SPY strategy validation

Validated on 5-minute candles

Validated Oct 28, 2026 — may not reflect a later revision

Max drawdown

▼ −7.9%

largest fall from a peak, net of costs

Average per trade

▼ −10.5 bp

net of costs

Profit factor

0.10 → 0.02

in-sample → out-of-sample

Win rate

17% → 7%

in-sample → out-of-sample

Trades

75

48 in-sample · 27 out-of-sample

RSI(2) Extreme Reversal Long This strategy trades long on SPY during the U.S. regular session. It seeks entries when the RSI(2) is extremely low, near the VWAP or a recent support, with an up‑rejection pattern (hammer or bullish_engulfing). Positions are closed when the RSI(2) crosses above 50, or when the stop or 1.5R target is hit, whichever occurs first. During the training period, the strategy generated trades regularly but with very negative results: most entries failed to turn into profits. The out‑of‑sample period was consistently poor, with an even lower win rate and accumulated losses. The strategy does not demonstrate a profitable edge in either period. Verdict: rejected, it was not profitable in training or out‑of‑sample. Exits: take profit at a price level, stop‑loss at a price level, strategy exit condition; automatic close at session end if still open; maximum one trade per day. Net results include a cost of 0.10% per trade. Past results do not guarantee future results.