First-to-Last Day of Month vs RSI(14) Mean Reversion
Two rule sets, 59 ETFs, one engine and window — a genuinely like-for-like comparison.
| monthly cycle | RSI mean reversion | |
|---|---|---|
| Median CAGR (59 ETFs) | 6.2% | 2.5% |
| Median max drawdown | −36.7% | −24.7% |
| ETFs won (by CAGR) | 32 | 27 |
| Style | understanding 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 — broad index ETFs are the classic home |
Where the gap was biggest
| ETF | monthly cycle | RSI mean reversion | gap |
|---|---|---|---|
| UVXY | −55.5% | −32.1% | 23.4% |
| TECS | −45.5% | −24.0% | 21.6% |
| SOXL | 22.5% | 4.0% | 18.5% |
| SQQQ | −40.3% | −23.5% | 16.8% |
| CLSE | 17.6% | 0.9% | 16.7% |
| REW | −34.1% | −17.6% | 16.6% |
| SOXX | 25.3% | 8.8% | 16.5% |
| EEV | −5.2% | 11.2% | 16.5% |
| SPUU | 18.9% | 5.6% | 13.3% |
| QID | −27.0% | −14.5% | 12.5% |
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Frequently asked questions
Which is better: monthly cycle or RSI mean reversion?
On this 2021-01-04–2026-07-17 window, monthly cycle produced the higher CAGR on 32 of 59 ETFs. Median CAGR: monthly cycle 6.2% vs RSI mean reversion 2.5%; median max drawdown: 36.7% 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.