Mean Reversion? How it works Each day, hold S&P 500 at a size set by the predicted next-day Sharpe for the prior close's RSI(2) — most on the deepest dips, nothing when it is overbought — then scaled so the whole strategy runs at about S&P 500's own volatility (leverage capped at 2x). Idle cash earns T-bills.

CAGR
12.7% (SPY 10.8%)
Sharpe
0.64 (SPY 0.51)
Max DD
-34.6% (SPY -55.2%)
Vol
16.9% (SPY 18.5%)
Time
33.6 yrs (1993–2026)
Turnover (ann.)
103.0x
Tcost (ann.)
-1.18%
Margin cost (ann.)
-0.46%
Interest earned (ann.)
+1.59%
Beta
0.51
Corr
0.56
Stocks traded
1 (1.0 avg held)

Data as of Sep 2026 (2026-09-11).

Current holdings
Portfolio weights arrow keys walk the tickers
Return contribution
SymbolContribution
SPY +5480.30%

Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.