Tested strategies
Study 1: 12 famous strategies tested the same way →
Does It Backtest?
Popular trading rules, tested in QuantWright with costs on, every version counted, and one held-out test on years the rules never saw. The figures are the results as QuantWright stated them: statistics, never prices. Backtested results are hypothetical. Research software, not financial advice.
| # | Strategy | Market | Grade | Held-out test | Tested |
|---|---|---|---|---|---|
| 1 | RSI(2) mean reversion, with and without a 200-day filter | SPY | C | Run once | 26 October 2026 |
#1: RSI(2) mean reversion, with and without a 200-day filter
Rules. Version A: buy at the next open when the 2-day RSI closes below 10; sell when the close is above its 5-day simple moving average. Version B: the same, but buy only when the close is above its 200-day simple moving average.
Market. SPY, daily bars, long only, one trade at a time.
Data. US stocks and ETFs on daily bars, split-adjusted, with cash dividends credited on each ex-date (total returns). Run through the Agent API by Claude Code, on a research account used only for this series.
Costs. The defaults: commission 0.005% per round trip and slippage 0.01% per fill, with next-bar fills.
Versions tried. Two rules, each on two windows: four development runs. Version B on 1993–2024 was graded against the 2 distinct versions this account had tested on SPY in the last 30 days.
| Version | Window | Trades | Won | Grade (Honesty Score) |
|---|---|---|---|---|
| A | Jan 1993 – Dec 2024 | 384 | 71% | C (64/100) |
| B | Jan 1993 – Dec 2024 | 242 | 75% | C (64/100) |
| A | Jan 2009 – Dec 2024 | 177 | 69% | C (60/100) |
| B | Jan 2009 – Dec 2024 | 130 | 72% | C (62/100) |
Beat buy-and-hold over the same dates? No, on every run.
Held-out test. Run once, on Version B, over 2 January 2025 – 23 October 2026: 20 trades, 80% won, grade C (51/100), below buy-and-hold. Twenty trades is a small sample. This account's held-out test on SPY is now used.
Grade C (64/100) is the most a result can score before its held-out test. A high win rate is not an edge: neither version beat holding SPY over the same dates.
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