DeployQuantRSI(2) Dip Snapback on SOXX
iShares Semiconductor ETF: the semiconductor industry, a high-momentum sector. Backtest 2021-01-04 to 2026-10-02, $10,000 starting capital, computed by the same engine that runs live DeployQuant strategies.
The RSI(2) snapback rule enters SOXX, the iShares Semiconductor ETF, after a 2-day RSI reading under 10 and exits once it recovers over 70. From 2021-01-04 to 2026-10-02, $10,000 became $24,642, a CAGR of 17.01% with a maximum drawdown of 23.81% and a Sharpe ratio of 0.77. Leaving the $10,000 in SOXX throughout gave $47,348, or 31.11% a year, with a 45.06% drawdown and a Sharpe of 0.92.
The rule was in the fund 37.1% of the time, so it traded a very volatile fund with a small share of the days. Only 2022 went the rule's way among the calendar years, and the other five went to the fund. The drawdown was shallower than holding's by 21.25 points. That is a large reduction in risk for a large gap in return, and the rule's profile on SOXX comes down to this trade: lower exposure, lower drawdown, much lower CAGR.
The test made 162 closed round trips and 324 fills. Winners numbered 99, a 61% hit rate. A typical winner made 2.61% and a typical loser gave up 2.49%, which puts the profit factor at 1.57. Positions were held 4.7 days on average and 14 at the most. The best trade, from 2026-06-11 to 2026-06-15, returned 11.66% and the worst, from 2025-02-24 to 2025-03-06, lost 11.39%.
SOXX is a high-momentum sector fund. In this window it returned 388.35% with annualized volatility of 38.08%, and it fell 45.81% from 2021-12-27 to 2022-10-14. A mean reversion rule that exits as soon as RSI recovers will leave most of such a run on the table, and that is what the numbers show. The strategy hub has the rule in general on the RSI(2) snapback page, and the fund has its own SOXX page.
Year by year
| Year | RSI(2) snapback | buy & hold |
|---|---|---|
| 2021 | 33.9% | 43.6% |
| 2022 | −11.4% | −34.5% |
| 2023 | 36.1% | 65.3% |
| 2024 | 9.5% | 12.8% |
| 2025 | 31.2% | 40.1% |
| 2026 | 6.3% | 95.0% |
Year by year
2021 returned 33.9% for the rule and 43.6% for holding. The rule won 20 of 30 trades that year. The first trade ran from 2021-01-26 at an adjusted $133.34 to 2021-02-02 at $131.89, a loss of 1.09%. January lost 6.04% and May gained 8.24%, with a quick 7.6% trade from 2021-05-19 to 2021-05-21. December gained 8.16%. The year was strongly positive for the fund, and the rule captured most of it despite being invested for a small share of the sessions.
2022 is the year the rule paid off. SOXX fell 34.5% while the rule fell 11.4%, the one year it finished in front. The rule won 13 of 29 trades, the worst hit rate of any year. April 2022 lost 10.64% and June lost 5.92%. The trade from 2022-04-01 at $153.03 to 2022-04-14 at $138.30 lost 9.63%, and the one from 2022-06-10 to 2022-06-16 lost 8.59%. The drawdown peak was 2022-03-16 and the low was 2022-10-12, with a drop of 23.81%. The rule's edge here came from being in cash most of the time, not from picking the bottoms. November 2022 gained 7.1% and October gained 3.95%.
2023 was the biggest shortfall. The fund returned 65.3% and the rule returned 36.1%. January gained 9.57%, February 6.81%, March 8.95% and May 9.08%, and the rule won 17 of 28 trades. The best of the year was a 2-day trade from 2023-01-31 at $128.85 to 2023-02-02 at $139.66, which returned 8.39%. October lost 5.25%. With the fund climbing almost without pause, an exit triggered by RSI(2) recovering over 70 gives up most of the trend.
2024 returned 9.5% against 12.8% for holding. The rule won 19 of 30. February gained 9.63% and August lost 9.27%, the worst month of the year, from the trade that began on 2024-07-31 at $227.67 and ended on 2024-08-09 at $209.28 for negative 8.08%. 2025 returned 31.2% against 40.1%, with 20 wins in 27 trades. February lost 6.31% and March lost 7.05%, from the trade that entered on 2025-02-24 at $222.60 and exited on 2025-03-06 at $197.25, the worst of all 162. April 2025 gained 10.81%, helped by the entry on 2025-04-04 at $163.75 that exited on 2025-04-10 at $174.22 for 6.39%. May gained 9.86% and October gained 7.31%.
