The Thesis
RSI Snap-Back bets on a well-worn but durable idea: large-cap tech names overshoot in the short term and snap back. The rules are refreshingly mechanical — buy the most oversold names when RSI falls below 35, exit when RSI climbs above 70, and rotate to keep a tight four-name book. The universe is the Mag-7: AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA. The hard four-slot cap is the strategy's discipline mechanism, deliberately limiting concurrent drawdown exposure rather than chasing every signal at once.
Recent Activity: A Quiet Book
Here the story turns candid. Across the six most recent scheduled runs — from July 30 through August 6 — the strategy executed zero trades. Each daily log reads the same: "0 executed, 0 rejected," cash sitting at $10,000, total equity unchanged at $10,000. The live book is fully in cash and has been for more than a week.
This isn't necessarily a fault. A mean-reversion system that only fires on RSI extremes should be idle when nothing is oversold, and a flat, uninvested book means no capital is currently at risk. But it does mean the live track record is, for now, a blank page. The reported metrics come from backtesting, not from realized live performance, so read them accordingly.
Backtest & Validation
Over a 451-day backtest, the strategy returned 20.95% (final equity $12,095), an 11.21% CAGR. The win rate is a healthy 66.67% across 37 trades, and fees were negligible at $37 with no FX cost.
The risk picture is more sobering. The Sharpe ratio of 0.61 is modest — this is not a smooth ride, and the 23.73% max drawdown confirms it. An investor would have needed to stomach a near-quarter peak-to-trough loss to earn that 21%. Turnover of 773% is high; the rotate-to-stay-tight design churns the book aggressively, which raises sensitivity to slippage and fills that a clean backtest may understate.
One meaningful caveat: the validation field is null. There is no out-of-sample or walk-forward confirmation attached to these numbers. For a strategy with high turnover and a drawdown this deep, unvalidated backtest results should be treated as a hypothesis, not a proof.
The Balance Sheet
Strengths: a clear, testable thesis; a strong win rate; strict position discipline; and near-zero cost drag.
Risks: a mediocre Sharpe, a heavy drawdown, punishing turnover, and — most importantly — no validation and no live trades yet to corroborate the backtest.
RSI Snap-Back is a clean idea with a respectable historical return, but it currently reads as promising-on-paper. The next signal it actually acts on will tell us far more than any backtest can.