DeployQuantRSI(2) Dip Snapback on IAU
iShares Gold Trust: physical gold exposure, a common crisis hedge. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
IAU holds physical gold. Between 2021-01-04 and 2026-10-02 the RSI(2) snapback traded it 169 times. A buy follows any close with the 2-day RSI under 10, filled at the next open, and the sale follows the first close with RSI(2) back over 70. On IAU it turned $10,000 into $13,042.73, a CAGR of 4.74% and a total return of 30.43%. The maximum drawdown was 20.11% and the Sharpe ratio was 0.49.
The same dates held in IAU alone gave $20,857.05 (13.66% a year), a 26.16% maximum drawdown and a Sharpe ratio of 0.8. The snapback rule earned less and drew down less, and it was in the market 37.1% of the time. Its win rate was 65%, with 110 winners among 169 round trips, and yet its profit factor was only 1.25. The average winner gained 1.2% and the average loser lost 1.72%, so the rule won often and lost more on the losses than it made on the wins. The best trade returned 3.68% and the worst lost 12.96%.
The 4.74% CAGR on IAU equals the strategy's median across all 59 ETFs, so gold was an average fund for this template. Among the 12 templates on IAU the snapback ranked 11th, and IAU ranked 30th of 59 funds for the rule. The fund sits mid-table for this rule, but the rule sits near the bottom of the 12 templates on gold.
Trade size is small here. The median trade returned 0.37% over a median hold of 4 days. Costs of 5 or 10 basis points per fill take a visible part of a median trade that small, and the cost runs below show what that does to the result. All figures come from one 5.74-year backtest, and the headline run charges nothing for fees or slippage.
Year by year
| Year | RSI(2) snapback | buy & hold |
|---|---|---|
| 2021 | −0.9% | −6.0% |
| 2022 | −0.2% | −0.6% |
| 2023 | 14.3% | 12.6% |
| 2024 | 6.3% | 26.3% |
| 2025 | 18.0% | 62.9% |
| 2026 | −8.1% | −3.9% |
What each year did
The rule returned a loss of 0.9% in 2021, a loss of 0.2% in 2022, 14.3% in 2023, 6.3% in 2024, 18% in 2025 and a loss of 8.1% so far in 2026. The fund printed a loss of 6%, a loss of 0.6%, then 12.6%, 26.3%, 62.9% and a loss of 3.9% over those years. The rule led in 2021, 2022 and 2023, by 5.1, 0.4 and 1.7 points, and fell behind in 2024 (20 points), 2025 (44.9) and 2026 (4.2).
The three years it won are the three years when gold went nowhere or fell. In 2021 the fund lost 6% and the rule lost 0.9%, a gain relative to holding of 5.1 points. A rule that is in the market 37.1% of the time loses less when the asset drifts down, and the snapback exit takes small profits on the bounces. In 2022 both finished near zero. In 2023 the fund returned 12.6% and the rule 14.3%, helped by March and April, which gained 5.88% and 5.83%.
The years it lost are the years gold ran. In 2025 IAU returned 62.9%. The rule returned 18%, with gains in March, April, May and July through November. That is a good year for a rule that sits out most of the time and a poor one next to holding. The same applies to 2024, when the fund returned 26.3% and the rule 6.3%. A mean-reversion rule that exits as soon as RSI(2) passes 70 cannot stay in a persistent climb, and gold's 2024 and 2025 climbs were persistent.
2026 returned a loss of 8.1% against a loss of 3.9% for the fund. January gained 6.35% and February gained 7.05%, the best month of the window. March lost 12.64%, the worst month. The rest of the year ran from a loss of 0.67% in May, through 4.63% in June, to a gain of 2.91% in August and a loss of 5% in September. The 2026 trades are discussed below, since the March loss came from a single position.