The 2026 figures end on 2026-10-02. The rule returned 6.3% and the fund returned 95%, which makes this the largest gap of any year. January gained 13.65% for the rule, its best month, and the trade from 2026-06-11 at $558.36 to 2026-06-15 at $623.44 returned 11.66%. July lost 11.41%, the rule's weakest month, and the trade from 2026-07-27 at $531.67 to 2026-08-03 at $488.86 lost 8.05%.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | −6.0% | 7.3% | 8.0% | −1.4% | 8.2% | −0.1% | 4.3% | −3.3% | 0.6% | 2.3% | 2.6% | 8.2% |
| 2022 | −1.9% | 4.1% | 1.1% | −10.6% | −2.2% | −5.9% | 4.0% | −3.9% | −4.7% | 4.0% | 7.1% | −1.6% |
| 2023 | 9.6% | 6.8% | 8.9% | −3.3% | 9.1% | 0.7% | 3.2% | −0.4% | −0.7% | −5.3% | 3.1% | 0.8% |
| 2024 | −4.2% | 9.6% | −0.1% | 0.9% | 3.3% | 4.6% | −0.5% | −9.3% | −0.8% | −0.3% | 0.5% | 6.5% |
| 2025 | 6.3% | −6.3% | −7.0% | 10.8% | 9.9% | 1.3% | 3.9% | 2.6% | 4.3% | 7.3% | −3.2% | −0.5% |
| 2026 | 13.7% | −0.1% | 0.1% | 3.2% | −1.2% | 3.5% | −11.4% | −1.7% | 1.6% | 0.0% | – | – |
Month by month
The strategy has no cash-only months with a 0.0% reading until October 2026, which is the last row and holds only the first days. It makes a few trades in nearly every month. The table is therefore a mix of positive and negative months, with 13.65% in January 2026 and 10.81% in April 2025 at the top, and negative 11.41% in July 2026, negative 10.64% in April 2022 and negative 9.27% in August 2024 at the bottom.
SOXX itself peaked in April 2026 at 40.13% and bottomed in July 2026 at negative 21.13%. The strategy's July 2026 loss of 11.41% was smaller than the fund's, and its April 2026 gain was only 3.23% against the fund's 40.13%. A rule that holds for four or five days at a time cannot hold a month-long rally.
The fund's calendar-month averages put May at 11.44% and November at 8.44%, with August at negative 1.61% and July at negative 0.5%. Each average rests on five or six readings, so it speaks only for this sample. The rule's own May months were 8.24% in 2021, 9.08% in 2023, 3.32% in 2024 and 9.86% in 2025, and it lost 2.18% in May 2022.
Every trade
RSI(2) snapback on SOXX made 162 closed round trips, an average hold of 5 days, an average winner of 2.61%, an average loser of −2.49%, a profit factor of 1.57, 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 |
|---|---|---|---|---|---|
| 2026-06-11 | $558.36 | 2026-06-15 | $623.44 | 11.7% | 4 |
| 2023-01-31 | $128.85 | 2023-02-02 | $139.66 | 8.4% | 2 |
| 2021-05-19 | $124.40 | 2021-05-21 | $133.85 | 7.6% | 2 |
| 2025-04-04 | $163.75 | 2025-04-10 | $174.22 | 6.4% | 6 |
| 2025-10-23 | $282.54 | 2025-10-27 | $300.56 | 6.4% | 4 |
| 2023-01-20 | $122.49 | 2023-01-24 | $130.26 | 6.3% | 4 |
| 2021-03-25 | $125.86 | 2021-03-29 | $133.54 | 6.1% | 4 |
| 2025-04-30 | $176.73 | 2025-05-02 | $187.39 | 6.0% | 2 |
| 2022-11-29 | $119.44 | 2022-12-01 | $126.27 | 5.7% | 2 |
| 2024-11-01 | $217.75 | 2024-11-07 | $229.70 | 5.5% | 6 |
Worst 10 round trips
| Entry | Entry price | Exit | Exit price | Return | Days held |
|---|---|---|---|---|---|
| 2025-02-24 | $222.60 | 2025-03-06 | $197.25 | −11.4% | 10 |
| 2022-04-01 | $153.03 | 2022-04-14 | $138.30 | −9.6% | 13 |
| 2022-06-10 | $128.24 | 2022-06-16 | $117.23 | −8.6% | 6 |
| 2024-07-31 | $227.67 | 2024-08-09 | $209.28 | −8.1% | 9 |
| 2026-07-27 | $531.67 | 2026-08-03 | $488.86 | −8.1% | 7 |
| 2025-03-27 | $194.83 | 2025-04-03 | $179.28 | −8.0% | 7 |
| 2026-07-14 | $576.26 | 2026-07-22 | $542.75 | −5.8% | 8 |
| 2026-06-25 | $634.29 | 2026-06-26 | $600.18 | −5.4% | 1 |
| 2024-11-12 | $222.55 | 2024-11-20 | $210.75 | −5.3% | 8 |
| 2022-09-22 | $111.99 | 2022-09-29 | $106.63 | −4.8% | 7 |
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 162 round trips
Half the trades returned more than 0.67% and half were held 4 days or less. Holds ran from 1 day to 14. Wins came in a row at most 7 times and losses at most 4. Winners averaged 2.61% and losers averaged 2.49%, which are close, so the 61% win rate carries the profit factor of 1.57.
