The thesis
RSI Snap-Back is a straightforward mean-reversion play on the seven largest US tech names — AAPL, MSFT, NVDA, GOOGL, AMZN, META and TSLA. The logic is deliberately mechanical: buy the most oversold names when their relative strength index drops below 35, exit when it climbs above 70, and never hold more than four at once. That hard 4-slot book is the strategy's discipline mechanism, capping how much concurrent drawdown the portfolio can take on at any moment.
It is a well-worn idea with real academic footing — large caps do tend to snap back after short-term momentum extremes — and the tight book keeps the thesis honest rather than letting it drift into a sprawling, over-diversified basket.
Recent activity: quiet by design
The last six scheduled runs tell a consistent story. Across 2026-10-16 through 2026-10-22, every run reports 0 executed, 0 rejected, with cash and total equity both sitting flat at $10,000. In other words, the strategy is fully in cash and has been for over a week.
This is not a malfunction — it is the rules working. If no name in the universe has pushed below the RSI < 35 entry threshold, there is simply nothing to buy. A mean-reverter that refuses to force trades in a non-oversold tape is behaving exactly as designed. The flip side: the strategy is contributing no live P&L right now, and its real-money track record remains thin.
Backtest and validation
Over a 451-day backtest the strategy returned 20.95% (final equity $12,095.14), a CAGR of 11.21%, with a 66.67% win rate across 37 trades. Fees were negligible at $37 total and zero FX cost. The win rate is genuinely encouraging — two-thirds of trades landed on the right side of the reversion.
The risk picture is more sobering. The 23.73% max drawdown actually exceeds the total return, giving a return-to-pain ratio below 1.0, and the Sharpe of 0.61 is modest — this is not a smooth ride. Turnover of 773% confirms the strategy churns its book aggressively; in a higher-fee or higher-slippage environment than the backtest assumed, that churn could erode the edge.
The most important caveat: the validation field is null. There is no out-of-sample or walk-forward record here, so every figure above is in-sample backtest output. Mean-reversion rules are especially prone to looking better in-sample than they perform live, and the thin live history (currently all cash) does nothing yet to confirm the edge.
Verdict
RSI Snap-Back is a clean, disciplined strategy with a believable thesis and a healthy win rate — but its drawdown roughly equals its return, and it is running entirely on unvalidated backtest numbers. Watching it hold cash patiently is reassuring; what it needs now is live oversold conditions and an out-of-sample record to prove the snap-back is real.