DeployQuantRSI(14) Mean Reversion on CTA
Simplify Managed Futures Strategy ETF: a systematic managed-futures program in an ETF wrapper. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies. CTA data starts 2022-03-08, so its results cover a shorter span.
Year by year
| Year | RSI mean reversion | buy & hold |
|---|---|---|
| 2022 | 13.3% | 9.2% |
| 2023 | −2.5% | −2.1% |
| 2024 | 5.1% | 23.6% |
| 2025 | 5.2% | 0.8% |
| 2026 | −6.3% | 11.4% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | – | – | 0.4% | 4.5% | 0.0% | 5.4% | 0.8% | 4.0% | 0.0% | 0.0% | −0.9% | −1.4% |
| 2023 | −3.9% | 6.4% | −2.8% | 4.3% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −1.6% | −2.3% | −2.1% |
| 2024 | 0.4% | 6.1% | 0.0% | 0.0% | 0.0% | 0.7% | −4.3% | 2.3% | 0.0% | 0.0% | 0.0% | 0.0% |
| 2025 | 0.0% | 0.0% | 0.0% | 0.7% | −3.6% | 4.5% | 3.4% | 0.0% | 0.0% | 0.0% | 0.4% | 0.0% |
| 2026 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | −12.7% | 7.3% | 0.0% | 0.0% | 0.0% | – | – |
Every trade
RSI mean reversion on CTA made 11 closed round trips, an average hold of 52 days, an average winner of 2.80%, an average loser of −2.65%, a profit factor of 2.52, a longest losing streak of 1. It held a position at the close on 33.7% of trading days.
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-03-29 | $18.52 | 2022-04-18 | $19.45 | 5.0% | 20 |
| 2022-06-03 | $20.06 | 2022-07-01 | $21.35 | 6.4% | 28 |
| 2022-08-15 | $21.86 | 2022-08-31 | $22.75 | 4.1% | 16 |
| 2022-11-18 | $21.86 | 2023-02-15 | $21.83 | −0.1% | 89 |
| 2023-03-14 | $19.75 | 2023-04-24 | $20.03 | 1.4% | 41 |
| 2023-10-23 | $22.23 | 2024-02-14 | $22.27 | 0.2% | 114 |
| 2024-06-11 | $23.96 | 2024-08-21 | $23.63 | −1.4% | 71 |
| 2025-04-09 | $26.02 | 2025-06-17 | $26.35 | 1.3% | 69 |
| 2025-06-30 | $25.08 | 2025-07-16 | $25.98 | 3.6% | 16 |
| 2025-11-03 | $25.97 | 2025-12-29 | $26.07 | 0.4% | 56 |
| 2026-06-03 | $29.37 | 2026-07-22 | $27.48 | −6.4% | 49 |
Prices are adjusted for splits and dividends, so they sit below the quotes printed at the time. An open position is marked at the last close.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2025-12-26 | 2026-07-02 | −15.0% | 188 | not yet | – |
| 2022-11-29 | 2023-02-02 | −9.4% | 65 | 2023-11-09 | 280 |
| 2023-11-09 | 2023-12-27 | −7.0% | 48 | 2024-06-28 | 184 |
Buy-and-hold's deepest drawdown ran from 2026-05-04 to 2026-08-04 and reached −20.5%.
With trading costs
The headline run fills at the bar price. These runs charge slippage on every fill.
| Slippage per fill | CAGR | Max drawdown | Final value | Sharpe |
|---|---|---|---|---|
| None (headline) | 3.0% | −15.0% | $11,438 | 0.41 |
| 5 basis points | 2.7% | −15.1% | $11,317 | 0.38 |
| 10 basis points | 2.5% | −15.2% | $11,196 | 0.35 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 3.0% | −15.0% | 11 | 73% | $11,438 |
| RSI < 25 / > 70 | 2.4% | −12.8% | 9 | 78% | $11,133 |
| RSI < 35 / > 70 | 5.6% | −14.6% | 13 | 77% | $12,803 |
| RSI < 30 / > 65 | 0.9% | −15.0% | 12 | 67% | $10,425 |
| RSI < 30 / > 75 | 5.3% | −15.0% | 11 | 73% | $12,666 |
How CTA behaved
| Measure | CTA |
|---|---|
| Data in this test | 2022-03-08 to 2026-10-02 (1147 sessions) |
| Total return, buy and hold | 49.5% |
| Annualized volatility | 17.7% |
| Deepest drawdown | −20.8% (2026-05-04 to 2026-08-04) |
| Up days | 52.1% |
| Average daily range | 1.16% |
| Average overnight gap | 0.53% |
| Correlation to SPY | -0.15 |
| Correlation to QQQ | -0.13 |
| Correlation to TLT | -0.28 |
| Sessions above the 200-day average | 70.0% |
| Crossings of the 200-day average | 51 |
| Falls of 10% or more from a 20-day high | 6 |
The rules
Buy when the 14-day RSI drops below 30 (oversold), sell when it recovers above 70 (overbought).
- WHEN the market opens · IF not invested AND RSI(14) < 30 · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND RSI(14) > 70 · THEN sell the whole position
A standard mean-reversion setup. The Relative Strength Index measures how stretched recent price action is. Readings under 30 have historically marked short-term washouts in uptrending assets. This template buys at the next session open and holds until RSI crosses back above 70. It has no profit target and no stop.
Good for: assets that trend up over time but overshoot on the way, such as broad index ETFs.
Watch out: in a persistent downtrend, RSI can stay oversold for weeks while the position keeps losing; there is no stop-loss in this template.
Build it from blocks (or type it in English), backtest it on 5.7 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Frequently asked questions
Did RSI mean reversion beat buy-and-hold on CTA?
Over 2021-01-04 to 2026-10-02, RSI mean reversion on CTA returned 3.0% annualized vs 8.9% for buy-and-hold: it trailed buy-and-hold by 5.9% per year, with a maximum drawdown 5.5 points shallower than holding (15.0% vs 20.5%).
How many trades did it make?
11 completed round trips over 5.7 years (22 fills), with 73% of round trips closing profitably.
Why RSI 30/70?
They are the conventional oversold and overbought bands from Welles Wilder's original formulation. Treat them as a starting point. In DeployQuant you can change them to 25/65 or anything else and re-backtest in seconds.
Does this strategy use a stop-loss?
No. The only exit is RSI recovering above 70. Adding a stop or a take-profit block is a one-block edit in the Lab.
Related
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.