Thesis
RSI Snap-Back is a mean-reversion play on the seven largest US tech names — AAPL, MSFT, NVDA, GOOGL, AMZN, META and TSLA. The premise is simple and well-worn: large-cap tech tends to overshoot on short-term momentum, then snap back. The strategy buys the most oversold names when RSI drops below 35 and exits into strength above 70, capturing the reversion in between. A hard four-slot book caps concurrent exposure and forces the strategy to rotate rather than sprawl.
It's a clean, legible thesis, and the four-name cap is a genuine discipline mechanism — it limits how much drawdown the book can accumulate at once, which matters for a style that, by definition, buys falling assets.
Recent Activity
Here's the honest headline: the strategy has done nothing for a week. Every scheduled run from 31 August through 7 September executed zero trades and rejected zero — sitting flat at $10,000 cash, total equity $10,000. No RSI reading in the universe has crossed the sub-35 entry threshold, so the book is empty by design.
That isn't a malfunction; it's the strategy behaving as specified. Mean-reversion systems are patient by construction, and a period without extremes simply means no oversold names to buy. Still, a fully-cash strategy earns nothing, and a run of flat sessions is a reminder that this style's returns are lumpy and opportunity-dependent rather than continuous.
Backtest & Validation
Over 451 days the backtest returned 20.95% (final equity $12,095), an 11.21% CAGR, with a 66.67% win rate across 37 trades. Fees were trivial ($37) and there was no FX cost. On the surface, a two-thirds win rate on a mean-reversion book is encouraging — the edge, if real, is showing up in hit rate.
The risk numbers are where balance is required. Sharpe is 0.61 — modest, indicating the return came with meaningful volatility rather than a smooth ride. The maximum drawdown of 23.73% is the sharper concern: that's roughly the same magnitude as the total return, meaning an investor could have sat through a near-24% peak-to-trough decline to earn ~21%. For a strategy that deliberately buys weakness, that drawdown is the cost of the thesis, not a surprise.
Turnover of 773% confirms this is an active rotation engine, not a buy-and-hold — the four-slot book churns hard. And critically, the validation field is null: there is no out-of-sample or walk-forward result recorded. A 37-trade sample on seven correlated tech names is small, and without validation the backtest should be read as a hypothesis, not a proof.
Verdict
RSI Snap-Back is a coherent, disciplined strategy with a decent win rate and low frictional cost. But the modest Sharpe, the drawdown that rivals the return, the thin unvalidated sample, and the current week of enforced idleness all argue for humility. It's a reasonable candidate to keep on the live leaderboard and watch — not one to size up until out-of-sample evidence catches up with the thesis.