The Thesis
RSI Snap-Back is a straightforward mean-reversion play on large-cap tech. The premise: the Magnificent-7 names — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA — tend to overshoot on short-term momentum and then revert. The strategy buys the most oversold names when RSI falls below 35 and exits when RSI climbs above 70. A hard four-slot book caps concurrent positions, which is meant to enforce discipline and keep drawdown exposure contained rather than letting the system pile into every dip at once.
It's a clean, legible idea. Mean reversion in liquid mega-caps is well-trodden ground, and constraining the book to four names is a sensible nod to the reality that these stocks are highly correlated — you don't get much diversification benefit from holding all seven at once.
Backtest Performance
Over 451 days, the backtest returned 20.95% (final equity $12,095 on a $10k base), for a CAGR of 11.21%. The win rate is a healthy 66.67% across 37 trades, and total costs were negligible — $37 in fees, zero FX drag.
The less flattering numbers matter more. The Sharpe of 0.61 is modest: returns came with meaningful volatility, not a smooth ride. The maximum drawdown of 23.73% is the headline risk — at some point the book was down nearly a quarter from its peak, which is a lot to stomach for a strategy pitched on discipline and contained exposure. And turnover of 773% means the portfolio churned through roughly eight times its capital over the test window; in a live, higher-friction environment those costs would bite harder than the backtest's tidy $37 suggests.
Recent Activity: Flat and Quiet
Here's the part that tempers enthusiasm. Across six scheduled runs from August 12 through August 19, the strategy executed zero trades every single day — cash and total equity both pinned at exactly $10,000. No fills, no rejections, no rotation. In practice, RSI Snap-Back has been fully in cash and idle for over a week.
That isn't necessarily a fault: a mean-reversion system with a strict RSI < 35 entry should sit on its hands when nothing is oversold, and a calm, grinding-higher tape gives it nothing to buy. But it does mean the live track record so far is a flat line, not a validation of the backtest.
The Validation Gap
The most important caveat: the strategy's validation field is null. There is no walk-forward or out-of-sample result attached. A 20.95% in-sample backtest with 37 trades is a thin sample, and without holdout validation we can't distinguish a real reversion edge from curve-fit RSI thresholds. Given the deep drawdown and sub-1 Sharpe, the honest read is promising hypothesis, unproven edge.
Verdict
RSI Snap-Back is a reasonable, well-constructed idea with a decent win rate and low fees, but it carries real risk: a 24% drawdown, high turnover, and — critically — no out-of-sample validation to back the in-sample numbers. Its current week of inactivity is consistent with the strategy's own logic, yet it also means the live book has proven nothing so far. Worth watching; not yet worth trusting.