DeployQuantRSI(14) Mean Reversion vs 200-Day SMA Regime Filter
Two rule sets, 59 ETFs, one engine and one window.
| RSI mean reversion | 200-day regime filter | |
|---|---|---|
| Median CAGR (59 ETFs) | 3.0% | 1.8% |
| Median max drawdown | −24.6% | −22.2% |
| ETFs won (by CAGR) | 22 | 37 |
| Style | assets that trend up over time but overshoot on the way, such as broad index ETFs | a first systematic strategy, simple enough to audit every trade |
Where the gap was biggest
| ETF | RSI mean reversion | 200-day regime filter | gap |
|---|---|---|---|
| SOXS | −53.7% | −19.7% | 34.0% |
| FAS | 22.3% | −2.7% | 25.0% |
| UVXY | −48.5% | −29.8% | 18.8% |
| CLSE | 3.8% | 20.4% | 16.6% |
| TECS | −29.1% | −13.9% | 15.3% |
| TMF | −25.0% | −10.5% | 14.5% |
| SQQQ | −23.6% | −10.5% | 13.1% |
| TQQQ | 12.1% | 24.9% | 12.9% |
| QLD | 8.8% | 21.6% | 12.8% |
| TECL | 23.9% | 11.5% | 12.4% |
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Frequently asked questions
Which is better: RSI mean reversion or 200-day regime filter?
On this 2021-01-04 to 2026-10-02 window, 200-day regime filter produced the higher CAGR on 37 of 59 ETFs. Median CAGR: RSI mean reversion 3.0% vs 200-day regime filter 1.8%; median max drawdown: 24.6% vs 22.2%. 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.