RSI(2) Dip Snapback on SDS
ProShares UltraShort S&P500 — -2x daily S&P 500. Backtest 2021-01-04 → 2026-07-17, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
Year by year
| Year | RSI(2) snapback | buy & hold |
|---|---|---|
| 2021 | −15.3% | −43.0% |
| 2022 | 48.4% | 28.8% |
| 2023 | −8.8% | −30.2% |
| 2024 | −15.0% | −28.2% |
| 2025 | −3.0% | −25.0% |
| 2026 | −14.7% | −11.7% |
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 violent 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 5.5 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 SDS?
Over 2021-01-04–2026-07-17, RSI(2) snapback on SDS returned −3.8% annualized vs −22.1% for buy-and-hold — it beat buy-and-hold by 18.3% per year, with a maximum drawdown 29.9 points shallower than holding (46.6% vs 76.5%).
How many trades did it make?
161 completed round trips over 5.5 years (323 fills), with 52% of round trips closing profitably.
How often does RSI(2) trade?
Far more than RSI(14) — 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's designed for daily bars — the 2-day window is what makes it catch 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 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.