Mean reversion · RSI mean reversion
IWM RSI(14) Reversion · 1H
RSI mean reversion on IWM CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−5.6%Backtest
Max drawdown−4.6%Volatility 7.0%
Sharpe-0.80Trades 7
Since go-live—market closed
Backtest on real market data
Annual return−5.6%
Max drawdown−4.6%
Sharpe-0.80
Trades7
Winning trades43%
Time in market34%
Backtest on real historical prices from Jun 18, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Buy when RSI(14) closes below 30, sell short when it closes above 70.
- Positions are closed when RSI crosses back through 50.
- Trades both directions (long and short).
- Position size targets 12% annualised volatility (risk level 3/5), capped at 3:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.0 | 1.1 | -0.6 | -2.5 | 0.4 | -1.7% |