The Thesis
RSI Snap-Back plays a familiar pattern in large-cap tech: sharp reversals after short-term momentum extremes. The rule set is deliberately simple — enter a name when its RSI drops below 35, exit when it climbs above 70, and rotate holdings to keep a tight four-slot book. That hard cap on concurrent positions is the strategy's discipline mechanism: it forces selectivity and limits how much drawdown exposure can pile up at once. The trading universe is the Magnificent Seven — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA — a deep, liquid pool where mean-reversion signals are plentiful and slippage is minimal.
Recent Activity
Here's the honest picture: the strategy is live, but it hasn't done anything lately. The last six scheduled runs — August 3rd through 10th — each report 0 executed, 0 rejected, with cash and total equity both flat at $10,000. No RSI reading in the universe has dipped below the entry threshold, so the book is sitting entirely in cash.
That isn't a malfunction; it's the design working as intended. A patient mean-reversion system should stand aside when nothing is oversold. But it's worth flagging for anyone watching the leaderboard: a live strategy that stays in cash earns nothing and, over a stretch, can quietly underperform a simple buy-and-hold on the same names.
Backtest & Validation
Over 451 days, the backtest returns 20.95% (CAGR 11.21%), turning $10,000 into $12,095. The 66.67% win rate across 37 trades is genuinely strong and consistent with the mean-reversion edge the thesis claims. Fees were negligible at $37 with no FX cost.
The risk side is where I'd pump the brakes. The maximum drawdown of 23.73% is larger than the total return — you had to stomach a bigger peak-to-trough loss along the way than the strategy ultimately delivered. The Sharpe of 0.61 is modest, indicating the returns came with meaningful volatility rather than smooth compounding. Turnover of 773% also tells you this is an active rotation strategy; in a live account with real spreads, that churn could erode the thin edge the backtest shows.
Most importantly: validation is null. There's no walk-forward or out-of-sample check on record. A 37-trade backtest on a seven-name universe is a small sample, and mean-reversion rules are notoriously easy to overfit. Until this strategy is validated on data it wasn't tuned on, treat the headline numbers as suggestive, not proven.
The Balance Sheet
Strengths: a coherent, well-understood thesis; a high win rate; strict position discipline; and negligible trading costs.
Risks: drawdown that swallows the return, a Sharpe barely above 0.6, high turnover, a small trade count, and — the big one — no out-of-sample validation. Layer on the current dormancy, and RSI Snap-Back is a promising idea that still has to prove it can perform outside the lab and put its cash to work when the signals finally fire.