The thesis
RSI Snap-Back is a mean-reversion strategy built on a simple observation: large-cap tech names tend to snap back sharply after short-term momentum extremes. The rules are deliberately spare — enter a name when its RSI drops below 35, exit when RSI climbs above 70, and never hold more than four names at once. That hard 4-slot book is the disciplinary spine of the strategy, capping how much concurrent drawdown exposure the book can carry and forcing rotation into the most oversold candidates across a seven-name Mag-7 universe (AAPL, MSFT, NVDA, GOOGL, AMZN, META, TSLA).
Backtest and validation performance
Over 451 days, the strategy compounded $10,000 into a final equity of $12,095 — a total return of 20.95% and a CAGR of 11.21%. The win rate is genuinely good at 66.67% across 37 trades, which is consistent with how mean-reversion systems tend to behave: frequent small winners as prices revert.
But the risk-adjusted picture is more sober. The Sharpe of 0.61 is unremarkable, and the maximum drawdown of 23.73% is deep relative to the return earned — a drawdown-to-return ratio above 1.0 is a real cost of admission. Turnover runs hot at 773%, though fees stayed trivial ($37 total, no FX cost), so trading friction isn't eroding the edge here.
The most important line in the sheet is the one that's blank: validation is null. There is no out-of-sample or walk-forward confirmation on file. A high in-sample win rate is exactly the kind of number that overfitting produces, so until a validation pass exists, treat the 20.95% as a hypothesis, not a track record.
Recent live activity
The strategy is flagged live, but the last week has been quiet to the point of stillness. Every scheduled run from September 9 through September 16 reports the same thing: 0 executed, 0 rejected, cash $10,000, total $10,000. The book is entirely in cash and hasn't fired a single trade.
That's not a malfunction — it's the strategy behaving as designed. No name in the Mag-7 has printed an RSI below 35, so there's nothing to buy. The flat $10,000 line simply reflects an absence of oversold conditions. It does, however, highlight a structural feature worth naming: RSI Snap-Back only works when the market hands it extremes, and it will happily sit idle for extended stretches waiting for them.
The balanced read
Strengths: a clean, testable thesis; a high win rate; strict position discipline; and negligible trading costs despite heavy turnover.
Risks: a mediocre Sharpe, a drawdown that swallows more than a year of gains, zero out-of-sample validation, and a live book currently doing nothing. Concentration is another quiet risk — four names from a seven-name tech universe leaves little room to diversify away a sector shock.
The strategy earns a place on the live roster on the strength of its logic and win rate. It earns a caveat on the strength of what's missing: prove it out of sample before leaning on that 20.95%.