RSI Mean Reversion

Strategy

Data as of Monday, Feb 16, 2026

Metric	Value	Metric	Value	Metric	Value	Metric	Value	Metric	Value	Metric	Value	Metric	Value	Metric	Value
Return & Growth
Total return	+97.84%	Net profit	$978,367	Gross profit	$578,027	Gross loss	$155,788	CAGR	+8.31%	Annualized return	+8.31%	Monthly average return	+0.76%	Median monthly return	+2.77%
Best month return	+8.60%	Worst month return	-4.01%	Rolling 1-month return	+13.94%	Log return CAGR	+78.02%	Compounded vs simple return difference	-85.50%
Risk & Drawdown
Maximum drawdown	+20.60%	Average drawdown	+6.39%	Median drawdown	-4.33%	Drawdown duration (max)	735.1 days	Average drawdown duration	23.2 days	Ulcer index	7.50	Pain index	4.73	Pain ratio	15.15
Drawdown volatility	3.11	Worst peak-to-trough loss	+20.60%	% time in drawdown	+84.33%	Drawdown area	411.59	Downside deviation	+16.11%	Semi-variance	1.66
Risk-Adjusted Ratios
Sharpe ratio	0.40	Rolling 1-month Sharpe	1.31	Sortino ratio	0.70	Calmar ratio	0.38	Sterling ratio	0.38	Burke ratio	1.34	Return / volatility	3.20	Return / downside risk	3.35
Return / max drawdown	3.03
Trade-Level Statistics
Total trades	13	Win rate	+70.21%	Loss rate	+29.79%	Average win	+5.74%	Average loss	-4.32%	Win/Loss ratio	1.77	Expectancy	+3.08%	Profit factor	7.34
Payoff ratio	1.77	Best trade	+11.57%	Worst trade	-7.97%	Trade return standard deviation	+4.02%	Consecutive wins (max)	5	Consecutive losses (max)	2
Distribution & Shape
Volatility (annualized)	+15.95%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	0.07	Alpha vs benchmark %	+7.29%	Information ratio	-0.39	Treynor ratio	0.02

Parameter optimization

Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.

Chart for symbol:

Metric	Value
Total return	+19.82%
Net profit	$198,243
Gross profit	$334,437
Gross loss	$139,770
CAGR	+3.70%
Annualized return	+3.70%
Monthly average return	+0.35%
Median monthly return	-1.13%
Best month return	+3.61%
Worst month return	-4.30%
Rolling 1-month return	+8.61%
Log return CAGR	-2.03%
Compounded vs simple return difference	-20.63%

Performance metrics for each index symbol tested with this strategy.

Index	Country	Return %	Sharpe	Sortino	Max DD %	Win Rate %	Trades	Profit Factor	Volatility %
Merval	Argentina	+150.31%	0.82	1.73	+19.34%	+90.91%	11	24.88	+20.93%
S&P/ASX 200	Australia	+32.89%	0.62	0.94	+11.68%	+66.67%	15	4.60	+8.87%
Bovespa	Brazil	+22.89%	0.35	0.53	+18.73%	+57.14%	14	2.29	+11.50%
TSX Composite	Canada	+49.28%	0.92	1.56	+8.78%	+86.67%	15	41.76	+8.40%
Euro Stoxx 50	Europe	+55.66%	0.79	1.39	+17.02%	+83.33%	12	10.25	+10.76%
Euronext 100	Europe	+14.78%	0.26	0.40	+14.59%	+55.56%	9	2.60	+10.11%
CAC 40	France	+9.40%	0.16	0.23	+17.03%	+58.33%	12	1.68	+11.08%
DAX	Germany	+43.47%	0.63	1.04	+17.71%	+80.00%	15	4.83	+10.98%
Hang Seng	Hong Kong	+0.76%	0.01	0.01	+38.09%	+46.67%	15	1.10	+18.08%
BSE Sensex	India	+15.86%	0.35	0.51	+9.80%	+75.00%	12	5.06	+8.56%
Nifty 50	India	+12.36%	0.27	0.39	+9.87%	+58.33%	12	3.13	+8.78%
Nikkei 225	Japan	+68.85%	0.66	1.06	+19.48%	+85.71%	14	14.17	+15.52%
KOSPI	South Korea	-12.21%	-0.20	-0.27	+28.92%	+45.45%	11	0.57	+13.20%
Swiss Market	Switzerland	+13.84%	0.26	0.37	+17.74%	+56.25%	16	1.77	+10.04%
Taiwan Weighted	Taiwan	+31.92%	0.39	0.58	+22.14%	+76.47%	17	2.73	+14.07%
FTSE 100	UK	+49.72%	0.92	1.47	+10.14%	+86.67%	15	14.44	+8.38%
CBOE Volatility Index	US	+1443.29%	0.39	1.57	+63.76%	+86.67%	15	8.25	+88.17%
Dow Jones Industrial Average	US	+26.79%	0.43	0.67	+13.84%	+78.57%	14	5.07	+10.72%
NASDAQ Composite	US	+9.87%	0.11	0.16	+25.97%	+63.64%	11	1.49	+16.65%
Russell 2000	US	-4.98%	-0.06	-0.08	+29.38%	+63.64%	11	0.98	+17.21%
S&P 500	US	+19.82%	0.27	0.41	+18.54%	+72.73%	11	2.39	+12.92%