The count of trades by exit year was 31 in 2021 with 19 wins, 30 in 2022 with 18, 32 in 2023 with 24, 29 in 2024 with 20, 23 in 2025 with 17 and 24 in 2026 with 12. The 2023 year had the best hit rate and the 2026 year the worst, with half of its 24 trades closing at a loss.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | −1.5% | 1.0% | −0.7% | 2.2% | 2.9% | −4.8% | 1.6% | −1.8% | 1.2% | 0.2% | −2.4% | 1.5% |
| 2022 | 2.9% | 0.0% | 3.2% | −0.1% | −1.7% | 1.1% | −2.8% | −2.7% | −0.8% | −4.2% | 2.4% | 2.8% |
| 2023 | 0.4% | 1.6% | 5.9% | 5.8% | 1.0% | 1.1% | −0.1% | −1.1% | −2.4% | −0.1% | 0.1% | 1.4% |
| 2024 | −1.5% | −0.8% | 3.0% | 0.9% | 1.1% | 0.1% | 1.6% | 4.0% | 2.9% | 0.1% | −4.5% | −0.5% |
| 2025 | 1.1% | −1.1% | 3.9% | 2.5% | 1.2% | −1.1% | 3.5% | 2.1% | 1.9% | 1.6% | 1.6% | −0.1% |
| 2026 | 6.3% | 7.0% | −12.6% | 0.2% | −0.7% | −4.6% | −0.7% | 2.9% | −5.0% | 0.2% | – | – |
Monthly returns
The rule posted a gain in most months, and its losses were small until 2026. Before that year the worst months were a loss of 4.82% in June 2021, a loss of 4.15% in October 2022 and a loss of 4.49% in November 2024. The best months before 2026 were March 2023 at 5.88% and April 2023 at 5.83%.
2026 broke the pattern. February was the best month at 7.05% and March the worst at a loss of 12.64%. Holding the fund gave a best month of 12.4% (January 2026) and a worst of a loss of 11.59% (June 2026). The rule's June 2026 was a loss of 4.63%, which was less than the fund's. The calendar-month profile of the fund shows why June is a hazard for gold: the average June return over six observations was a loss of 3.72%, the weakest month of the year.
Every trade
RSI(2) snapback on IAU made 169 closed round trips, an average hold of 5 days, an average winner of 1.20%, an average loser of −1.72%, a profit factor of 1.25, a longest losing streak of 4. It held a position at the close on 37.1% of trading days.
Best 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2026-05-05 | $86.12 | 2026-05-07 | $89.29 | 3.7% | 2 |
| 2025-04-07 | $57.02 | 2025-04-10 | $59.06 | 3.6% | 3 |
| 2023-03-28 | $37.20 | 2023-04-05 | $38.43 | 3.3% | 8 |
| 2026-02-06 | $92.49 | 2026-02-10 | $95.48 | 3.2% | 4 |
| 2025-12-31 | $81.74 | 2026-01-06 | $84.17 | 3.0% | 6 |
| 2023-03-22 | $36.80 | 2023-03-24 | $37.85 | 2.9% | 2 |
| 2026-04-07 | $87.62 | 2026-04-08 | $90.09 | 2.8% | 1 |
| 2023-12-12 | $37.53 | 2023-12-14 | $38.58 | 2.8% | 2 |
| 2026-08-04 | $76.76 | 2026-08-05 | $78.89 | 2.8% | 1 |
| 2022-10-31 | $31.02 | 2022-11-07 | $31.86 | 2.7% | 7 |
Worst 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2026-03-13 | $96.10 | 2026-03-26 | $83.65 | −13.0% | 13 |
| 2022-06-22 | $34.93 | 2022-07-11 | $33.00 | −5.5% | 19 |
| 2021-06-10 | $35.93 | 2021-06-23 | $33.98 | −5.4% | 13 |
| 2023-09-22 | $36.47 | 2023-10-09 | $34.94 | −4.2% | 17 |
| 2026-04-22 | $89.30 | 2026-05-04 | $85.79 | −3.9% | 12 |
| 2021-02-25 | $33.94 | 2021-03-03 | $32.65 | −3.8% | 6 |
| 2026-06-22 | $78.75 | 2026-06-29 | $75.98 | −3.5% | 7 |
| 2026-05-14 | $88.13 | 2026-05-22 | $85.04 | −3.5% | 8 |
| 2021-08-03 | $34.47 | 2021-08-12 | $33.27 | −3.5% | 9 |
| 2022-10-07 | $32.32 | 2022-10-13 | $31.28 | −3.2% | 6 |
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.
