The Thesis
RSI Snap-Back bets that large-cap tech names overshoot in the short term and revert. The rule is deliberately simple: buy the most oversold names when RSI falls below 35, exit when RSI climbs above 70, and rotate to hold no more than four positions at once. That hard four-slot book is the strategy's risk governor — it caps concurrent exposure and forces the system to prioritise only its strongest oversold signals rather than spreading thin across all seven Mag-7 tickers (AAPL, MSFT, NVDA, GOOGL, AMZN, META, TSLA).
Mean reversion on mega-cap tech is a reasonable premise. These names are liquid, heavily arbitraged, and prone to sharp sentiment-driven swings that often retrace. The discipline of a fixed book is a genuine structural strength.
Recent Activity
Here the picture is quiet — pointedly so. The last six scheduled runs (28 September through 6 October) each closed the same way: 0 executed, 0 rejected, cash $10,000, total $10,000. The strategy is sitting entirely in cash and has been for over a week.
That is the mean-reversion trade-off in plain sight. When no Mag-7 name is oversold enough to trip the RSI < 35 threshold, the system simply does nothing. This is defensible behaviour — forcing trades in the absence of a signal is how mean-reversion systems bleed out — but it also means recent live performance is flat by construction. There are no open positions and no realised live P&L to assess yet.
Backtest and Validation
Over 451 days the backtest returned 20.95% (final equity $12,095.14), an 11.21% CAGR, with a 66.67% win rate across 37 trades. Fees were negligible at $37 and FX cost was zero. The win rate is the headline strength: two of every three trades closed green, consistent with a reversion edge that clips small, frequent gains.
The risks are equally clear. The Sharpe of 0.61 is modest — returns came with meaningful volatility. The max drawdown of 23.73% is steep for a strategy pitched on discipline and limited exposure; a four-slot book still concentrates risk when all four names fall together, which correlated mega-caps tend to do. Turnover of 773% signals heavy rotation; the low fee tally flatters a paper book and may understate real-world slippage.
Most important: validation is null. There is no out-of-sample or walk-forward check on record. A 37-trade sample tuned on RSI thresholds is exactly the kind of result that invites overfitting, and without a holdout we cannot distinguish genuine edge from curve-fit.
Verdict
A coherent, disciplined strategy with a believable thesis and a solid win rate — but one whose drawdown, thin Sharpe, and absent validation argue for caution. The current all-cash stance is honest rather than alarming. The real test comes when a signal finally fires live.