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The result is based looking forward bias , which is wrong. Seems rsi is not that predictive.

Thanks . Here is some of my experience which maybe useful or harmful. RSI with 2 day period maybe useful. note: RSI(i) means the 2 day period RSI value on the i day. Here is a intraday strategy based 2 day period RSI I have tested : RSI(i) < 1, get long position ; Stop loss -1%; RSI(i) > 95...

The strategy seems making sense. It uses MA, past return to discover macro relationships between securities. How did you use 30-day past return ?