The 169 trades
Most of the 169 round trips were short and small. The shortest lasted 1 day, the longest 19 days, the median 4 days and the average 4.6. The median return was 0.37%. The winning streak peaked at 16 trades and the losing streak at 4.
The five best trades:
- 2026-05-05 at 86.12 to 2026-05-07 at 89.29, a gain of 3.68% in 2 days.
- 2025-04-07 at 57.02 to 2025-04-10 at 59.06, a gain of 3.58% in 3 days.
- 2023-03-28 to 2023-04-05, a gain of 3.32% in 8 days.
- 2026-02-06 at 92.49 to 2026-02-10 at 95.48, a gain of 3.23% in 4 days.
- 2025-12-31 at 81.74 to 2026-01-06 at 84.175, a gain of 2.98% in 6 days.
None of the best trades is above 3.68%. That is the ceiling of the rule on this fund: a washout on gold is a two or three day move of a few percent, and the exit comes at the first sign of recovery.
The five worst trades:
- 2026-03-13 at 96.1 to 2026-03-26 at 83.65, a loss of 12.96% in 13 days.
- 2022-06-22 to 2022-07-11, a loss of 5.52% in 19 days, the longest hold.
- 2021-06-10 to 2021-06-23, a loss of 5.43% in 13 days.
- 2023-09-22 to 2023-10-09, a loss of 4.2% in 17 days.
- 2026-04-22 to 2026-05-04, a loss of 3.93% in 12 days.
The 20.11% drawdown peaked on 2026-03-12, one day before that entry. The fund's single worst day was 2026-01-30 at a loss of 10.09%, and its bad days also include 2026-03-03 at a loss of 4.42% and 2026-03-19 at a loss of 4.15%. The rule bought the washout on 2026-03-13 and sat through a further decline until RSI(2) recovered on 2026-03-26. All five of the worst trades lasted 12 days or more, against a median of 4. A trade that does not recover quickly keeps running, since the only exit is RSI(2) above 70.
The first trade was entered on 2021-01-08 at 35.94 and exited on 2021-01-13 at 35.38 for a loss of 1.56%. The last was entered on 2026-09-25 at 80.4 and exited on 2026-10-01 at 78.31 for a loss of 2.6%. Nothing was open when the window ended.
Where the 16-trade win streak fits the record
The longest run of consecutive winners was 16 trades, and the longest run of losers was 4. A streak that long means the rule's small gains came in a block, with no loser interrupting it. Years with the highest hit rate were 2023, when 24 of 32 trades won, and 2025, when 17 of 23 won. Even in those years the profit factor for the whole window stayed at 1.25, because the occasional loser of 4% to 13% took back many winners of 1% to 3%.
The trade list shows how lopsided the sizes are. The largest winner returned 3.68% and the largest loser lost 12.96%. The average winner was 1.2% and the average loser was -1.72%. Winners and losers have different holding times as well: the median hold was 4 days, while all five of the worst trades lasted 12 days or more. A position that bounces within a few days exits at a small profit. A position that keeps falling stays open until RSI(2) rises above 70, and the loss grows each day it stays open.
April 2025 is a good example of the best case. The fund's price was 57.02 when the rule bought on 2025-04-07, and it sold on 2025-04-10 at 59.06 for 3.58% in 3 days. That was the second best trade of 169. March 2026 is the worst case: the rule bought at 96.1 on 2026-03-13 and sold at 83.65 on 2026-03-26. One position of that size cost 12.96%, against no winner above 3.68%.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2026-03-12 | 2026-09-28 | −20.1% | 200 | not yet | – |
| 2022-06-10 | 2022-10-19 | −13.1% | 131 | 2023-03-30 | 162 |
| 2021-06-10 | 2021-08-09 | −8.2% | 60 | 2022-03-30 | 233 |
Buy-and-hold's deepest drawdown ran from 2026-01-29 to 2026-07-16 and reached −26.2%.
