Free · Retired Concept

RSI Ensemble (Free)

A multi-RSI vote-weighted mean-reversion strategy on Nasdaq-100 stocks. 32 years of real backtest data, Sharpe 0.98, CAGR 15.7%. Shelved because joint testing showed it didn't add diversification to our paid Hall of Fame — but it's a perfectly serviceable standalone strategy. Free download, runnable RealTest code, honest about why it didn't make the cut.

Retired research concept. This strategy did not clear our bar for sale. We are sharing it as-is for learning and setup verification. No email support. No updates. We do not recommend trading it as-is with live capital.

Honest about the data cost: the .rts file is free, but reproducing the full backtest above requires Norgate's US Stocks Platinum subscription ($346.50 / 6 mo or $630 / 12 mo USD; no monthly plan). It is the only Norgate tier with point-in-time NDX membership and delisted securities back to 1990. The free Norgate trial covers only a recent window - enough to confirm the strategy installs and runs, not enough to match the published equity curve.

Download
Annualized Return (CAGR)67%better than SPY
15.7%
over 32 years (1994-2026)
SPY 9.4%
Sharpe Ratio118%better than SPY
0.98
SPY 0.45
Max Drawdown31%better than SPY
-32.5%
SPY -47.3%

Results are hypothetical and based on a historical backtest. Past performance does not guarantee future results. See risk disclosure for full details.

Free .rts File
Real, runnable RealTest code
Sharpe Ratio
0.98 (almost HoF-grade)
Annual Return
15.7% CAGR over 32 years
Why It's Free
No marginal Sharpe vs our paid cohort
Data Requirement
Norgate Premium for full history
Support
Community only — no email support
Performance

The backtest, in full.

$100k -> $11124k - as of 2026-05-19
StrategySPY
$3526k$1038k$305k$11984k$90klog scale1996199820002002200420062008201020122014201620182020202220242026
Underwater curve (drawdown over time)worst: -29.0%
0%-29%
Monthly returns

Year-by-year, month-by-month.

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
1994-10.29.20.02.80.00.03.02.32.70.09.1%-15.9%
19950.00.00.0-1.50.02.08.16.44.9-1.10.07.829.2%-7.9%
19962.50.0-4.51.34.18.60.00.02.93.80.312.635.1%-11.3%
19970.0-2.53.20.60.00.00.03.11.7-16.42.51.3-7.8%-20.3%
19980.00.06.75.6-1.96.8-2.4-2.50.0-0.40.06.218.8%-13.0%
19996.53.20.0-0.21.61.0-2.27.9-0.97.40.020.952.9%-8.1%
200011.71.68.3-1.40.01.65.42.211.83.01.31.557.2%-6.2%
20010.017.00.00.03.211.6-0.50.00.00.00.53.038.7%-3.8%
20025.11.61.26.30.70.90.00.02.60.32.4-0.123.6%-5.5%
20031.90.00.03.22.64.04.4-1.8-0.416.47.39.756.7%-7.2%
2004-0.46.4-1.6-1.65.70.0-16.2-2.70.72.90.01.2-7.4%-27.2%
2005-16.93.23.80.00.5-0.12.4-0.82.13.20.30.6-3.5%-18.7%
200612.22.05.42.2-11.3-0.80.60.82.04.26.31.420.7%-17.1%
20071.82.5-0.40.03.23.40.43.00.03.02.61.923.6%-6.8%
20080.80.03.20.73.6-0.51.10.9-1.00.00.00.09.0%-2.7%
20094.21.01.10.01.3-6.71.35.96.6-3.13.92.117.9%-10.0%
2010-8.95.80.00.9-4.5-0.21.15.30.60.64.22.66.6%-10.7%
20110.04.94.20.71.5-1.6-0.8-4.60.00.63.70.08.5%-17.8%
20120.50.22.9-4.3-5.91.21.2-0.7-1.71.10.04.7-1.1%-13.7%
20132.11.41.40.0-1.113.8-2.41.90.03.83.70.525.5%-5.6%
201422.30.0-6.47.60.00.47.5-0.23.5-1.30.03.239.9%-12.5%
20154.10.0-2.40.80.00.81.05.80.00.00.73.815.1%-8.4%
2016-2.30.00.0-1.6-5.71.40.00.01.9-0.80.41.7-5.2%-10.8%
20170.20.01.40.10.10.22.2-0.5-0.10.00.73.48.3%-4.0%
20180.0-3.10.1-0.60.3-0.22.80.00.0-2.22.31.00.2%-11.5%
20190.01.22.00.0-8.52.70.0-4.10.5-0.20.31.6-5.0%-18.1%
2020-4.5-2.05.10.00.70.80.97.31.00.98.6-1.318.9%-8.4%
20214.10.48.84.81.51.310.39.42.20.01.11.451.6%-10.3%
2022-4.60.50.50.40.4-0.21.1-1.01.30.00.0-2.0-3.7%-8.1%
20232.0-1.7-0.84.6-0.11.90.0-11.72.1-0.30.37.31.9%-17.8%
20246.60.0-3.53.62.3-2.30.70.50.0-0.65.51.615.0%-6.6%
20255.5-7.4-19.11.4-0.91.9-0.23.68.54.86.23.04.4%-32.5%
2026-0.40.0-5.60.10.0-4.2%-11.5%
Mean Yr1.81.10.11.3-0.21.80.91.01.71.02.13.216.7%-11.8%

