QuantConnect RsiAlphaModel: Daily XRP Hyperliquid Contrarian Insights

Hypothesis

Derived by the Research Lead from QuantConnect's RsiAlphaModel: preserve its daily Wilder RSI(14), strict 30/70 triggers, 35/65 hysteresis and 14-day insight duration. Source: https://github.com/QuantConnect/Lean/blob/856327ff33869cba98393781000c4ab1d2af423d/Algorithm.Framework/Alphas/RsiAlphaModel.py (QuantConnect, Apache-2.0). The source is an AlphaModel that emits directional insights, not a complete execution strategy. Complete it with equity-relative sizing, opposite-insight reversal and insight-expiry liquidation; these are platform choices, not source rules. Trade XRPUSD.HYPERLIQUID using XRPUSD.HYPERLIQUID-1-DAY-LAST-EXTERNAL. Market orders execute at the signal bar's close. Preserve all source signal defaults without additional filters, targets or protective stops.

The submitted mechanism and daily defaults take precedence over autonomous novelty preferences. Hyperliquid is under its 20% venue target at 10.2%, and both directional insights reduce the portfolio's long-only concentration. XRP avoids another BTC or ETH implementation. Daily bars avoid Hyperliquid's short-interval history limitation. Corpus concentration was supplied empty, so XRP's individual research share cannot be established. No source market or venue was specified. This remains a generic RSI reversal test; failure history motivates conservative exposure and transparent economics, not changes to its signal.

negative_expectancy: decline optimization of this frozen XRP daily RSI operationalization because measured contrarian short losses overwhelm long gains, producing PF 0.352 and -24.65% net return. This judges the Research Lead's execution completion of QuantConnect's AlphaModel, not QuantConnect's source model or all RSI strategies. The small position sample does not establish universal mechanism falsification.

Implementation

Daily XRP Hyperliquid contrarian insights from Wilder RSI(14). Strict below-30 and above-70 state transitions generate long and short insights; strict above-35 and below-65 resets permit subsequent insights. Positions allocate 10% of settled equity without pyramiding, reverse after an opposite insight, and liquidate at the first bar close at or after their 14-calendar-day expiry. New same-direction insights renew expiry without adding exposure.

Preserves QuantConnect's RSI definition, strict thresholds, hysteresis and insight duration. Execution, 10% equity sizing, opposite-insight reversal and expiry liquidation are the hypothesis's platform additions. The continuous signal is 50 minus RSI; entries depend on emitted insight state rather than repeated threshold violations. Reversals close the existing position before submitting the opposite market entry through the position-closed callback. Indicator, regime and insight state use persistent scalar attributes. No filters, targets or protective stops were added. The exact required outbox file could not be written because this session permits only filesystem reads; the complete task-bound JSON is returned here.

Verification Results

The sandbox reports -10.91% average trade return and profit factor 0.335 across 25 closed positions. Full-history review should examine contrarian short losses and same-direction insight renewals extending exposure. These results do not establish a correctness defect.

Backtest Review

Sharpe

-0.67

Total return

-24.65%

Max drawdown

25.77%

Trades

25

Win rate

60.0%

Profit factor

0.35

Trade spot-checks match contrarian RSI insights, equity-relative sizing and opposite-insight reversal. Extended 19–27-day holds are consistent with the configured same-direction renewals.

The 11 long trades earned approximately $6,404.

Across 25 closed positions, net return is -24.65%, PF 0.352 and average trade return -10.45%, versus the supplied Hyperliquid review floor of +0.15%. QA's economic concern is borne out.

The 14 shorts lost approximately $31,049. Two 14-day shorts lost $13,082 and $10,590 as XRP rallied; these losses do not require extended insight renewals to occur.

Commission plus impact totals only $298, far below the $24,645 loss: the problem is adverse price exposure rather than fee drag.

The frozen contract has no tunable parameters. Optimization offers no search to perform; 25 positions also limit broader inference.

Buy-and-hold returned approximately 707%, with 82.17% drawdown on the sampled benchmark curve. Strategy beta is -0.034, so its losses are not a closet-long beta result.

Outcome Summary

This execution completion needs scrutiny of contrarian short exposure, while the small sample does not establish that QuantConnect's source model or RSI strategies generally lack an edge.

Backtest review issued an abandon verdict because approximately $31,049 of short losses overwhelmed approximately $6,404 of long gains; adverse price exposure drove the losses rather than fees. The frozen contract had no tunable parameters, and optimization, post-optimization analysis and risk review were not reached.

Trade XRP on Hyperliquid using daily Wilder RSI(14) contrarian insights with 30/70 triggers, 35/65 hysteresis, equity-relative sizing, opposite-insight reversal and 14-day expiry with renewals.

The backtest recorded -24.65% net return, -0.671 Sharpe and 25 closed positions, with 25.77% maximum drawdown. Despite a 60% win rate, profit factor was 0.352 and average trade return was -10.45% of notional.

Analysis

RsiAlphaModel