The three drawdowns
The deepest drawdown was 20.11%, from a peak on 2026-03-12 to a trough on 2026-09-28, 200 days later. The account was still under that peak on the last day, so the figure depends on where the window stops. The fund fell 26.16% from 2026-01-29 to 2026-07-16 and had not recovered either.
The second was 13.07%, from 2022-06-10 to 2022-10-19, 131 days, recovered on 2023-03-30, 162 days after the trough. The third was 8.16%, from 2021-06-10 to 2021-08-09, 60 days, recovered on 2022-03-30, 233 days after the trough. The 2021 drawdown is shallow but took 233 days to recover. The fund's earlier falls were 20.53% (2022-03-08 to 2022-09-26, recovered 2023-12-01) and 13.6% (2021-01-05 to 2021-03-08, recovered 2022-03-04).
The rule's maximum drawdown was 6.05 points shallower than the fund's. IAU is a calm fund for a snapback rule, with annualized volatility of 18.26% and few big pullbacks, and the 2026 drawdown includes one large losing trade.
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) | 4.7% | −20.1% | $13,043 | 0.49 |
| 5 basis points | 1.8% | −21.6% | $11,054 | 0.22 |
| 10 basis points | −1.1% | −22.9% | $9,380 | -0.05 |
Cost runs and the size of a typical trade
With 5 basis points charged on each fill, the CAGR dropped from 4.74% to 1.76%, the drawdown deepened to 21.57% and the Sharpe ratio fell to 0.216, leaving $11,053.5. With 10 basis points, the CAGR turned into a loss of 1.11%, the drawdown reached 22.89%, the Sharpe ratio went to negative 0.05 and the account ended at $9,380.41.
The rule made 338 fills, and the median trade returned 0.37%. Charging 5 basis points on each side of a trade comes to 10 basis points for the round trip, a meaningful share of a trade that nets less than half a percent. The headline result of 4.74% is the number with the least friction. IAU traded $383,606,697 on an average day, with a median of 7,446 shares per minute. The fund is liquid, so these runs test sensitivity and do not measure a real IAU spread. The result shows the rule needs a good fill. The template description calls this the highest-turnover template in the library, and these two rows show why.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 4.7% | −20.1% | 169 | 65% | $13,043 |
| RSI(2) < 5 / > 70 | 7.0% | −14.8% | 158 | 66% | $14,734 |
| RSI(2) < 15 / > 70 | 4.3% | −23.7% | 178 | 64% | $12,707 |
| RSI(2) < 10 / > 60 | 4.3% | −20.1% | 173 | 64% | $12,748 |
| RSI(2) < 10 / > 80 | 5.6% | −20.4% | 157 | 70% | $13,652 |
Changing the thresholds
Each of four variants changed a single threshold.
Buying only below RSI(2) of 5 gave a CAGR of 6.98%, a maximum drawdown of 14.85% and a Sharpe of 0.706, ending at $14,734.06, with 158 trades and 105 wins. It was the best of the four, with the shallowest drawdown. Buying below 15 gave 4.26%, a drawdown of 23.73% and a Sharpe of 0.431, ending at $12,707.44, with 178 trades and 114 wins. Selling above 60 gave 4.32%, a drawdown of 20.12% and a Sharpe of 0.456, ending at $12,748.43, with 173 trades and 111 wins. Selling above 80 gave 5.57%, a drawdown of 20.38% and a Sharpe of 0.546, ending at $13,652.09, with 157 trades and 110 wins.
A stricter entry gave a better result with fewer trades. A looser entry gave a worse one with more trades, and a drawdown that was deeper. For the exit, holding until RSI(2) above 80 beat the default of 70 and selling at 60 lost ground, so a longer hold helped on this fund. The variants were not chosen in advance, and each one is a single run on a single window. The four results span 4.26% to 6.98%, a band in which the exact thresholds matter less than the cost runs above.
