dayHigh Win Ratemean-reversionsimpleBest TF: 15mFailed out-of-sampleTV: Compiled (Pine v6 PASS)

RSI-2 Mean Reversion

Connors RSI-2 oversold/overbought with a 200-SMA trend filter. Enter on extreme RSI readings, exit on reversion.

Profitability — TV multi-year derived

NEGATIVE EV

RM/Day

-100

net MYR ÷ trading days

Trades/Day

0.9

avg trade frequency

Monthly Est

RM -2,209

RM/day × 22 days

Trading Days

1,038

2022-01-01 → 2026-04-25

Philosophy

“Short-lookback RSI catches true exhaustion. Pair it with a long-term trend filter so you only mean-revert in the direction of the bigger tide.”

Walk-forward status: Failed out-of-sample

Every variant we walk-forward-tested collapsed out-of-sample (OOS SQN < 1.0 or negative). The in-sample numbers shown below are the RAW backtest — they did NOT transfer to unseen data. Reject for live trading.

This strategy: Mode A walk-forward on legacy_5m: all 3 rsi2 variants failed OOS (best was r2_10/90 with OOS SQN -0.85). Rolling Mode B: rsi2 variants never appeared in the top-5 train in any of the 4 windows. The featured legacy_15m result is in-sample only — the edge did not transfer to unseen data.

Authoritative result · TV multi-year backtest

TradingView 5m, multi-year history

TV UNPROFITABLE

Net (MYR)

-104,205

Profit Factor

0.24

Win rate

24.7%

Trades

963

Max DD (MYR)

+104,250

Catastrophic on TV multi-year 5m. -104k MYR, PF 0.24. The 30-tick SL against a 2-period RSI on low-volatility palm oil 5-min bars means stops get hit ~75% of the time before RSI can revert. The 1-month 62% WR was sampling luck.

Tested 2026-04-25. This is the load-bearing evidence — it overrides the 1-month sweep below.

Local 1-month sweep — in-sample only, weak signal

In-sample only — weak signal

SQN

1.68

Profit Factor

2.03

Win rate

61.7%

Trades

Net profit

MYR +3,865

Max drawdown

MYR +2,015

Dataset

legacy_15m

Timeframe

15m

Strategy properties

Style: day
Profile: High Win Rate
Trades / day: 2.10
Avg bars held: —
TV compile status: Compiled (Pine v6 PASS)
Walk-forward: Failed out-of-sample

Parameters

rsiPeriod: 2
longThreshold: 20
shortThreshold: 80
smaPeriod: 200

Applies to

Market: FCPO (Crude Palm Oil Futures, Bursa Malaysia)
Timeframe: 15m
Style: Day trading (minutes to hours)
Complexity: 1 rule, plug-and-play

When it works

Range-bound / low-volatility regimes. Avoid strong trending sessions.

Pine Script coming soon

Related strategies (mean-reversion)

VWAP Reversion

SQN 2.29 · PF 6.25

Bollinger Squeeze Breakout

SQN 0.52 · PF 1.70

FCPO Calendar Spread (FCPO1 − FCPO2)

SQN -2.41 · PF 0.49

Full raw backtest result

{
  "dataset": "legacy_15m",
  "tf": "15m",
  "params": {
    "rsiPeriod": 2,
    "longThreshold": 20,
    "shortThreshold": 80,
    "smaPeriod": 200
  },
  "trades": 47,
  "winRate": 61.7,
  "netProfitMYR": 3865,
  "profitFactor": 2.03,
  "sqn": 1.68,
  "maxDrawdownMYR": 2015
}