The Thesis
RSI Snap-Back is a mean-reversion strategy that bets large-cap tech names overshoot in both directions. It buys the most oversold Mag-7 names when their 14-day RSI drops below 35 and exits into strength above 70, rotating positions to hold a tight four-slot book. The universe is deliberately narrow — AAPL, MSFT, NVDA, GOOGL, AMZN, META, and TSLA — liquid names where short-term momentum extremes tend to revert. The four-slot cap is the discipline mechanism: it forces the strategy to own only its best oversold signals and caps how much drawdown can stack up at once.
Recent Activity
Here is the honest headline: nothing is happening right now. The last six scheduled runs — spanning 2026-09-24 through 2026-10-02 — each closed with 0 trades executed and 0 rejected, cash and total equity both pinned at $10,000. The book is empty and fully in cash. That is not a malfunction; it is the strategy's design showing its teeth. With no Mag-7 name recently dipping under the RSI-35 threshold, the system simply refuses to force a position. For a mean-reversion model, patience is a feature — but it also means the strategy is currently earning nothing and contributing no live track record.
Backtest and Validation
Over a 451-day backtest the strategy returned 20.95% (final equity $12,095), an 11.21% CAGR, with a 66.67% win rate across 37 trades. Fees were a trivial $37 and FX cost zero. Those are respectable, believable numbers for a low-trade-count reversion system.
The risk side is where I'd slow down. The Sharpe is only 0.61, and the maximum drawdown of 23.73% actually exceeds the total return — meaning an investor had to stomach a loss larger than the full-period gain at some point along the way. Turnover of 773% is high for a four-slot book, implying frequent rotation that would hurt more in a higher-fee or higher-slippage environment than this backtest assumed.
Most important: the validation field is null. There is no out-of-sample or walk-forward test on record. A 20% return with a two-thirds win rate across only 37 trades is a thin sample, and without validation we cannot distinguish genuine edge from a curve fit to one favorable regime.
The Verdict
RSI Snap-Back is a clean, disciplined idea with a plausible edge and refreshingly low costs. Its strengths — a high win rate, tight risk controls, and the willingness to sit in cash rather than overtrade — are real. But the modest Sharpe, the outsized drawdown, the absent validation, and a current stretch of total inactivity mean this is a strategy to watch, not yet one to lean on. The next real test is whether a live oversold signal finally fires — and whether the snap-back actually arrives when it does.