The Thesis
RSI Snap-Back makes a narrow, well-defined bet: large-cap tech names snap back sharply after short-term momentum extremes. The rules are simple enough to audit at a glance — buy the most oversold Mag-7 names when RSI drops below 35, exit when RSI pushes above 70, and rotate to keep a tight four-name book. That hard four-slot cap is the strategy's central discipline mechanism, deliberately limiting how much concurrent drawdown exposure the book can accumulate.
The universe is the usual suspects: AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA. Restricting mean reversion to deeply liquid, heavily-covered names is a sensible choice — these stocks mean-revert on sentiment swings often enough to give the signal something to chew on, without the gap risk of smaller names.
Backtest Performance
Over 451 days the strategy returned 20.95%, taking $10,000 to a final equity of $12,095, an 11.21% CAGR. The win rate is a healthy 66.67% across 37 trades, which fits the mean-reversion profile: frequent small wins as oversold names recover.
The risk picture is more sobering. The Sharpe ratio of 0.61 is modest, and the 23.73% maximum drawdown is large relative to the total return — an investor would have needed to stomach losing nearly a quarter of the book at the worst point to collect that 21% gain. Turnover of 773% confirms this is an active, high-rotation strategy; fortunately fees came in at just $37 total and FX cost was zero, so trading friction did not meaningfully erode results in the test.
Recent Activity
Here is the most important caveat for anyone reading the headline return: the live book is doing nothing. Every scheduled run from August 24 through August 31 reports 0 executed, 0 rejected, with cash and total equity both parked at exactly $10,000. There are no recent trades on the sheet at all.
That is not necessarily a fault. A mean-reversion strategy that only fires when RSI hits an extreme should sit idle when nothing is oversold — and a market where none of the Mag-7 has dropped below RSI 35 for over a week suggests a calm, grinding-higher tape. The discipline of waiting is a feature. But it also means the live track record is currently empty, and the compelling numbers above are entirely backtest-derived.
The Validation Gap
Crucially, the validation field is null. We have an in-sample backtest but no out-of-sample or walk-forward confirmation on record. For a high-turnover strategy with a two-parameter signal (the 35 and 70 thresholds), that gap matters — those levels are exactly the kind of thing that can be quietly overfit to one historical window.
Verdict
RSI Snap-Back is a clean, legible idea with a genuinely disciplined risk cap and an attractive win rate. But the modest Sharpe, the heavy drawdown, the absence of validation data, and a live book that has yet to take a single recent position all argue for patience. Watch for the first live entries — that is where the thesis finally gets tested against real prices rather than history.