How IAU behaved
| Measure | IAU |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 110.3% |
| Annualized volatility | 18.3% |
| Deepest drawdown | −26.4% (2026-01-29 to 2026-07-16) |
| Up days | 53.3% |
| Average daily range | 0.98% |
| Average overnight gap | 0.61% |
| Correlation to SPY | 0.16 |
| Correlation to QQQ | 0.16 |
| Correlation to TLT | 0.21 |
| Sessions above the 200-day average | 78.0% |
| Crossings of the 200-day average | 44 |
| Falls of 10% or more from a 20-day high | 7 |
How gold behaved
Over the window IAU gained 110.28%. That is 13.82% a year with annualized volatility of 18.26%. Its calendar returns were a loss of 6.12% in 2021, a loss of 0.57% in 2022, 12.83% in 2023, 26.84% in 2024, 63.89% in 2025 and a loss of 3.96% in 2026 so far. Up days made up 53.29% of sessions, and average moves were 0.83% in each direction. A day's range averaged 0.98%, and the overnight gap averaged 0.61%.
The profile that matters most for a snapback rule is what happened after a washout. RSI(2) closed under 10 on 152 sessions. After those closes the median 5-day return was 0.18%, below the 0.31% baseline for any 5-day period. The median 20-day return was 1.59% against a baseline of 1.01%. A median 5-day result under the baseline means that on IAU, a 2-day washout did not predict a better week than average. The snapback premise, that sharp short-term sell-offs reverse within days, was not visible in the median fund-level statistic. RSI(14) closed under 30 on 45 sessions, with a median 5-day return of 0.64% against 0.31% and a median 20-day return of 2.8% against 1.01%, a stronger reading at a slower horizon.
Gold earned its return when US markets were shut. The overnight share was 108.93%, with the intraday share at negative 8.93%; in log terms the day session lost 6.66% and the nights gained 81.29%. A rule that enters and exits at the open sits through the nights while invested, but it was invested only 37.1% of the time, so it could capture only part of those overnight gains.
The fund has little link to equities, with a beta to SPY of 0.18 and a correlation of 0.16. Closes sat above the 200-day average on 77.99% of sessions, with 44 crossings, and day-to-day autocorrelation was negative 0.02. A 10% slide from a 20-day high happened 7 times, totalling 20 days, which is rare and means a dip rule on gold has few deep dips to buy.
Gold's biggest days and who it moved with
IAU's largest single-day loss in the window was 2026-01-30 at -10.09%, one session after its January peak. The next worst were 2025-10-21 at -6.17%, 2026-03-03 at -4.42%, 2025-12-29 at -4.36% and 2026-03-19 at -4.15%. The best days were 2026-02-03 at +6.23%, 2026-08-05 at +4.13% and 2026-01-28 at +3.87%. Nearly all of the extreme days sit in the last year and a half. A rule built on 2-day RSI sees that as a string of washouts, and the page's trade list shows the 2026 entries piling up in that stretch.
The fund's month-of-year averages show January at +4.39%, October at +3.02%, March at +2.54%, November at +2.51% and August at +2.13%, against June at -3.72% and September at -0.11%. With five or six observations per month, they describe this window and nothing more. The rule does not use the calendar, though it did hold a large losing position through March 2026, a month the fund's own March average rates among its better ones.
By weekday the fund averaged +0.11% on Wednesdays, +0.06% on Tuesdays, +0.05% on Fridays, +0.04% on Thursdays and +0.03% on Mondays. The spread is tiny, so a weekday filter would have added nothing.
Gold also moved apart from other assets in the data. Its closest relatives by daily correlation were UDN at 0.44, FXE at 0.4, QAI at 0.34, EEM at 0.34 and IEI at 0.33. The most opposite were USDU at -0.44, EEV at -0.34, TBF at -0.21, SOXS at -0.19 and TECS at -0.16. The positive links are with currency and bond funds, and the negative one with a dollar fund, which fits how gold trades against the dollar. Correlation to TLT was 0.21 and beta to it 0.25. None of these numbers is strong, so a washout in IAU has little to do with the equity market's moves.
The rules
Buy extreme 2-day RSI washouts under 10, exit as soon as RSI(2) recovers above 70.
