5-50D RSI Mean Reversion
Backtest results
Metrics
1Y · since Oct 20255-50D RSI Mean Reversion | |
|---|---|
| Total Return | +42.60% |
| CAGR | +43.00% |
| Sharpe | 0.93 |
| Calmar | 1.73 |
| Max DD | -24.82% |
| Volatility | 53.88% |
| Win Rate | 55.8% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
A sharp-edge mean-reversion strategy keeps semiconductor exposure (SMH, SOXL) when the 5- to 40-day RSI falls below 36, but flips to the inverse (SOXS) or short-term Treasury (SHY) when RSI climbs above 70. It stays in SMH only while the price sits above its 200-day moving average, and it switches to risk-off holdings when the price falls below the 20-day average, protecting the portfolio from sharp downturns.
Current allocation
What the rules select as of Oct 30, 2026.
Frequently asked questions
What is 5-50D RSI Mean Reversion?
A sharp-edge mean-reversion strategy keeps semiconductor exposure (SMH, SOXL) when the 5- to 40-day RSI falls below 36, but flips to the inverse (SOXS) or short-term Treasury (SHY) when RSI climbs above 70. It stays in SMH only while the price sits above its 200-day moving average, and it switches to risk-off holdings when the price falls below the 20-day average, protecting the portfolio from sharp downturns.
What is 5-50D RSI Mean Reversion holding today?
As of Oct 30, 2026, 5-50D RSI Mean Reversion allocates to SMH 80%, SOXL 20%.
How has 5-50D RSI Mean Reversion performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, 5-50D RSI Mean Reversion returned +43.5% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of 5-50D RSI Mean Reversion?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of 5-50D RSI Mean Reversion in a hypothetical backtest was -24.8%.
How do I use 5-50D RSI Mean Reversion?
Open 5-50D RSI Mean Reversion in Quantly to rerun the backtest, adjust the rules, and paper trade it. You can also connect a supported brokerage to trade your version live.
Backtest results are hypothetical and do not guarantee future returns. Strategies are shared by Quantly users for research only and are not investment advice.