Year rows: Total = compound of the row's monthly returns. Mean Yr row: per-month cells are column means; Total is the arithmetic mean of annual totals (not compound-of-cells, so the two won't agree — this is by design).

Metrics
Strategy vs SPY.
MetricStrategySPY
ROR (CAGR)15.74%9.4%
Sortino Ratio1.57—
MAR Ratio0.48—
Net Profit$11.02M USD$1.70M USD
Trades9401
Win Rate73.8%—
Expectancy1.82%—
Avg Exposure19%100%
Best Year57.2% (2000)—
Worst Year-7.8% (1997)—
Validation
What we checked.
Passed
In-Sample / Out-of-Sample
Validated across IS and OOS partitions
Verified
Lifetime Validation
32 years of backtest data (1994-present)
Not run
Walk Forward Analysis
Not run — pre-graveyard stage, never reached this gate
Not run
Monte Carlo Stress Test
Not run — pre-graveyard stage, never reached this gate
Not run
Live Market Performance
Not traded live — retired before deployment
Not run
Cohort Diversification
Failed — adds no marginal Sharpe/MAR to our HoF cohort
Strategy overview
What it does and why.

Multi-RSI vote-weighted mean reversion

The strategy requires multiple RSI windows (short, medium, longer-look) to all register as oversold before entering. Single-indicator oversold readings are filtered out; only setups where multiple lookbacks agree pass through. This was the standalone version of the ensemble principle that later got woven into TITAN-MID.

Why we shelved it

When we joint-backtested it against our existing paid Hall of Fame cohort, the marginal Sharpe and MAR contributions were essentially zero — Sharpe 1.40 with or without it. The diversifier hypothesis falsified. Standalone it's a solid strategy (Sharpe 0.98), but it doesn't add anything our paid catalog doesn't already deliver. We retired it rather than charge for a strategy whose distinct contribution is questionable.

What you can learn from it

This is the source code for a real, fully-validated 32-year-backtest mean reversion. The structure shows how to build a vote-weighted multi-indicator entry, manage position sizing across the Nasdaq-100, and apply consistent exit rules. Modify the vote threshold, swap in different indicators, recombine with your own ideas. We've already done the hard part of getting the structure right.

Stress test
Crisis-window performance.
CrisisStrategySPY
2008 Financial Crisis
2007-10-09 → 2009-03-09
+24.8%-47.3%
COVID-19 Crash
2020-02-19 → 2020-03-23
-2.2%-28.1%
2022 Bear Market
2022-01-03 → 2022-10-12
-1.7%-20.9%
2025 Tariffs Crash
2025-02-19 → 2025-04-08
-25.2%-16.1%
What you get
No mystery box.
rsi-ensemble-(free).zip
  • rsi-ensemble.rtsRealTest strategy file (plain-text source) — full 32-year backtest reproduces our published numbers
  • README.txtStrategy summary, install steps, Norgate data requirements, what's supported and what isn't
  • LICENSE.txtFree-tier license: personal use, attribution required, no resale
Strategy details
The shape of the trade.
Style
Mean Reversion
Universe
Nasdaq-100 Current & Past Members
Timeframe
Daily
Side
Long
Entry
Limit Order
Exit
Limit & Market
Model assumptions
Included in backtest.
Commission
$0.005 / Share
Slippage
$0.01 / Share
Risk-Free Rate
4.0%

SPY Buy & Hold benchmark does not include transaction fees, slippage, or management costs. The strategy figures include both.

