persist and grind lower. Instead, it focuses on choppy, range-bound conditions where mean reversion has better odds.

We ran this on four coins (BTC, ETH, SOL, XRP) on 15-minute bars. The deflated Sharpe ratio, a statistical measure that penalizes strategies for data mining and multiple testing, came in at 8.47. That suggests the edge is unlikely to be a random artifact of curve fitting. The fluke probability after multi-test correction was 0.0%, well below our 50% gate threshold.

The obvious caveat is coverage. Four coins is narrow, and 15-minute bars mean this is an intraday play. The strategy has not yet logged any forward test trades in live paper trading, so real-world slippage and latency effects remain unproven. The regime filter (ADX below 30) is also restrictive, meaning the strategy will sit out extended trending periods. If the market spends more time trending than ranging in the future, trade frequency could drop.

That said, the walk-forward validation held up across training and out-of-sample periods, and the high win rate suggests the exits are disciplined. This is not a home run strategy, but it is a methodical, statistically validated approach to range-bound RSI dips.

You can see the full survivor registry at stratproof.com/survivors, or test your own range-filter ideas at stratproof.com/prove.