DeployQuantFirst-to-Last Day of Month vs RSI(14) Mean Reversion
Two rule sets, 59 ETFs, one engine and one window.
| monthly cycle | RSI mean reversion | |
|---|---|---|
| Median CAGR (59 ETFs) | 5.5% | 3.0% |
| Median max drawdown | −36.6% | −24.6% |
| ETFs won (by CAGR) | 31 | 28 |
| Style | measuring how much of an asset's return accrues inside the month versus across month boundaries | assets that trend up over time but overshoot on the way, such as broad index ETFs |
Where the gap was biggest
| ETF | monthly cycle | RSI mean reversion | gap |
|---|---|---|---|
| TECS | −55.6% | −29.1% | 26.5% |
| SOXS | −77.5% | −53.7% | 23.7% |
| SQQQ | −44.6% | −23.6% | 21.0% |
| UVXY | −68.7% | −48.5% | 20.2% |
| REW | −37.2% | −18.5% | 18.7% |
| SOXL | 32.9% | 14.4% | 18.4% |
| SOXX | 29.2% | 12.8% | 16.4% |
| CLSE | 18.9% | 3.8% | 15.1% |
| EEV | −10.0% | 5.0% | 15.0% |
| QID | −28.8% | −14.2% | 14.6% |
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Frequently asked questions
Which is better: monthly cycle or RSI mean reversion?
On this 2021-01-04 to 2026-10-02 window, monthly cycle produced the higher CAGR on 31 of 59 ETFs. Median CAGR: monthly cycle 5.5% vs RSI mean reversion 3.0%; median max drawdown: 36.6% 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.