DeployQuant3-Month Momentum Switch vs RSI(14) Mean Reversion
Two rule sets, 59 ETFs, one engine and one window.
| 3-month momentum | RSI mean reversion | |
|---|---|---|
| Median CAGR (59 ETFs) | 0.0% | 3.0% |
| Median max drawdown | −26.2% | −24.6% |
| ETFs won (by CAGR) | 26 | 33 |
| Style | assets with long, persistent cycles, such as index, sector and managed-futures ETFs | assets that trend up over time but overshoot on the way, such as broad index ETFs |
Where the gap was biggest
| ETF | 3-month momentum | RSI mean reversion | gap |
|---|---|---|---|
| FAS | −2.5% | 22.3% | 24.7% |
| TECL | 7.6% | 23.9% | 16.3% |
| EEV | −9.5% | 5.0% | 14.5% |
| SOXS | −41.1% | −53.7% | 12.6% |
| TMF | −13.2% | −25.0% | 11.9% |
| EEM | −1.6% | 9.5% | 11.1% |
| XLY | −3.9% | 7.0% | 10.9% |
| QQQE | −2.9% | 7.2% | 10.1% |
| XLF | 2.7% | 11.8% | 9.1% |
| TECS | −20.7% | −29.1% | 8.4% |
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Frequently asked questions
Which is better: 3-month momentum or RSI mean reversion?
On this 2021-01-04 to 2026-10-02 window, RSI mean reversion produced the higher CAGR on 33 of 59 ETFs. Median CAGR: 3-month momentum 0.0% vs RSI mean reversion 3.0%; median max drawdown: 26.2% 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.