Help a noob analyze his algorithm. RSI(2) mean reversion strategy on SPY with 984% over 15 years
u/Repulsive-Film4476 ·
Reddit — r/algotrading
· April 24, 2026 at 19:45
· ⬆ 15 pts
· 💬 28 comments
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Summary
The author is an incoming college freshman seeking feedback on a backtested RSI/SMA mean-reversion strategy on SPY that yielded 984% over 15 years.
The post asks specific questions about algorithmic performance metrics, including Probabilistic Sharpe Ratio (PSR), drawdown recovery periods, win rates, and beta.
Quality assessment: Noise/Educational. This is a beginner's backtest review request, explicitly noting "zero slippage" and a low trade count (95 trades), making it an educational discussion rather than actionable due diligence.
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Hey all, been working on a systematic strategy and got some results I'm cautiously optimistic about but want to pressure test. Would love feedback from people who've done this longer than me.
Additionally, I'm an incoming freshman at a T5 CS college tryna stand out in recruiting as soon as I can. What books could yall recommend for learning more complicated strategies. I've taken linear algebra, real analysis, multi, stats, quantum mechanics, but more math fundamentals are always helpful.
**The strategy in brief:**
* SPY only
* Long when: price < SMA(Lookback), price > SMA(Lookback \* Mult) RSI(RSI\_Lookback) < 75
* Exit long when price closes below SMA(Lookback \* Mult)
* 2x leverage on active SPY positions
* Idle capital parked in BIL when flat/Choppy
I don't have a specific regime filter, but if my understanding is correct, SMA over a long period of time (100+) days should be sufficient to see price direction.
Results from 2000-2025 showed 1600% net profit. Both with **ZERO SLIPPAGE**
**Results (2010–2025, QuantConnect):**
* Net profit: 984%
* CAGR: \~16%
* Max drawdown: 28.9%
* Total trades: 95
* Win rate: 45%, but average win 16.19% vs average loss -1.87%
* Profit factor implied around 8.68
* Sharpe: 0.665
**My questions:**
1. PSR is only 11.787% and sharpe only 0.665. My understanding is this adjusts Sharpe for skewness and trade count. Is 95 trades still too few for PSR to be meaningful, or is the low PSR here a genuine red flag about the strategy's statistical validity?
2. The 931 day drawdown recovery period concerns me. is that just also just a structural feature of low-frequency strategies or is there something specific I should be targeting to reduce it without blowing up the edge?
3. Win rate is 45% with a 55% loss rate. Intuitively this feels uncomfortable even though the math works out via the asymmetric payoff. Is there literature or general consensus on whether low win rate asymmetric strategies tend to degrade out of sample more than high win rate strategies?
4. Beta of 0.628 with 2x leverage seems lower than I'd expect. Is that a result of the BIL allocation dragging beta down when flat, or is could there be something else going on?
5. Would it make any sense to ditch holding BIL and utilize a bidirectional strategy (ei