Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
EM EMB — Stretched, weak edge$93.34 · 2026-09-11
EMB follows through on the prior day (trends) at the daily horizon.
Current stretch: RSI(2) at 2 is deep oversold, 4 down days in a row, -2.3σ below the 50-day average — but the daily edge here is thin.
| Rule | Days held | Avg / day | Win rate | Total | CAGR | Sharpe | Max DD |
|---|---|---|---|---|---|---|---|
| ■ After a DOWN close | 2,138 (45%) | -0.037% | 49.5% | -58% | -4.5% | -0.53 | -67.6% |
| ■ After an UP close | 2,524 (54%) | +0.069% | 56.9% | +440% | +9.4% | 1.32 | -14.9% |
| ■ Bottom 10% RSI(2) | 471 (10%) | -0.058% | 50.3% | -25% | -1.5% | -0.33 | -35.6% |
| ■ Top 10% RSI(2) | 471 (10%) | +0.079% | 59.0% | +44% | +2.0% | 0.81 | -10.6% |
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.