Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
PF PFF — No setup$30.15 · 2026-09-11
PFF follows through on the prior day (trends) at the daily horizon.
Nothing stretched right now — no short-term setup.
| Rule | Days held | Avg / day | Win rate | Total | CAGR | Sharpe | Max DD |
|---|---|---|---|---|---|---|---|
| ■ After a DOWN close | 2,063 (42%) | -0.050% | 51.4% | -70% | -6.0% | -0.39 | -74.8% |
| ■ After an UP close | 2,682 (55%) | +0.079% | 57.6% | +607% | +10.6% | 0.86 | -31.2% |
| ■ Bottom 10% RSI(2) | 490 (10%) | -0.097% | 49.4% | -44% | -2.9% | -0.24 | -54.9% |
| ■ Top 10% RSI(2) | 490 (10%) | +0.077% | 60.4% | +44% | +1.9% | 0.48 | -12.1% |
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.