The five best trades are 11.66% from 2026-06-11, 8.39% from 2023-01-31, 7.6% from 2021-05-19, 6.39% from 2025-04-04 and 6.38% from 2025-10-23. All five lasted 6 days or fewer. The five worst are negative 11.39% from 2025-02-24, negative 9.63% from 2022-04-01, negative 8.59% from 2022-06-10, negative 8.08% from 2024-07-31 and negative 8.05% from 2026-07-27. These lasted from 6 to 13 days, so the losers were held longer than the winners. A rule that waits for RSI to recover will sit through a decline that keeps going, which the strategy page warns about.
Grouped by exit year, the trips and wins were 30 and 20 in 2021, 29 and 13 in 2022, 28 and 17 in 2023, 30 and 19 in 2024, 27 and 20 in 2025 and 18 and 10 in 2026. 2022 has the lowest win rate of any year. The rule entered a falling market several times and the market kept falling.
The final trade ran from 2026-09-25 to 2026-09-28 and lost 0.44%, leaving nothing open. Quoted prices are adjusted for splits and dividends, which puts them under what the screen showed then.
Largest drawdowns
| Peak | Low point | Depth | Days to low | Recovered | Days to recover |
|---|---|---|---|---|---|
| 2022-03-16 | 2022-10-12 | −23.8% | 210 | 2023-02-07 | 118 |
| 2025-02-05 | 2025-04-08 | −23.5% | 62 | 2025-05-09 | 31 |
| 2026-06-24 | 2026-07-29 | −22.4% | 35 | not yet | – |
Buy-and-hold's deepest drawdown ran from 2021-12-27 to 2022-10-14 and reached −45.1%.
Drawdowns
The worst slide for the rule was 23.81%, running 2022-03-16 to 2022-10-12 and repaired on 2023-02-07. Holding fell 45.06% from 2021-12-27 to 2022-10-14 and recovered on 2023-12-13. Its peak came later and its repair came sooner, since cash covered most of the decline.
A second slide reached 23.52% from 2025-02-05 to 2025-04-08, with a recovery on 2025-05-09 after 31 days. Holding's matching episode was 40.93%, from 2024-07-10 to 2025-04-08, and it took until 2025-09-18 to recover. The worst trade of the test, the 11.39% loss from 2025-02-24, is the heart of this drawdown. The third drawdown ran from 2026-06-24 to 2026-07-29 and reached 22.4%. That one was still open at the end, as was the fund's 28.99% over the same stretch.
The rule's three slides all sit near 23%, against 45.06%, 40.93% and 28.99% for the fund. The rule spent less time exposed and cut each episode, but it still fell by more than a fifth three times in under six years. The fund's worst days were 2026-06-05 at negative 10.45%, 2025-04-03 at negative 10.11% and 2025-04-10 at negative 8.34%. Declines of 10% or more below a 20-day high began 43 times and covered 197 days.
