MA200 + RSI Pullback + Hard Close

A long-only swing-trading indicator that signals entries when an
uptrending stock pulls back to oversold levels — but only during a
confirmed bullish market regime. Force-exits all signals when SPY
breaks its 200-day MA ("hard close").

═══ RULES ═══
• Entry: Close > MA200 AND RSI(14) < 40 AND SPY > SPY MA200 AND VIX < 30
• Exit : RSI > 70 OR Close < MA200 OR 2×ATR(14) trailing stop
• Hard close: exit ALL signals when SPY < SPY MA200 (regime kill switch)

═══ BACKTEST (499 S&P 500 stocks, 2008–2025, 0.1% commission) ═══
• Sharpe ratio: 1.25
• CAGR: 18.6%
• Max drawdown: -17.2%
• Trades: 1,719
• Win rate: 45.8%
• Avg hold: 18.7 days

═══ WALK-FORWARD VALIDATION ═══
• In-sample (2008–2018) Sharpe: 1.59
• Out-of-sample (2018–2025) Sharpe: 1.11
• IS → OOS degradation: ~30% (acceptable; classic edges often degrade 50%+)
• The hard-close filter cuts max drawdown ~9pp vs. the same strategy
without it — and makes IS/OOS more consistent (less regime-dependent).

═══ HOW TO USE ═══
• Daily timeframe, one ticker at a time (S&P 500 large-caps work best)
• Green triangle below bar = LONG signal
• Red triangle above bar = EXIT signal
• Red background = hard-close regime active (SPY in downtrend)
• Status table top-right = current state at a glance
• Five alert conditions provided (entry, all four exits)

═══ WHY IT WORKS ═══
The MA200 filter avoids catching falling knives. RSI < 40 in an uptrend
catches institutional panic that mean-reverts. The market filter and
hard close prevent participation in broad bear markets where mean-
reversion edges break down (2008, 2020, 2022).

═══ HONEST CAVEATS ═══
• Past performance ≠ future results.
• Backtested with ~10bps round-trip costs; higher costs degrade results.
• This is an INDICATOR, not an auto-executing strategy.
• Tested on US large-caps only. Behavior on small-caps, international,
ETFs, or crypto is untested or shown to underperform.

Not financial advice. Trade your own account. DYOR.

릴리즈 노트

A long-only trend mean-reversion system for stocks. It buys quality
names that are in an uptrend (price > 200-day MA) but temporarily
oversold (RSI < 40) — institutional panic that historically recovers.
Exits on RSI > 70, a close below the 200-MA, or a 2×ATR stop.

WHAT MAKES THIS DIFFERENT
This isn't a backtest fantasy. It was walk-forward validated:
parameters fit on 2008–2018, then tested untouched on 2018–2025.
The edge degraded ~30% out-of-sample — which is GOOD. A degradation
that small means the edge is real, not curve-fit. Most published
scripts hide their out-of-sample results. I lead with mine.

THE "HARD CLOSE" RULE
When SPY drops below its own 200-MA, the system closes everything
regardless of individual signals. This cut max drawdown from -25.9%
to -17.2% across 2008–2025 on the S&P 500 universe.

HONEST LIMITATIONS (rare on TV, I know)
• It's mean-reversion — it WILL catch some falling knives.
• Win rate is ~46%. The edge is in the asymmetry (avg win +8.2%
vs avg loss -3.9%), not in being right often.
• Tested on US large-caps. Don't assume it ports to crypto/forex.
• Backtest uses today's S&P 500 members (survivorship bias), so the
point-in-time numbers would be lower. The walk-forward DEGRADATION
is the honest signal here — not the absolute Sharpe.

HOW TO USE
Daily timeframe, one ticker at a time. The SPY-trend filter and the
VIX < 30 filter are toggles. The status table (top-right) shows
exactly which conditions are met right now.

Open-source under MPL 2.0 — read every line, change what you want.
If it earns a boost, it tells me the honest approach is worth
continuing. Comments welcome, especially critical ones.

릴리즈 노트

A long-only trend mean-reversion system for stocks. It buys quality
names that are in an uptrend (price > 200-day MA) but temporarily
oversold (RSI < 40) — institutional panic that historically recovers.
Exits on RSI > 70, a close below the 200-MA, or a 2×ATR stop.

WHAT MAKES THIS DIFFERENT
This isn't a backtest fantasy. It was walk-forward validated:
parameters fit on 2008–2018, then tested untouched on 2018–2025.
The edge degraded ~30% out-of-sample — which is GOOD. A degradation
that small means the edge is real, not curve-fit. Most published
scripts hide their out-of-sample results. I lead with mine.

THE "HARD CLOSE" RULE
When SPY drops below its own 200-MA, the system closes everything
regardless of individual signals. This cut max drawdown from -25.9%
to -17.2% across 2008–2025 on the S&P 500 universe.

HONEST LIMITATIONS (rare on TV, I know)
• It's mean-reversion — it WILL catch some falling knives.
• Win rate is ~46%. The edge is in the asymmetry (avg win +8.2%
vs avg loss -3.9%), not in being right often.
• Tested on US large-caps. Don't assume it ports to crypto/forex.
• Backtest uses today's S&P 500 members (survivorship bias), so the
point-in-time numbers would be lower. The walk-forward DEGRADATION
is the honest signal here — not the absolute Sharpe.

HOW TO USE
Daily timeframe, one ticker at a time. The SPY-trend filter and the
VIX < 30 filter are toggles. The status table (top-right) shows
exactly which conditions are met right now.

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