Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
WP WPZ — No setup$47.37 · 2018-08-10
WPZ 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 | 963 (48%) | -0.034% | 49.3% | -45% | -7.2% | -0.15 | -83.9% |
| ■ After an UP close | 1,033 (51%) | +0.205% | 53.0% | +578% | +26.9% | 1.16 | -29.2% |
| ■ Bottom 10% RSI(2) | 203 (10%) | +0.039% | 53.2% | -1% | -0.1% | 0.07 | -56.1% |
| ■ Top 10% RSI(2) | 203 (10%) | +0.158% | 56.7% | +35% | +3.8% | 0.53 | -14.1% |
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.