Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.

Mean Reversion

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US indices SPY QQQ IWM DIA International FXI EEM
FICO’s daily moves don’t reliably mean-revert. The dip-buy stats below are weak or noisy — at the daily close-to-close horizon this signal works cleanly on the broad equity indices (SPY, QQQ) and mostly breaks down on commodities and crypto.
Expected return · next day

FICO — Stretched, weak edge$985.39 · 2026-09-11

FICO shows only a faint, unreliable daily reversal bias.

Current stretch: -1.5σ below the 50-day average — but the daily edge here is thin.

Today
+2.6%
last close-to-close
RSI(2)
61.9
neutral
vs 50-day avg
-14.3%
-1.5σ
Streak
1 up
closes in a row
Off 20-day high
-17.1%
pullback depth
Reversal character: after an up day, next day averages +0.00% (48% up); after a down day, +0.27% (50% up). Reversal score +0.27%, 1-day autocorrelation -0.129 — negative = mean-reverting.
Growth of $1, close-to-close, since 1987. The two lines are held the day after their trigger and sit in cash otherwise, so they trade a similar number of days — the comparison is the dip-buy leg (green) against its opposite (red), not against buy & hold. No costs or slippage.
Forward return by RSI(2) at the close (toggle mean / median above). Low RSI(2) = short-term oversold. Bar outlined = where FICO is now.
Forward return by how far price sits from its 50-day average (in standard deviations). Outlined = now.
The next-day return after a run of consecutive up or down closes. A rising staircase toward the “down” end is mean reversion.
Mean-reversion edge by year — the dip-buy leg's next-day return minus its opposite (after a down day vs after an up day, or bottom- vs top-decile RSI(2)). Above zero = the name faded moves that year. Bars are the mean, which a crash can swing hard in either direction (2020); the tick marks are the median — the typical day.
Matched-exposure comparisons — each pair trades a similar number of days, so raw returns are comparable. RSI(2) deciles use thresholds ≤7.2 and ≥95.2.
RuleDays heldAvg / dayWin rate TotalCAGRSharpeMax DD
■ After a DOWN close 4,175 (42%) +0.269% 50.3% +1,180,093% +27.1% 0.91 -91.2%
■ After an UP close 4,558 (46%) +0.001% 48.4% -81% -4.2% 0.00 -99.7%
■ Bottom 10% RSI(2) 986 (10%) +0.404% 44.9% +2,382% +8.6% 0.50 -60.5%
■ Top 10% RSI(2) 987 (10%) -0.249% 42.4% -95% -7.4% -0.39 -98.6%
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.

End-of-day adjusted closes, refreshed nightly. 9,860 trading days, 1987-07-22 – 2026-09-11. Backward-looking statistics, not investment advice.