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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hold for
US indices SPY QQQ IWM DIA International FXI EEM
TTEK’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

— Stretched, weak edge$38.09 · 2026-10-29

TTEK shows only a faint, unreliable daily reversal bias.

Current stretch: RSI(2) at 93 is deep overbought — but the daily edge here is thin.

Today
+3.6%
last close-to-close
RSI(2)
92.7
overbought
vs 50-day avg
+7.8%
+1.9σ
Streak
1 up
closes in a row
Off 20-day high
-0.1%
pullback depth
Reversal character: after an up day, next day averages -0.01% (47% up); after a down day, +0.21% (52% up). Reversal score +0.22%, 1-day autocorrelation -0.070— negative = mean-reverting.
Growth of $1, close-to-close, since 1991. 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 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 ≤9.3 and ≥93.4.
RuleDays heldAvg / dayWin rate TotalCAGRSharpeMax DD
■ After a DOWN close 4,041 (46%) +0.209% 51.9% +96,514% +21.8% 0.81 -68.4%
■ After an UP close 4,286 (49%) -0.006% 47.0% -82% -4.8% -0.03 -94.3%
■ Bottom 10% RSI(2) 878 (10%) +0.423% 54.3% +2,568% +9.9% 0.67 -33.8%
■ Top 10% RSI(2) 878 (10%) -0.162% 44.2% -82% -4.8% -0.31 -85.3%
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.

End-of-day adjusted closes, refreshed nightly. 8,779 trading days, 1991-12-17 – 2026-10-29. Backward-looking statistics, not investment advice.