Does Stoch-RSI Weekly Filter help RSI(2) Mean Reversion?
Crypto · 34 backtest runs · As of 12 Sept 2026 · Methodology
HurtsDSR ✗ not confirmed
This filter reduces median CAGR, with the entire 90% interval below −1 percentage point — either more false signals or too many blocked trades.
CAGR Comparison
Baseline CAGR
0.2%
no filter
Filtered CAGR
0.2%
Stoch-RSI Weekly Filter
Δ CAGR
-4.60%
Sample
34
runs
Baseline Net CAGR
-0.4%
after costs
Filtered Net CAGR
-9.5%
after costs
Risk-Adjusted Performance
Baseline Sharpe
0.017
median
Filtered Sharpe
0.128
Δ Sharpe
-0.06
DSR
1.7%
not confirmed
How does this filter work?
BUY signals only while the asset’s weekly StochRSI(14) sits above its SMA(3)
DSR Methodology
▼
DSR = PSR(SR̂₀) per Bailey & López de Prado (2014). SR̂₀ = 0.7190 (expected best Sharpe from 10 random filter trials).
Testing multiple filters on the same data increases the chance of finding a good result by luck. DSR measures whether this result clears the multiple-testing threshold. Pass threshold: DSR ≥ 90%. Current: 1.7%.
Full analysis in Edge Library
Per-asset breakdown, trade-level data, Sharpe comparison — available after sign-in.
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