Backtest Results

RSI Mean Reversion

FOREX1h1/15/2024
✅ Deployable
Risk Score: 23
12.3%
CAGR
1.42
Sharpe Ratio
-8.5%
Max Drawdown
58.2%
Win Rate

Equity Curve

Performance Metrics

cagr:12.3%
sharpe:1.42
sortino:1.68
max Drawdown:-8.5%
calmar:1.45
win Rate:58.2%
exposure:85.4%
turnover:2.30
trade Count:156.00

Anti-Overfitting Tests

Probabilistic Sharpe Ratio:
0.89
Deflated Sharpe Ratio:
0.92
White's Reality Check:
p=0.023
Leakage Check:
Clean

Robustness Tests

Fee Shock

Impact: -2.1%

Slippage Shock

Impact: -1.8%

Regime Shift

Impact: -15.3%

Risk Score Breakdown

Overall Risk Score
23
Statistical Tests (PSR/DSR/RC)8/35
Robustness Score12/35
Leakage Detection0/15
Parameter Stability3/15

Risk scores ≤ 35 are eligible for deployment. This strategy passes all anti-overfitting tests and is ready for live trading.