20-Day Momentum + Trailing Stop vs RSI(14) Mean Reversion
Two rule sets, 59 ETFs, one engine and window — a genuinely like-for-like comparison.
| momentum breakout | RSI mean reversion | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 2.5% |
| Median max drawdown | −20.1% | −24.7% |
| ETFs won (by CAGR) | 29 | 30 |
| Style | high-momentum assets where trends extend — semiconductor and leveraged tech ETFs show the archetype | assets that trend up over time but overshoot on the way — broad index ETFs are the classic home |
Where the gap was biggest
| ETF | momentum breakout | RSI mean reversion | gap |
|---|---|---|---|
| SOXS | 1.3% | −38.2% | 39.5% |
| EEV | −14.8% | 11.2% | 26.0% |
| FAS | 4.0% | 26.5% | 22.4% |
| SOXL | 23.9% | 4.0% | 20.0% |
| QLD | 21.7% | 8.3% | 13.4% |
| VXZ | −17.9% | −6.5% | 11.4% |
| TMF | −11.5% | −22.7% | 11.1% |
| SPUU | 16.7% | 5.6% | 11.1% |
| QID | −3.6% | −14.5% | 10.9% |
| VIXM | −16.4% | −5.7% | 10.8% |
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Frequently asked questions
Which is better: momentum breakout or RSI mean reversion?
On this 2021-01-04–2026-07-17 window, RSI mean reversion produced the higher CAGR on 30 of 59 ETFs. Median CAGR: momentum breakout 0.0% vs RSI mean reversion 2.5%; median max drawdown: 20.1% vs 24.7%. "Better" depends on the asset and what you optimize — 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 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.