Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
SN SNV — Stretched, weak edge$50.05 · 2026-01-02
SNV shows only a faint, unreliable daily reversal bias.
Current stretch: RSI(2) at 1 is deep oversold — but the daily edge here is thin.
| Rule | Days held | Avg / day | Win rate | Total | CAGR | Sharpe | Max DD |
|---|---|---|---|---|---|---|---|
| ■ After a DOWN close | 4,146 (45%) | +0.160% | 51.4% | +14,083% | +14.6% | 0.60 | -79.4% |
| ■ After an UP close | 4,393 (48%) | -0.007% | 46.1% | -84% | -4.8% | -0.03 | -97.7% |
| ■ Bottom 10% RSI(2) | 915 (10%) | +0.238% | 51.8% | +461% | +4.9% | 0.38 | -35.1% |
| ■ Top 10% RSI(2) | 915 (10%) | -0.107% | 41.5% | -71% | -3.3% | -0.23 | -83.3% |
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.