RSI oversold/overbought (14/30/70)
What has fallen too far tends to come back and what has risen too far tends to correct: entering as price leaves each extreme captures the reversal from the start. It works above all in a sideways market, where price spends most of its time.
Measured in crypto — Binance spot · 540 pairs, delisted ones included · 0.2% per round trip
- ✓invariance
- ✗costs
- ✗placebo
- ✗benchmark
- ✗out of sample
- ✓multiple testing
At its worst the account was worth 99% less than its own best previous moment, and it spent 3,235 days below that peak.
What was measured
How many of those trades actually count
What it paid, before any deductions
Why it did not pass — it died here · the broker's fee
What would have happened to the money
The account would not fit every signal
What this result does NOT say
- One market, one universe
- Measured on 539 spot cryptocurrency pairs, delisted ones included. It says nothing about futures, equities or indices, nor about how the same technique behaves in another market.
- One window of time, not every window
- The measured period runs from 2017-08-17 to 2026-07-28. A market moves through regimes, and a technique can work in one and fail in another — the card measures the regimes that fit inside this window, not the ones still to come.
- One cost structure
- The cost charged is 0.10% per leg, in and out. Anyone paying more than that gets a worse result, and anyone paying less gets a better one — the verdict holds for this fee.
- One exit rule
- The trade was closed by: the auditor's fixed horizon (10 bars). The same entry measured with a different exit is a different strategy, and can earn a different verdict — it happens in this archive.
- The same technique, measured by another exit
- This technique was also audited under a different exit rule — the technique itself (held until the opposite signal) — and there the verdict is <strong>FAILED</strong> (the most favourable result of 2 measurements on that exit). They are different questions about the same technique, and both are published: the claim that passes on a fixed horizon and the claim that passes on the exit the technique itself teaches <strong>are not the same claim</strong>.
- The number of trades is not the sample size
- There are 21,635 trades, but only 29 independent market episodes: a single move fires the technique across dozens of assets at once, and counting those as separate observations inflates any result. It is the smaller number that governs the arithmetic. With 29 episodes, what the data supports is a range from -3.87% to +0.18% per trade — the published average is the centre of it, not the exact measurement.
- Daily bars
- Measured at the daily close. Nothing here measures what happens inside the day, and an intraday technique is not auditable with this data.
Numbers and reproducibility
The six controls
| control | status | t | threshold | episodes |
|---|---|---|---|---|
| invariance | passed | — | — | — |
| costs | failed | -2.07 | 2.05 | 29 |
| placebo | failed | -1.45 | 2.05 | 29 |
| benchmark | failed | — | — | — |
| out of sample | failed | — | — | — |
| multiple testing | passed | — | — | — |
- invariance21635 signals across 750934 barsconcentration: +33.24% of the profit sits in the top 5% of trades — with the dates shuffled, +36.85% (fails above +50.00%)
- costsgross -1.844% · cost 0.200% · net -2.044% (t=-2.07)
- placeboactual -2.044% · placebo -0.580% · excess -1.464% ± 1.011% (t=-1.45 against a threshold of 2.05, 29 real groups, 1,081,750 sham dates, draw error ±0.022%)
- benchmarktechnique -2.04% · buy and hold (same horizon) +0.03% · excess -2.07%
- out of sampleasset half A: -2.053% (t=-0.86, 29 episodes) · asset half B: -2.036% (t=-1.79, 29 episodes) · liquid half (>= US$ 2,069,553/day): -2.246% (t=-2.19, 29 episodes) · illiquid half: -1.823% (t=-2.00, 27 episodes) · period 1/4 (2017-09-05 a 2022-04-03): -3.679% (t=-2.24, 15 episodes) · period 2/4 (2022-04-04 a 2023-11-06): -2.917% (7 episodes — too small, does not count) · period 3/4 (2023-11-07 a 2025-03-10): -2.637% (5 episodes — too small, does not count) · period 4/4 (2025-03-11 a 2026-07-18): +1.015% (5 episodes — too small, does not count)
- multiple testing1 variation(s) tested · t=-2.07 across 29 episodes (equivalent to t=-1.98) · p≈0.0480 · false positives expected by chance ≈ 0.05
Equity — outside the six controls, and here is why
The t of the trade series is invariant to bet size: 0.5%, 1% and 3% agree to the sixth decimal. Nothing here moves the verdict — it moves what the account would have lived through.
- risking 1.0% per trade
- ×0.02
- worst drawdown from the peak
- −99%
- days below the previous peak
- 3,235
- signals refused for lack of capital
- 39%
- paths where the account halved (out of 12)
- 12
Reproducibility
- period
- 2017-08-17 to 2026-07-28
- assets that traded
- 539
- variations tested before this one
- 1
- gross per trade
- −1.84%
- net per trade
- −2.04%
- exit rule
- the auditor's fixed horizon (10 bars)
- horizon bars
- 10
- fee per leg
- 0.001
- episode days
- 112
- seed
- 20260728
- RSI period
- 14
- oversold
- 30.0
- overbought
- 70.0
Binance spot klines (delisted pairs included) · collected from 2026-07-27 23:31 to 2026-08-03 10:49 · 540 assets · 750,934 bars · 2017-08-17 to 2026-07-28
Hypothesis, filed before the result
The RSI is a deterministic transformation of past returns and adds no information to price; I expect a gross edge close to zero. An honest caveat, so that the prediction is genuinely falsifiable: short-term reversal in crypto is a documented effect, so this is the most plausible technique in the battery so far — if anything survives, my bet is here. Even so I expect death at cost: the technique trades often, and the pattern across the four arenas was a signal smaller than the fee.
the filing date is not in this audit's record
The original, as it was filed
O RSI é uma transformação determinística dos retornos passados e não acrescenta informação ao preço; espero vantagem bruta próxima de zero. Ressalva honesta, para que a previsão seja falsificável de verdade: reversão de curto prazo em cripto é efeito documentado, então esta é a técnica mais plausível da bateria até agora — se alguma coisa sobreviver, aposto que é aqui. Ainda assim espero morte no custo: a técnica opera muitas vezes, e o padrão das quatro arenas foi sinal menor que a taxa.
Pre-registration exists to keep prediction apart from rationalisation: written after the number, every hypothesis is right.
The same technique in the other market
The verdict is different there. The same technique, measured on independent data, came out the other way — and that says more about it than either card says alone. Read the cost and the detection floor before concluding: they are not the same in the two markets.
- cryptoFAILED← this one
- forexPASSEDopen that card
Earlier audits of the same technique
Each variation an author teaches enters as its own test, so that whatever might work in the strategy gets covered. The verdict held in all of them.