Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
AC ACGL — Dip-buy setup$96.09 · 2026-09-11
ACGL fades the prior day (mean-reverts) at the daily horizon.
A historically favourable dip-buy setup: -1.7σ below the 50-day average.
| Rule | Days held | Avg / day | Win rate | Total | CAGR | Sharpe | Max DD |
|---|---|---|---|---|---|---|---|
| ■ After a DOWN close | 3,499 (45%) | +0.164% | 54.0% | +17,574% | +18.2% | 0.98 | -41.2% |
| ■ After an UP close | 3,929 (50%) | -0.008% | 48.4% | -62% | -3.1% | -0.05 | -86.4% |
| ■ Bottom 10% RSI(2) | 780 (10%) | +0.346% | 56.3% | +1,156% | +8.5% | 0.83 | -21.0% |
| ■ Top 10% RSI(2) | 780 (10%) | +0.039% | 48.6% | +14% | +0.4% | 0.09 | -46.9% |
How to read this ▾
Some assets mean-revert at short horizons (a sharp move tends to partly reverse); others trend (a move tends to continue). At the daily close-to-close horizon the reversal shows up cleanly and consistently in the broad equity indices and mostly breaks down elsewhere — commodities, crypto, and individual stocks carry their own momentum. The names above are the ones where it holds up.
RSI(2) is a 2-day momentum oscillator — below ~10 is short-term oversold, above ~90 overbought. Distance from the 50-day average is measured in standard deviations (z-score). Streak counts consecutive up or down closes. For each, we show what happened over the next 1–5 days, historically.
The strategy table pairs each dip-buy rule against its opposite — day-after-a-down-close vs day-after-an-up-close, and the bottom vs top RSI(2) decile. Both legs of a pair are held one day and trade a similar number of days, so raw returns compare fairly (unlike buy & hold, which wins on total return simply by always being invested). Avg / day — mean return on the days the rule is in the market — is the cleanest apples-to-apples number. Frictionless: no commissions or slippage. A character test, not a tradeable system. Past behaviour is not a forecast.