Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
LE LEG — Stretched, weak edge$9.20 · 2026-08-27
LEG follows through on the prior day (trends) at the daily horizon.
Current stretch: RSI(2) at 6 is deep oversold, -1.6σ 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 | 5,278 (45%) | +0.010% | 46.9% | -50% | -1.5% | 0.05 | -92.5% |
| ■ After an UP close | 5,507 (47%) | +0.101% | 48.2% | +8,899% | +10.2% | 0.56 | -86.6% |
| ■ Bottom 10% RSI(2) | 1,168 (10%) | -0.010% | 45.8% | -35% | -0.9% | -0.02 | -82.6% |
| ■ Top 10% RSI(2) | 1,168 (10%) | +0.183% | 48.1% | +590% | +4.2% | 0.49 | -41.7% |
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.