- WHEN the market opens · IF not invested AND RSI(2) < 10 · THEN buy with 98% of the sleeve
- WHEN the market opens · IF invested AND RSI(2) > 70 · THEN sell the whole position
A short-horizon mean-reversion template popularized by Larry Connors' RSI-2 research. A 2-period RSI under 10 flags a sharp multi-day selloff. In assets with a persistent upward drift, those selloffs have tended to snap back within days. Trades are frequent and short. This is the highest-turnover template in the library.
Good for: liquid index ETFs with strong long-term drift; turnover is high so per-trade edges are small.
Watch out: high trade counts make results sensitive to execution quality; a crash that keeps crashing will hand this template several losing entries in a row.
How the rules met this fund
The snapback needs a fund that falls fast and recovers fast. Gold's average day is small, 0.83% in either direction, and a 2-day washout is a move of a percent or two. The rule's best trade is under 4%, which is the scale of the whole opportunity. Costs of 5 basis points a side take a visible slice of that, and on 169 trades the slice is large.
Placed among the 12 templates on IAU, the snapback came 11th at 4.74%. The weekly 7% target topped the list at 16.35% (27.66% drawdown), followed by the trend with trailing stop at 13.09%, the 200-day regime filter at 12.98% (20.02%) and the EMA 12/26 trend at 12.5% (14.97%). The monthly cycle made 11.85%, the golden cross 10.79% and the SMA 10/50 trend 10.75%. Behind them came 3-month momentum at 8.51%, the momentum breakout at 7.06% and RSI mean reversion at 4.99%. Only the dip buyer did worse than the snapback, with a loss of 0.78% a year.
Trend rules did better on gold than mean-reversion rules, which fits a fund whose best years were persistent climbs. IAU is the lone fund in the commodity category, so no category peers exist. The test ends at one fund and one window, with daily decisions and default thresholds.
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(2) snapback beat buy-and-hold on IAU?
Over 2021-01-04 to 2026-10-02, RSI(2) snapback on IAU returned 4.7% annualized vs 13.7% for buy-and-hold: it trailed buy-and-hold by 8.9% per year, with a maximum drawdown 6.1 points shallower than holding (20.1% vs 26.2%).
How many trades did it make?
169 completed round trips over 5.7 years (338 fills), with 65% of round trips closing profitably.
How often does RSI(2) trade?
Far more than RSI(14), with dozens of round trips per year on a volatile ETF. The backtest table on each page shows the exact count over the test window.
Is RSI(2) too fast for daily bars?
It is designed for daily bars. The 2-day window catches short, sharp washouts rather than long regimes.
How did the RSI(2) snapback strategy perform on IAU?
A $10,000 start grew to $13,042.73, which is 4.74% a year, with a 20.11% maximum drawdown. Holding IAU gave 13.66% a year and $20,857.05. The window runs 2021-01-04 to 2026-10-02 and the results are hypothetical.
How often did it win?
110 of the 169 round trips won, which is 65%. Winners averaged 1.2% and losers averaged 1.72%, giving a profit factor of 1.25. The median trade returned 0.37%.
Did it beat holding gold?
In 2021, 2022 and 2023 it did, by 5.1, 0.4 and 1.7 points. In 2024, 2025 and 2026 the fund finished ahead, most of all in 2025 when IAU returned 62.9%. Over the whole window the rule had the lower CAGR and the shallower drawdown.
What do trading costs do to this strategy?
They change the verdict. Charging 5 basis points left 1.76% a year, and charging 10 turned it into a loss of 1.11%. With 338 fills and a median trade of 0.37%, costs take a large bite of a typical trade.
Which thresholds worked best on IAU?
Buying only when RSI(2) was below 5 gave the best result at 6.98% a year with a 14.85% drawdown. Selling above 80 gave 5.57%. Buying below 15 gave 4.26% and selling above 60 gave 4.32%.
What was the worst trade?
Buying on 2026-03-13 at 96.1 and selling on 2026-03-26 at 83.65 lost 12.96% in 13 days. With no stop in the rule, the position waited for RSI(2) to recover.
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.