RSI-14 / SMA-200 Low-ADX Mean Reversion Passes 6 Gates

We tested a mean-reversion strategy that buys when RSI-14 drops below 35 while price stays above the 200-period simple moving average, then exits at a fixed profit target. It only trades when ADX is below 35, avoiding strong trending environments where mean reversion typically fails. The strategy passed all six gates with a deflated Sharpe ratio of 5.35 and a 14.6% probability of being a fluke after multi-test correction.

In walk-forward training and validation, the strategy averaged 1.065% profit per trade with an 87.5% win rate. The deflated Sharpe ratio accounts for the multiple tests we ran to find this configuration, so the 5.35 reading suggests the edge survived our search process. The fluke probability of 14.6% sits comfortably below our 50% gate, meaning there's an 85.4% chance this isn't random noise.

The regime filter is doing real work here. By staying out when ADX exceeds 35, the strategy avoids the whipsaw losses that kill most mean-reversion systems during strong directional moves. The 200-period SMA acts as a structural filter, only allowing longs when price is above longer-term support. The RSI-14 threshold of 35 is slightly less extreme than the common 30 level, catching pullbacks earlier in the move.

The honest caveats: this strategy has logged zero live forward-test trades since graduation. We tested it on four coins (BTC, ETH, SOL, XRP) at 15-minute bars, so it has not yet proven itself across a wider universe or in real market conditions post-backtest. The 87.5% win rate in validation is strong, but with no live trades we cannot confirm whether execution assumptions hold in practice. The regime filter may also limit trade frequency enough that long dry spells become an issue for traders expecting consistent action.

If you want to test a variation of this idea with your own RSI threshold, MA length, or ADX cutoff, head to /prove and run it through the same six-gate gauntlet. You can see the full survivor registry, including regime breakdowns for this strategy, at /survivors.