The Thesis
RSI Snap-Back plays a simple, well-worn idea: large-cap tech names overshoot in the short term and revert. It buys the most oversold Mag-7 names on RSI below 35, exits on RSI above 70, and enforces a hard four-slot book to cap concurrent exposure. The universe is tight — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA — and the rotation logic keeps the book lean. There is a genuine discipline here: the four-name cap is a structural brake on the strategy's worst instinct, which is piling into a falling market because everything looks oversold at once.
Recent Activity
This is where the story gets quieter than the headline numbers suggest. Across the six most recent scheduled runs — from 2026-07-31 through 2026-08-07 — the strategy executed zero trades and rejected zero candidates every single day, holding a flat $10,000 in cash the entire time. No name in the universe dipped under the RSI-35 entry threshold, so the book stayed empty.
That is not a malfunction; it is the strategy behaving exactly as designed. Mean-reversion entries are conditional, and when momentum extremes don't appear, patience is the correct posture. But it does mean the live track record is currently generating no signal, and prospective observers should understand they may be watching a strategy that waits far more often than it acts.
Backtest & Validation
Over a 451-day backtest, RSI Snap-Back returned 20.95% (final equity $12,095), an 11.21% CAGR, with a 66.67% win rate across 37 trades. Fees were negligible at $37 and FX cost was zero. Those are respectable, honest numbers for a low-frequency reversion book.
The caveats are real, though:
- Sharpe of 0.61 is modest. The returns came with meaningful volatility, not a smooth ride.
- Max drawdown of 23.73% is deep relative to the ~21% total return — the strategy gave back nearly as much at its worst point as it ultimately earned. A live investor would have needed conviction to sit through that.
- Turnover of 773% signals aggressive rotation. In a live setting with wider spreads or slippage, that churn could erode the edge that a $37 backtest fee bill flatters.
- Validation is null. There is no out-of-sample or walk-forward result attached. With only 37 trades and a strategy tuned on two RSI thresholds, the risk of curve-fit optimism is non-trivial. This is the single most important gap in the current picture.
Verdict
RSI Snap-Back is a plausible, disciplined mean-reversion strategy with an encouraging win rate and a sensible risk cap. But the profile — decent return, unremarkable Sharpe, a drawdown nearly as large as the gain, high turnover, and no validation — reads as promising but unproven. The current run of empty sessions is a feature, not a bug, yet it underscores that the live evidence is still thin. The next meaningful data point is an out-of-sample validation pass; until then, treat the backtest as a hypothesis, not a track record.