The Thesis
RSI Snap-Back is a mean-reversion play on the Magnificent Seven — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA. The premise is simple and defensible: large-cap tech names tend to overshoot on short-term momentum and then snap back. The strategy buys the most oversold names when RSI falls below 35, exits into strength when RSI climbs above 70, and enforces a hard four-slot book so it never over-concentrates or spreads too thin. That cap is as much a risk-management tool as a trading rule — it limits how many concurrent drawdowns the book can carry at once.
Backtest Performance
Over 451 days of backtesting, the strategy returned 20.95%, growing a $10,000 book to $12,095 — an 11.21% CAGR. The win rate is genuinely good at 66.67% across 37 trades, which lends credibility to the reversion thesis: two out of three snap-back entries paid off.
The risk picture is more mixed. The Sharpe ratio of 0.61 is modest — respectable but not exceptional for a concentrated equity strategy. More concerning is the 23.73% maximum drawdown, which is deep enough to test any operator's conviction. Buying oversold names means occasionally catching falling knives, and the drawdown figure is the cost of that stance. Turnover runs hot at 773%, though at only $37 in total fees across the whole backtest, trading costs are not eating the edge.
Recent Live Activity
Here is the honest part: the strategy is marked live, but it has done nothing lately. The last six scheduled runs — from September 8 through September 15 — each report zero trades executed and zero rejected, with the book flat at $10,000 in cash and $10,000 total. No RSI reading in the Mag-7 universe has crossed the entry threshold in over a week.
This isn't necessarily a fault. A mean-reversion strategy that refuses to trade when nothing is oversold is behaving exactly as designed — patience is a feature, not a bug. But it does mean there is no live track record yet to corroborate the backtest, and the strategy is currently earning nothing on idle cash.
The Missing Piece: Validation
The most important caveat is what the data doesn't show. The validation field is null — there is no out-of-sample or walk-forward confirmation that the backtested edge holds up beyond the fitted period. For a strategy with only 37 trades and heavy turnover, that gap matters. A 66.7% win rate on 37 trades is encouraging but statistically thin, and without validation we cannot rule out curve-fitting.
Verdict
RSI Snap-Back has a coherent thesis, sensible discipline, and a win rate that supports its logic. The strengths are real. But the deep drawdown, modest Sharpe, absent validation, and a currently dormant live book mean this is one to watch rather than to bank on. The next meaningful signal will come when RSI finally drops and the strategy actually deploys capital — that's when the backtest gets its first real test.