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BACKTESTING · SESSION-RANGE MEAN REVERSION

Session-Range Mean Reversion Backtest in Crypto: Fees, Slippage and Break-Even Costs

Fading moves to the edges of a session's range assumes the range holds. Session definition and a stop beyond the range decide the outcome.

By ChartsPod Editorial Team · Reviewed by ChartsPod Research
Published · Updated · 5 min read

Short answer

A session-range mean-reversion rule defines a range over an early part of a session (e.g. the first 4 hours after 00:00 UTC) and fades touches of its edges, targeting the middle. Results depend on the session start, range length, the stop beyond the edge and trend days, which break ranges and produce large losses. Compute break-even cost, use next-bar fills and separate results for range days and trend days.

Break-even cost

ItemValue (illustrative)
Trades230
Gross avg per trade+0.18%
Fees (2 × 0.05%)−0.10%
Slippage (2 × 0.03%)−0.05%
Net avg per trade+0.03%
Break-even round-trip cost0.18%
Session-Range Mean Reversion: edge vs cost per trade (%)Session-Range Mean Reversion: edge vs cost per trade (%): Gross edge 0.18 %; Fees 0.10 %; Fees + slippage 0.15 %.SESSION-RANGE MEAN REVERSION: EDGE VS COST PER TRADE (%)Gross edge0.18 %Fees0.10 %Fees + slippage0.15 %
Edge per trade versus cost per trade. Original ChartsPod editorial graphic.

Range vs trend days

Day typeTradesNet avg (illustrative)
Range days160+0.21%
Trend days70−0.38%
All230+0.03%
Illustrative net avg (%)Illustrative net avg (%): Range days +0.21 %; Trend days -0.38 %; All +0.03 %.ILLUSTRATIVE NET AVG (%)Range days+0.21 %Trend days-0.38 %All+0.03 %
Trend days erase the edge. Original ChartsPod editorial graphic.

Conclusion

Related: Opening-Range Breakout Backtest in Crypto: Fees, Slippage and Break-Even Costs, CCI Mean Reversion Backtest in Crypto: Fees, Slippage and Break-Even Costs.

Backtest the session-range mean reversion rule with costs in ChartsPod.

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Compute break-even cost, use next-bar fills and separate results for range days and trend days.

Compare Session-Range Mean Reversion Backtest in Crypto across Binance, Bybit, OKX and Hyperliquid markets.

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Questions readers ask

What is session-range mean reversion?

Fading edges of an early-session range.

When does it fail?

Trend days.

Which session?

Fix one and test alternatives.

Sources and methodology

Backtest cost logic follows TradingView's Pine Script strategy documentation; indicator definitions are standard. All performance numbers are illustrative examples of the method, not results of real tests.

  1. TradingView Pine Script: Strategies — simulated fills and assumptions.
  2. TradingView Pine Script: Repainting — live vs historical calculation.
  3. ChartsPod documentation — guides for order flow, derivatives, alerts, backtests, journal and workspaces.

This article explains research tools and workflows. It is not financial advice, does not recommend buying or selling any asset and does not predict prices. Crypto derivatives carry a risk of rapid and total loss of margin.

CHARTSPOD EDITORIAL EDITION · RESEARCH AND EDUCATION ONLY · NOT FINANCIAL ADVICE.