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) | 17.0% | −23.8% | $24,642 | 0.77 |
| 5 basis points | 13.8% | −25.1% | $20,987 | 0.65 |
| 10 basis points | 10.7% | −26.4% | $17,911 | 0.54 |
Why costs matter for this rule
This is where the rule is most sensitive. The free run gives 17.01% a year. Charging 5 basis points a fill cuts it to 13.78%, the drawdown deepened to 25.14%, the final value was $20,987 and the Sharpe was 0.652. At 10 basis points the CAGR was 10.69%, the drawdown was 26.42%, the final value was $17,911 and the Sharpe was 0.538.
Every basis point is charged on all 324 fills, and the CAGR drops sharply at 5 and again at 10. A trade averaging 2.61% on winners and 2.49% on losers gives little room for a fill cost to hide. SOXX turns over $1,048,392,630 on a typical day, so 10 basis points is a fair stress, although a median minute of only 5,853 shares shows how thin one minute can be. A real account that traded at the open would face the opening spread on every one of these fills.
Turnover is the highest of any template, and the cost runs show the price of it. At 10 basis points the rule still finished at $17,911, well above the start, though the distance to holding grew. Holding made one fill.
Changing the parameters
| Version | CAGR | Max drawdown | Round trips | Win rate | Final value |
|---|---|---|---|---|---|
| Published rules | 17.0% | −23.8% | 162 | 61% | $24,642 |
| RSI(2) < 5 / > 70 | 21.7% | −22.6% | 154 | 61% | $30,931 |
| RSI(2) < 15 / > 70 | 18.9% | −23.5% | 173 | 62% | $26,972 |
| RSI(2) < 10 / > 60 | 16.7% | −27.0% | 171 | 60% | $24,228 |
| RSI(2) < 10 / > 80 | 18.5% | −24.1% | 149 | 60% | $26,523 |
Changing the thresholds
Four variants move the entry or exit level. Buying below 5 returned 21.74% with a drawdown of 22.59% and a Sharpe of 0.943, over 154 trades with 94 wins. Buying below 15 returned 18.87% with a drawdown of 23.5% and a Sharpe of 0.827, over 173 trades with 108 wins. Selling above 60 returned 16.66% with a drawdown of 26.97%, over 171 trades with 102 wins. Selling above 80 returned 18.52% with a drawdown of 24.1% and a Sharpe of 0.791, over 149 trades with 90 wins.
The strictest entry at below 5 is the best of the five versions on return, drawdown and Sharpe. A lower entry level picks only the deepest selloffs, which gave the best result on this fund in this window. The wider entry at below 15 did better than the published version as well, at 18.87% against 17.01%, so the entry setting did not move in one direction. Both variants beat the published rule on return.
A later exit helped. Selling above 80 returned 18.52% against 17.01% at 70, and selling above 60 returned 16.66%, slightly lower. A higher exit holds longer and takes more of the rebound, which suits a fund with this much drift. On the other side, a quicker exit gave back some of the gain.
All four variants stay well below the 31.11% for holding. The variants are close in return to one another compared with that gap, so a threshold moves the result by a few points while the decision to trade the rule at all moves it much more. One strong trend dominates the window, and another period could rank them differently. The dip buyer on SOXX returned 27.48% on the same fund with another way of buying weakness.
How SOXX behaved
| Measure | SOXX |
|---|---|
| Data in this test | 2021-01-04 to 2026-10-02 (1444 sessions) |
| Total return, buy and hold | 388.4% |
| Annualized volatility | 38.1% |
| Deepest drawdown | −45.8% (2021-12-27 to 2022-10-14) |
| Up days | 53.9% |
| Average daily range | 2.58% |
| Average overnight gap | 1.07% |
| Correlation to SPY | 0.79 |
| Correlation to QQQ | 0.87 |
| Correlation to TLT | 0.05 |
| Sessions above the 200-day average | 70.7% |
| Crossings of the 200-day average | 38 |
| Falls of 10% or more from a 20-day high | 43 |
What SOXX's data say about the rule
Over the window SOXX gained 388.35%, or 31.81% a year, on volatility of 38.08% and a daily range averaging 2.58%. It closed up on 53.92% of sessions, and up and down days both averaged 1.78%. Lag-1 autocorrelation was negative 0.09, which is a small tendency for a move to reverse the next day. That sign helps a mean reversion rule a little.
Oversold readings were followed by gains above the all-days baseline. RSI(2) printed under 10 on 133 sessions, with a median five-day forward return of 0.89% against 0.63%, with a 20-day median of 3.58% against 2.11%. RSI(14) fell below 30 on only 7 sessions, with a five-day median of 6.1% and a 20-day median of 11.58%. The edge in the RSI(2) signal is real but small in the five-day window, in line with the strategy's per-trade average of 2.61% on winners.
