DeployQuant20-Day Momentum + Trailing Stop vs RSI(14) Mean Reversion
Two rule sets, 59 ETFs, one engine and one window.
| momentum breakout | RSI mean reversion | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 3.0% |
| Median max drawdown | −20.1% | −24.6% |
| ETFs won (by CAGR) | 34 | 25 |
| Style | high-momentum assets where trends extend, such as semiconductor and leveraged tech ETFs | assets that trend up over time but overshoot on the way, such as broad index ETFs |
Where the gap was biggest
| ETF | momentum breakout | RSI mean reversion | gap |
|---|---|---|---|
| SOXS | −13.6% | −53.7% | 40.1% |
| EEV | −14.8% | 5.0% | 19.8% |
| FAS | 3.9% | 22.3% | 18.4% |
| TMF | −11.1% | −25.0% | 13.9% |
| QLD | 22.5% | 8.8% | 13.7% |
| TECL | 10.2% | 23.9% | 13.7% |
| UVXY | −36.2% | −48.5% | 12.4% |
| SPUU | 17.3% | 5.4% | 11.9% |
| TQQQ | 0.6% | 12.1% | 11.5% |
| QID | −3.1% | −14.2% | 11.1% |
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Frequently asked questions
Which is better: momentum breakout or RSI mean reversion?
On this 2021-01-04 to 2026-10-02 window, momentum breakout produced the higher CAGR on 34 of 59 ETFs. Median CAGR: momentum breakout 0.0% vs RSI mean reversion 3.0%; median max drawdown: 20.1% vs 24.6%. Which is better depends on the asset and what you optimize for. The per-ETF table shows where each wins.
Dig deeper
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-10-02, $10,000 starting capital, no margin, no fees or slippage in the headline run; buy-and-hold puts 98% of the account in at the first open, as the templates do) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.