The Thesis
RSI Snap-Back is a mean-reversion play on the largest, most-watched names in tech. The premise is simple and defensible: large-cap tech tends to overshoot on short-term momentum, then snap back. The strategy buys the most oversold names when RSI drops below 35, exits when RSI climbs above 70, and rotates to hold a tight four-slot book drawn from a Mag-7 universe — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA.
The four-name cap is the strategy's most opinionated choice. It enforces discipline and limits concurrent drawdown exposure, but it also means the system spends much of its time waiting for genuinely oversold conditions rather than staying fully invested.
Recent Activity
That waiting is exactly what the tape shows right now. Across six scheduled runs from July 21 through July 28, every single session logged the same result: 0 executed, 0 rejected, cash flat at $10,000, total flat at $10,000. No entry signals fired, and there were no live trades in the window.
This is not necessarily a fault — a mean-reversion system with an RSI < 35 trigger should stand aside when nothing is oversold. But it's worth being honest that the strategy is currently idle, sitting entirely in cash, and contributing no live P&L. A run of quiet sessions is the cost of a selective entry rule.
Backtest & Validation
Over a 451-day backtest, the numbers are solid but not spectacular:
- Total return: 20.95% (final equity $12,095.14)
- CAGR: 11.21%
- Sharpe: 0.61
- Max drawdown: 23.73%
- Win rate: 66.67% across 37 trades
- Turnover: 773.36%, with just $37 in total fees
The win rate is genuinely encouraging — two out of three trades closed green — and total fees are negligible against the return. The reversion edge appears real in-sample.
The risk profile is where I'd urge caution. A Sharpe of 0.61 is modest; much of the 20.95% return came with meaningful volatility. More pointedly, a 23.73% max drawdown slightly exceeds the total return itself — an investor who joined at the wrong moment could have endured a drop larger than the strategy's headline gain. Turnover near 774% also signals frequent rotation, which is fee-light here but adds slippage and execution risk in live markets.
The most important caveat: validation is null. There is no out-of-sample or walk-forward result on record. Every figure above is in-sample, and in-sample mean-reversion metrics are exactly where overfitting hides.
Verdict
RSI Snap-Back is a coherent, disciplined strategy with a believable edge and a strong win rate. But the modest Sharpe, a drawdown that eclipses total return, the absence of validation data, and a currently idle book all argue for treating these results as a promising hypothesis rather than a proven engine. The next milestone worth watching is a genuine out-of-sample check — and the first live trade to actually fire.