Intraday RSI 15m
Mean reversion · Equity ETFs · 15-min
The rules, in plain English
This intraday version buys an equal-weight basket when RSI looks oversold, trading on 15-minute bars. Equal weights keep it simple — no holding gets special treatment. At this speed the published gains were modest, and real-world trading costs would matter greatly.
The published backtest
| Total return | +2.6% |
|---|---|
| CAGR (annual growth rate) | — |
| Sharpe ratio | — |
| Maximum drawdown (worst peak-to-trough fall) | -1.1% |
| Win rate | — |
| Profit factor | — |
| Risk grade (our shorthand, from the published figures) | Not graded |
| Asset class | Equity ETFs |
| Style | Mean reversion |
| Timeframe | 15-min |
| Type | Weights |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Modest
This one made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -1.1% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.