The Thesis
RSI Snap-Back operates on a straightforward premise: the most liquid, most-watched names in the market — Apple, Microsoft, Nvidia, Alphabet, Amazon, Meta, and Tesla — don't stay oversold for long. When RSI drops below 35, institutional buyers tend to step in; when it rises above 70, momentum chasers have already done their work. The strategy enters at the former and exits at the latter, enforcing a hard cap of four concurrent positions to keep drawdown exposure contained.
It's a clean, rules-based approach with no discretion and no narrative — just signal, entry, exit, rotate.
Backtest Performance
Over 451 days and 37 trades, RSI Snap-Back produced a 20.95% total return (CAGR: 11.21%) on a $10,000 paper portfolio, finishing with $12,095 in equity. The win rate of 66.67% is respectable for a mean-reversion system — two of every three trades resolved in the intended direction.
The Sharpe ratio of 0.61 is the first number that deserves scrutiny. It's not bad, but it's not strong either. For a strategy that selectively enters only the most extreme RSI readings in mega-cap names — trades that should theoretically carry high conviction — a Sharpe below 1.0 suggests the winners aren't winning by enough relative to the volatility endured.
The turnover figure of 773% is worth flagging. Across 451 days, the portfolio churned through positions at roughly 7.7× capital. That's aggressive rotation for a four-slot book, and in a live environment with real bid/ask spreads and market impact, fee drag would compound meaningfully beyond the flat $37 in backtest fees recorded here.
The Drawdown Problem
The headline risk metric is the 23.73% maximum drawdown. For a strategy explicitly designed to limit concurrent exposure via a four-slot cap, losing nearly a quarter of the book at peak-to-trough is significant. It tells you that when Mag-7 names fall together — as they do during macro selloffs — mean-reversion entry signals can cluster and turn into correlated losses. The strategy's diversification assumption breaks down precisely when you need it most.
Recent Activity: Six Days of Silence
From June 23 through June 30, RSI Snap-Back ran its scheduled checks every trading day and found nothing to do. Cash sat at $10,000 across all six sessions — zero trades executed, zero rejected.
This could be read two ways. Optimistically, the strategy is doing exactly what it should: refusing to trade when no names in the Mag-7 universe hit the RSI < 35 entry threshold. The 4-slot discipline extends to not forcing trades. Pessimistically, a prolonged stretch of full cash in a live strategy raises the question of whether the entry threshold is calibrated too strictly for current market conditions, where large-cap tech has largely trended without the sharp drawdowns that generate RSI extremes.
What to Watch
No walk-forward or out-of-sample validation data is available yet — the validation field is null. That's the most important open item. A 451-day backtest on seven heavily studied names carries real overfitting risk; the RSI 35/70 thresholds may be fitted to historical volatility regimes that don't persist.
The next meaningful signal will come when the market gives RSI Snap-Back a genuine entry opportunity. How it handles the first live drawdown — and whether the four-slot cap actually contains losses as designed — will say more than the backtest ever can.