Research

The Overfit archive

Every issue of Overfit points here. Research notes and long-form breakdowns: backtesting, portfolio construction, market structure, and the mechanics behind systematic trading.

#144

S&P 500 Big Range Days: A Big Day Predicts Volatility, Not Direction

Oct 1, 2026 · 11 min read

"Big range day" means three different things depending on whether you measure in points, percent of price, or ATR, and the rulers disagree about which days even count: 549 of the 635 six-point days landed in the 2020s, as SPY went from $44.34 to $741.75.

#143

RSI vs Stochastic vs Williams %R: 33,792 Backtests

Sep 24, 2026 · 12 min read

33,792 backtests across RSI, Stochastic and Williams %R on four index ETFs: the setup matters more than the indicator. 89.7% of long-side variants made money against 8.8% of short-side, and buying dips beat chasing breakouts 55.7% to 42.9%.

#142

The Better-RSI Showdown: We Tested 4 RSI Upgrades on SPY, QQQ, IWM, and DIA

Sep 10, 2026 · 10 min read

1,856 backtests across four RSI families on SPY, QQQ, IWM and DIA: Connors RSI and Z-Score RSI modestly beat plain RSI on median risk-adjusted return, Laguerre RSI was the worst of the four despite its lag-free marketing, and the simplified three-condition Triple RSI tested here does not reproduce the popular win-rate claim.

#141

I Backtested ICT / Smart Money Concepts — What Survives

Sep 3, 2026 · 10 min read

The four core ICT / Smart Money Concepts entries — order blocks, fair value gaps, liquidity sweeps and Optimal Trade Entry — codified into mechanical rules and run against three textbook entries and a coin flip across four markets. None showed a statistically significant 5- or 10-day forward-return edge on SPY.

#140

Can AI Build a Profitable Trading Strategy? I Backtested 5 LLM-Generated Rules on SPY to Find Out

Aug 22, 2026 · 11 min read

Two experiments on SPY: a 2,304-variant optimizer sweep standing in for what AI does when it hunts for "the best strategy," and 5 AI-generated rules implemented verbatim. The optimizer's top-25 risk-adjusted score collapsed 85% out-of-sample, and 0 of 2,068 eligible strategies beat buy-and-hold.

#139

Coin Flip Trading: What Randomness Tells Us About Market Bias

Oct 11, 2025 · 5 min read

Coin flip backtests show hidden market tendencies in ES, NG, and AD.

#138

Dollar Cost Averaging vs Moving Averages: Why Risk Management Wins Every Time

Aug 17, 2025 · 5 min read

Dollar Cost Averaging leaves you exposed to big losses. Learn how moving averages and Tactical Asset Allocation deliver smoother returns and stronger downside protection.

#137

Keltner Channels vs Bollinger Bands: 116,640 Backtests (and the Third Band I Built)

Aug 2, 2025 · 12 min read

116,640 backtests put Bollinger Bands, Keltner Channels and Casey Bands through one identical harness. Measured the same way on both, the band you pick moves the share of profitable long variants by 2.8 percentage points and the side you trade moves it by 90.4. At each family's most durable SPY setting, paying 0.05% a side drops Bollinger below buy-and-hold on MAR while the other two stay ahead.

#136

Larry Connors R3 Strategy — Rebuilt for Index Futures (With a Smarter Filter)

Jul 26, 2025 · 4 min read

Larry Connors’ R3 strategy still works, if you update it. Discover how volatility filters and index futures give more trades and a better edge.

#134

Same Breakout Strategy, Different Results: Nasdaq vs. SP500 vs. Dow

Jun 20, 2025 · 3 min read

Compare how the same breakout strategy performs on Nasdaq, S&P 500, and Dow. The results may surprise you.

#133

📚 How to Build Profitable Strategies with the CCI Indicator

Jun 13, 2025 · 4 min read

Learn how to build short-side CCI strategies that actually work, tested on British Pound futures with real strategy results.

#132

Donchian Channel Strategy: I Backtested '40 In, 20 Out' 1,188 Ways on 33 Years of SPY

Jun 6, 2025 · 8 min read

The classic 40-in/20-out channel breakout, re-tested 1,188 ways on 33.4 years of SPY: long-only still made 105.5% frictionless — but the famous 20-day-low exit lost to a plain 20-bar time exit, every unfiltered short entry length lost money under the channel-20 cover and three of the six drew down past 100%, and the edge has decayed every decade.

#131

StrategyQuant X Review: The No-Code Way to Build Trading Strategies

May 30, 2025 · 14 min read

I have run StrategyQuant X on an Ultimate licence since 2019, I am a paid affiliate, and my course is built around it — all stated up front. Here is the verified 2026 pricing ($1,290 Starter, $1,490 Professional, $2,900 Ultimate), the edition gate that decides the purchase, what Build 144 changed, and who should not buy it.

#130

Cumulative RSI Strategy: A Smarter Twist on RSI(2) for S&P 500

May 23, 2025 · 4 min read

Discover how Cumulative RSI improves over RSI(2) with smoother signals and real-world profits on the S&P 500

#129

Range Expansion Index (REI): The Indicator Traders Are Missing Out On

May 16, 2025 · 3 min read

Discover the Range Expansion Index (REI), a powerful RSI alternative proven to enhance trading signals on major indexes.

Browse all 44 articles