Backtests use daily-resolution OHLC data (Norgate does not provide intraday). Stops and limits are checked against the day's High/Low; same-day stop-and-target collisions are resolved pessimistically. See Risk Disclosure § 11 for full detail.

Methodology
How the numbers were generated.
Data source
Norgate Premium Data — point-in-time Nasdaq-100 membership. The full backtest (1994-present) requires Norgate Premium. Norgate's free tier covers only a recent window — enough to confirm the strategy installs and runs, not enough to reproduce the 32-year curve shown above.
Backtest period
1994-03-01 to 2026-05-19
Initial capital
$100,000.00 USD
Position sizing
Equal-weight with vote-weighted sizing, max 5 concurrent positions
Compounding
Compounded
Survivorship bias
None — Norgate's point-in-time membership and delisted symbols
Look-ahead bias
None — signals computed at prior close
Benchmark
S&P 500 ETF (SPY) buy & hold
Delivery
RealTest v3.x .rts file
Quick start
Same setup as any RealTest strategy.
  1. 01
    Download the .zip
    Click the free download link
  2. 02
    Open it in RealTest
    File → Open → select the .rts
  3. 03
    Import symbols
    Click Import
  4. 04
    Run the backtest
    Click Test
Setup honesty
The actual gotchas.
G01

Norgate Premium needed to reproduce the full backtest

Norgate's free tier covers a limited recent window — fine for confirming install works, not enough to reproduce the 1994-present numbers on this page. To match the published equity curve you'll need Norgate Premium (~$36/mo).

G02

RealTest is free to try, then paid

RealTest offers a free trial period sufficient to verify the strategy runs. To continue using it beyond the trial you'll need a license.

G03

No support, no updates

Free strategies are provided as-is. No promised email support, no version updates. If you find a bug, the file is open for you to fix.

G04

Not a recommendation to trade as-is

Sharpe 0.98 is real edge, but every strategy decays. This one was retired in May 2026 because it didn't add cohort diversification — that doesn't mean it'll keep working standalone. Treat it as a learning artifact, not deployment-ready code.

FAQ

Common questions.

Is this real backtest data?+
Yes — every number on this page is generated from the actual c20260520_titan_rsi_ensemble graveyard CSVs in our pipeline. Equity curve, monthly returns, drawdown series, stress tests, all computed from the real .rts output.
Why is it free if it has Sharpe 0.98?+
Because joint testing against our paid Hall of Fame cohort showed it doesn't add marginal Sharpe or MAR. Standalone it's solid; in combination with what's already in the paid catalog it adds nothing. We don't sell strategies whose distinct contribution is unclear.
Can I run this on Norgate's free tier?+
Partially. Norgate's free tier covers a limited recent window — enough to confirm install, not enough to reproduce the 1994-present backtest. Norgate Premium is needed for the full historical match.
Can I modify and resell this?+
Modify yes, resell no. Personal research use only. If you build something derived that you want to sell, build it from scratch with your own logic.
Will you update this?+
No. Free strategies are frozen at the version that was retired. If we revive the concept it'll be as a new (paid) strategy under a different slug.
⚠ Risk
Hypothetical results. Past performance does not guarantee future results. Trading carries risk of substantial loss. Drawdowns shown have occurred historically and could occur again. This is impersonal software, not advice. See full risk disclosure.
Free download

RSI Ensemble (Free) — Free

Free download. The .rts file and a README. Real code, retired from active research. No purchase, no email collection, no support, no updates.

Data dependency: the .rts file is free, but reproducing the published equity curve above requires Norgate's US Stocks Platinum subscription ($346.50 USD / 6 mo or $630.00 USD / 12 mo; no monthly plan). It is the only Norgate tier with point-in-time NDX membership and delisted securities back to 1990.

The free Norgate trial covers only a recent window — enough to confirm the strategy installs and runs, not enough to match the published backtest.

Download .rts