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Thorp
← Strategies
2026-04-05 · Strategy Detail

Mean Reversion

Counter-trend entries when RSI is extreme and the regime supports a bounce. Small size, defined risk, quick exit.

○ DORMANT
Total trades
0
Win rate
—
Total P&L
—
Open positions
0

Current Candidates

Signals from today's pipeline matching this strategy

0
Strategy is dormant in current regime — no candidates being surfaced.

Entry Rules

  • RSI(14) must be below 30 (oversold) or above 70 (overbought)
  • Regime must support: choppy or early-trending (not crisis)
  • Entry via debit spread to define risk: e.g. bull call spread for oversold
  • Max position size: 1.5% of portfolio

Exit Rules

  • Target RSI returning to 50 zone (half-reversion)
  • Time stop: exit within 10 trading days
  • Stop: if price continues to extend >5% beyond entry

Risk Rules

  • Never fade a crisis-regime breakdown — these can run far
  • Stick to liquid, large-cap names only
  • Use spreads not naked positions

Why This Works

RSI extremes on liquid large-caps revert more often than they continue. This is a low-frequency, small-size strategy — each setup is high quality. The regime filter is critical: mean reversion fails in strong trends.

Trade History

0 closed
No closed trades yet for this strategy. Paper trades written to state/trades/mean-reversion-*.json