The fund's beta to SPY was 1.84 and to QQQ 1.49, with correlations of 0.79 and 0.87. Overnight gaps averaged 1.07% and the overnight share of return was 86.53%, with the intraday share at 13.47%. A rule that holds 4.7 days on average and buys at the open collects some overnight gaps and misses the rest while in cash. Price held above the 200-day average on 70.68% of sessions and crossed it 38 times.
The closest matches were SOXL at 1, then XLK, TECL and ROM at 0.9 and QQQM at 0.87. The least similar were SOXS at negative 1 and TECS at negative 0.9. The XLK version of the rule returned 12.11% with a drawdown of 18.15%, and the XLF version returned 9.72%. The best day, 18.84% on 2025-04-09, is the kind of move a mostly-cash rule can miss.
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 rule fits this fund
Orders go in at the open: 98% of the sleeve on an RSI(2) under 10, and the whole position out above 70. A fund that moves 1.78% on an average day produces extreme RSI(2) readings often, so the rule found 133 sessions below 10 and made 162 trades. The same rule on a calmer fund trades less.
Eight templates sit ahead of it on SOXX, and SOXX is ninth of 59 funds for this rule. The 59-fund median CAGR is 4.74% and the sector-category median is 9.72%, so SOXX at 17.01% is well above both. In the sector category, XLK returned 12.11%, XLF 9.72%, XLP 8.22%, XLY 8.2% and VOX 6.09% with a drawdown of 30.05%. The rule's best sector result is on the sector with the most volatility.
Ahead of it on SOXX stand the weekly 7% target at 30.54%, the monthly cycle at 29.17%, the golden cross at 28.24%, the dip buyer at 27.48%, trend plus trailing stop at 19.81%, the 200-day filter at 19.21% and the EMA 12/26 trend at 17.96%. All seven are slower or simpler rules that stay invested longer, and in this window the fund rose enough that exposure beat timing. The golden cross on SOXX is the clearest example, with a CAGR of 28.24% and a drawdown of 28.82%. Among those eight, the snapback has the shallowest drawdown at 23.81%, with the weekly 7% target close at 22.76%.
Limits: a single window of 5.74 years that holds a very large run in the fund, a free headline run with costs only in the extra runs, daily decisions and fills at the open. Results are hypothetical and forecast nothing.
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 SOXX?
Over 2021-01-04 to 2026-10-02, RSI(2) snapback on SOXX returned 17.0% annualized vs 31.1% for buy-and-hold: it trailed buy-and-hold by 14.1% per year, with a maximum drawdown 21.3 points shallower than holding (23.8% vs 45.1%).
How many trades did it make?
162 completed round trips over 5.7 years (324 fills), with 61% 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.
Did RSI(2) snapback beat buy-and-hold on SOXX?
Over the full window, no. Its CAGR was 17.01% against 31.11% for holding, and it finished at $24,642 against $47,348. It beat holding in 2022 only, with negative 11.4% against negative 34.5%. Its drawdown of 23.81% was far shallower than the 45.06% for holding.
How many trades did the RSI(2) snapback make on SOXX?
The test closed 162 round trips over 324 fills, with nothing open at the end. Of those, 99 won, 61%. Holds averaged 4.7 days, with a maximum of 14.
Which trades were the best and the worst?
The best was 11.66%, from 2026-06-11 at an adjusted $558.36 to 2026-06-15 at $623.44. The worst was negative 11.39%, from 2025-02-24 at $222.60 to 2025-03-06 at $197.25.
How much do trading costs change the result?
Substantially. Charging 5 basis points a fill moved the CAGR from 17.01% to 13.78%, and 10 basis points left 10.69%. The final value was $20,987 and $17,911, against $24,642 with no costs.
Does a stricter RSI entry work better on SOXX?
Buying below 5 returned 21.74% with a drawdown of 22.59% and 154 trades. Buying below 15 returned 18.87%. Both beat the published below-10 setting of 17.01% in this window, which is one test and not a rule.
Why did the strategy trail the fund in 2023 and 2026?
The fund rose steadily in both years, and the rule exits when RSI(2) recovers above 70 after a hold of a few days. It returned 36.1% against 65.3% in 2023, and 6.3% against 95% in 2026 to date.
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.