DeployQuantRSI(2) Dip Snapback on KMLM
KFA Mount Lucas Managed Futures Index Strategy ETF: trend-following across futures markets, often used as an equity diversifier. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies. KMLM data starts 2021-01-06, so its results cover a shorter span.
Year by year
| Year | RSI(2) snapback | buy & hold |
|---|---|---|
| 2021 | 5.1% | 6.0% |
| 2022 | 11.3% | 29.6% |
| 2023 | 3.2% | −6.0% |
| 2024 | 0.9% | −1.2% |
| 2025 | −7.0% | −3.1% |
| 2026 | 10.3% | 19.6% |
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | −0.3% | 1.4% | 1.3% | 1.1% | −1.4% | −0.4% | 3.4% | −3.6% | 1.2% | 4.1% | −2.6% | 0.9% |
| 2022 | 4.8% | 1.4% | 1.9% | 3.4% | 1.9% | −1.3% | −3.7% | 1.5% | 2.8% | 4.2% | −8.7% | 3.4% |
| 2023 | −2.6% | 2.1% | 1.4% | 2.1% | 1.6% | 0.0% | 0.0% | 1.0% | 2.9% | 0.4% | −2.9% | −2.7% |
| 2024 | 1.7% | 1.9% | 0.8% | 1.4% | 1.6% | −0.1% | −0.7% | −1.5% | 0.7% | −3.0% | −1.6% | −0.1% |
| 2025 | −1.8% | 1.2% | 0.0% | −1.3% | −0.8% | −1.3% | −2.2% | 0.6% | −0.1% | −1.5% | 0.3% | −0.3% |
| 2026 | −0.2% | 4.4% | 0.1% | 2.7% | −2.4% | −0.5% | 2.1% | 1.7% | 2.1% | 0.0% | – | – |
Every trade
RSI(2) snapback on KMLM made 151 closed round trips, an average hold of 6 days, an average winner of 0.99%, an average loser of −1.21%, a profit factor of 1.31, a longest losing streak of 6. It held a position at the close on 39.0% of trading days.
Best 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-10-04 | $30.96 | 2022-10-07 | $32.49 | 4.9% | 3 |
| 2022-12-14 | $27.63 | 2022-12-16 | $28.59 | 3.5% | 2 |
| 2022-08-16 | $28.55 | 2022-08-18 | $29.43 | 3.1% | 2 |
| 2022-01-13 | $22.33 | 2022-01-20 | $22.93 | 2.7% | 7 |
| 2026-04-09 | $27.88 | 2026-04-13 | $28.58 | 2.5% | 4 |
| 2022-09-16 | $30.73 | 2022-09-21 | $31.48 | 2.4% | 5 |
| 2023-09-01 | $29.47 | 2023-09-06 | $30.17 | 2.4% | 5 |
| 2023-04-18 | $27.94 | 2023-04-20 | $28.56 | 2.2% | 2 |
| 2021-07-21 | $21.97 | 2021-07-23 | $22.45 | 2.2% | 2 |
| 2022-03-10 | $25.81 | 2022-03-14 | $26.29 | 1.9% | 4 |
Worst 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2022-11-08 | $31.98 | 2022-11-21 | $29.33 | −8.3% | 13 |
| 2022-10-24 | $32.37 | 2022-11-01 | $31.10 | −3.9% | 8 |
| 2024-10-01 | $27.76 | 2024-10-15 | $26.70 | −3.8% | 14 |
| 2023-11-28 | $29.22 | 2023-12-12 | $28.11 | −3.8% | 14 |
| 2023-01-10 | $28.44 | 2023-01-23 | $27.57 | −3.1% | 13 |
| 2021-08-05 | $22.35 | 2021-08-20 | $21.75 | −2.7% | 15 |
| 2025-07-28 | $25.70 | 2025-08-06 | $25.05 | −2.5% | 9 |
| 2025-01-14 | $26.86 | 2025-01-21 | $26.18 | −2.5% | 7 |
| 2026-05-21 | $29.51 | 2026-06-03 | $28.81 | −2.4% | 13 |
| 2026-06-08 | $28.60 | 2026-06-22 | $27.94 | −2.3% | 14 |
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 |
|---|---|---|---|---|---|
| 2022-10-14 | 2022-11-16 | −14.2% | 33 | 2023-10-25 | 343 |
| 2024-05-21 | 2025-11-05 | −14.2% | 533 | not yet | – |
| 2022-06-01 | 2022-08-01 | −8.0% | 61 | 2022-10-06 | 66 |
Buy-and-hold's deepest drawdown ran from 2022-10-14 to 2025-06-20 and reached −27.3%.
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) | 4.0% | −14.2% | $12,492 | 0.49 |
| 5 basis points | 1.3% | −19.8% | $10,776 | 0.20 |
| 10 basis points | −1.3% | −26.5% | $9,293 | -0.10 |
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 4.0% | −14.2% | 151 | 62% | $12,492 |
| RSI(2) < 5 / > 70 | 4.3% | −14.5% | 144 | 62% | $12,751 |
| RSI(2) < 15 / > 70 | 3.4% | −14.4% | 154 | 62% | $12,118 |
| RSI(2) < 10 / > 60 | 3.0% | −15.3% | 160 | 61% | $11,860 |
| RSI(2) < 10 / > 80 | 3.2% | −15.1% | 140 | 65% | $12,001 |
How KMLM behaved
| Measure | KMLM |
|---|---|
| Data in this test | 2021-01-06 to 2026-10-02 (1313 sessions) |
| Total return, buy and hold | 49.0% |
| Annualized volatility | 15.3% |
| Deepest drawdown | −27.6% (2022-10-14 to 2025-06-20) |
| Up days | 52.4% |
| Average daily range | 0.96% |
| Average overnight gap | 0.56% |
| Correlation to SPY | -0.16 |
| Correlation to QQQ | -0.17 |
| Correlation to TLT | -0.39 |
| Sessions above the 200-day average | 45.6% |
| Crossings of the 200-day average | 42 |
| Falls of 10% or more from a 20-day high | 5 |
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.
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 KMLM?
Over 2021-01-04 to 2026-10-02, RSI(2) snapback on KMLM returned 4.0% annualized vs 7.1% for buy-and-hold: it trailed buy-and-hold by 3.1% per year, with a maximum drawdown 13.1 points shallower than holding (14.2% vs 27.3%).
How many trades did it make?
151 completed round trips over 5.7 years (302 fills), with 62% 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.
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.