Mean reversion · RSI mean reversion
LLY RSI(14) Reversion · 1H
RSI mean reversion on LLY CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return+18.5%Backtest
Max drawdown−1.4%Volatility 6.5%
Sharpe2.64Trades 9
Since go-live—market closed
Backtest on real market data
Annual return+18.5%
Max drawdown−1.4%
Sharpe2.64
Trades9
Winning trades89%
Time in market37%
Backtest on real historical prices from Jun 11, 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 2:1 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 | 0.5 | 2.5 | 1.4 | 1.1 | -0.1 | 5.4% |