KILLED · fees eat the bounce
Hypothesis
RSI below 30 marks capitulation; buying the cross back above 30 captures the bounce. Sold as a "high win-rate" entry in countless courses.
Math — Wilder RSI
RSI = 100 - \frac{100}{1+RS}, \qquad RS=\frac{\overline{gain}_{14}}{\overline{loss}_{14}}
Method
Long when RSI crosses up through 30, exit at RSI 50 or 12h. Same universe / friction / split. n = 4,012.
Results
| Trades | 4,012 |
| Win rate | 48% |
| Mean net per trade | −0.19% |
| Profit factor | 0.62 |
| t-statistic | −6.9 |
Why it failed
- The 48% win rate looks respectable — and is exactly the trap. Winners are small (bounce to RSI 50), losers are the trades where "oversold" kept being right.
- Crypto downtrends routinely pin RSI below 30 for hours; the strategy systematically buys the middle of liquidation cascades.
Positive-sounding win rate, negative expectancy: the textbook asymmetry trap. −0.19%/trade over four thousand trades, t = −6.9.
Never evaluate an entry by win rate. Evaluate the full distribution — one fat left tail erases a month of small bounces.