rsi2 mean reversion backtest

What the numbers mean

Whatever the record beside this text shows, it was assembled in small pieces. An RSI-2 reading under 10 is an extremely fast oversold trigger, and the exit fires on the first close back above the 5-day average, so trades are numerous and short. Nothing in the rules lets a winner run, and nothing cuts a loser early, so the two end up similar in average size and no single trade carries the outcome. Expect a staircase of shallow steps rather than a few decisive leaps.

The parameters do specific things to that character. There is no stop loss here at all: the only backstops are the 5-day exit and the ten-day holding limit, so a dip that keeps dipping is held to the clock. The 200-day filter blocks entries in broken names but is slow enough to stay green well into a decline. And because ten correlated megacaps go oversold together, the five-position cap tends to bind on exactly the ugliest days, concentrating rather than spreading the risk it was meant to spread.

Read the profit factor next to the win rate. If wins outnumber losses while the profit factor sits only a little above one, the record rests on trade count rather than trade quality, which makes it sensitive to the per-fill slippage the engine charges, multiplied across every round trip. Then note how much of the time this sits in cash: a shallow drawdown bought with idle capital is not the same thing as skill at avoiding losses.