The Thesis
RSI Snap-Back is a disciplined mean-reversion strategy targeting the Magnificent 7 — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA. The premise is straightforward: large-cap tech names, despite their volatility, tend to snap back sharply after short-term momentum extremes. The strategy enters when RSI falls below 35 (oversold territory) and exits when RSI climbs above 70 (overbought). A hard four-slot book cap enforces position discipline and caps concurrent drawdown exposure — you can't chase every dip at once.
The logic is sound. These are among the most liquid names in the world, with deep institutional participation that tends to absorb extreme selling and push prices back toward fair value relatively quickly. The RSI thresholds are conservative enough to filter out noise while still catching genuine dislocations.
Backtest Performance
Over 451 days of backtesting, RSI Snap-Back generated a 20.95% total return on a $10,000 paper portfolio, ending at $12,095. Annualised, that's an 11.21% CAGR — respectable for a strategy that spends meaningful time in cash waiting for setups.
The 66.67% win rate across 37 trades is a genuine strength. Two-thirds of entries resolved profitably, which suggests the RSI thresholds are doing their job as a filter. A Sharpe ratio of 0.61 is modest — the strategy earns its returns, but not without volatility.
The headline risk is the 23.73% maximum drawdown. For a mean-reversion strategy on names as volatile as NVDA and TSLA, a drawdown of that magnitude is not surprising, but it demands respect. Anyone running this live needs a stomach for periods where all four slots are underwater simultaneously — which, in a correlated selloff, is exactly when the strategy would be most exposed.
Turnover of 773% annualised is high, reflecting the rotation-heavy nature of the book. In a real account, transaction costs and slippage would erode returns meaningfully; the backtest shows $37 in total fees (flat, symbolic) and zero FX cost, so live performance would look somewhat worse.
Recent Activity: Patience, or Stagnation?
The live run log tells a consistent story: zero trades executed across every scheduled run from June 19 through June 26. The portfolio remains fully in cash at $10,000.
This isn't a malfunction — it's the strategy working as designed. RSI Snap-Back only enters when a Mag-7 name drops into genuinely oversold territory. If the market is trending sideways or upward, the entry signal simply never fires. Six consecutive cash-flat sessions suggest the universe has been too strong (or too stable) to trigger a sub-35 RSI reading on any of the seven names.
That's a reasonable feature, not a bug. The discipline to stay out when conditions aren't right is what separates a rule-based system from one that forces trades. But extended inactivity does raise a practical question: if the Mag-7 keeps grinding higher without a meaningful pullback, the strategy may underperform a buy-and-hold benchmark simply by being uninvested.
Risks Worth Watching
- Correlation risk: All seven names are highly correlated. A sector-wide drawdown can fill all four slots simultaneously, amplifying losses.
- Regime risk: Mean-reversion strategies underperform in sustained trending markets. A multi-month rally in tech could leave this strategy largely idle.
- No validation data yet: The
validationfield is null — the backtest has not yet been subjected to out-of-sample testing. Until that changes, the 20.95% return figure should be treated as in-sample only.
Bottom Line
RSI Snap-Back is a clean, well-constrained strategy with a credible thesis and a track record of profitable trades when its conditions are met. The current dry spell is the cost of discipline. The next test will be whether it captures the next Mag-7 dip cleanly — and whether that drawdown ceiling holds when it matters most.