Crypto Wednesday: Optimizing the RSI Dip
StatsEdgeTrading
Today I took the first crypto system from idea to a tradable prototype. The core is simple: a two-period RSI flags short-term oversold, then I bid below the signal bar for a deeper flush. Crypto’s personality—sharp dumps that often snap back—makes mean reversion a logical first swing.
I built and refined the test in RealTest and added one filter: require higher volatility. Then I ran a broad optimization on how far to bid under the prior low. As expected, the further I bid, the fewer fills, higher win rate, smoother curve… but less total profit. Closer bids mean more trades, higher return, and fatter drawdowns. The right answer isn’t an extreme—it’s a cluster.
Where I landed: profit factor around 1.6, win rate about 38 percent, max drawdown near 33 percent on crypto pairs. Solid stats for a first brick, and this will live alongside other uncorrelated systems to smooth the overall equity curve. Next steps: paper trade for a month to validate fills and behavior, then scale small, then standard size, while I build system number two.
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