The Thesis
RSI Snap-Back bets on a well-worn but durable idea: large-cap tech names overshoot on short-term momentum and then revert. The rules are deliberately simple — buy the most oversold Mag-7 names when RSI drops below 35, exit when RSI pushes above 70, and rotate to hold a tight four-name book. The universe is the usual suspects: AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA. Capping the book at four slots is the strategy's core discipline: it forces concentration into the strongest reversion candidates while limiting how much concurrent drawdown the account can carry.
Backtest Performance
Over 451 days the strategy returned 20.95%, ending on a final equity of $12,095 from a $10,000 base, for a CAGR of 11.21%. The win rate is genuinely encouraging at 66.67% across 37 trades — two of every three positions closed in profit, which is what you'd hope for from a mean-reversion system that only fires on genuine extremes. Trading costs were negligible ($37 in fees, no FX drag).
The blemishes matter, though. The Sharpe ratio is a modest 0.61, meaning the returns came with meaningful volatility rather than smooth compounding. More striking is the 23.73% maximum drawdown — nearly a quarter of capital at the worst point. For a strategy whose selling point is limiting concurrent drawdown exposure, that figure is a reminder that four oversold Mag-7 names can all keep falling together. Turnover of 773% also signals a busy, high-churn approach; the low fee total suggests costs are modest here, but in a higher-cost or higher-slippage venue that churn would bite harder.
Recent Activity
Here the live picture diverges from the backtest. Across six scheduled runs from 18 to 24 August, the strategy executed zero trades and rejected zero — sitting entirely in cash at $10,000 each session. No Mag-7 name has dipped below the RSI-35 entry threshold recently, so the book is empty by design rather than by error. That is the double edge of a strict, extremes-only entry rule: it keeps you out of marginal setups, but it also means long stretches of doing nothing while capital sits idle.
The Verdict
RSI Snap-Back is a clean, legible strategy with a solid historical hit rate and cheap execution. But two caveats deserve emphasis. First, there is no out-of-sample validation attached — the reported figures are backtest-only, so the 20.95% return should be read as in-sample potential, not proven live edge. Second, the drawdown and middling Sharpe suggest the ride is bumpier than the headline return implies.
The current cash-heavy stretch isn't a failure; it's the rules working as written. The real test comes when a Mag-7 name finally snaps to an RSI extreme and the strategy has to prove that the reversion still pays. Until then, it's a disciplined system waiting patiently for its pitch — and worth watching closely once it swings.