Short-term RSI-2 reversion inside an uptrend (equity + sector)
ID: S027
Slug: short-term-reversion-rsi2-v1
Run date: 2026-06-29
Outcome: FAILED
Headline metric: CVaR-95 −13.2% (tail gate ≥ −8%)
Fail reason: Fat left tail breaches the tail co-gates — CVaR-95 −13.2% (gate −8%), worst trade −80%, portfolio drawdown 71% (gate 25%) — and the raw edge is too thin to clearly beat random entry (+0.14%/trade vs the +0.15% gate; bootstrap p = 0.058). A tail-co-gate breach is a cut regardless of the mean.
What we tested
A single frozen configuration (no tuning): 2-period Wilder RSI < 10 and close > 200-day SMA, enter at the next open, exit when close > 5-day SMA or after a 10-day time stop, no price stop, equal-weight, one position per name. Universe: US common stocks + the 11 SPDR sector ETFs, a monthly point-in-time basket gated on liquidity (20-day median dollar volume ≥ $20M to enter / < $15M to leave; close ≥ $10). 30 bps round-trip friction. Baseline: a matched random-entry distribution drawn from the same month's basket with the identical exit logic. 2010 → 2026-05, 145,880 trades, 196 monthly reconstitutions.
The survivorship fix that made this honest. The local price history previously held only currently-listed survivors (0 delisted names). For a mean-reversion strategy that buys falling knives, that silently deletes the exact trades that kill it. Before running, we rebuilt the universe survivorship-free from Tiingo's supported_tickers — 15,268 tickers, ~6,900 of which stop trading mid-sample (delistings, bankruptcies, buyouts). The −57% to −80% tail trades below are names that later delisted or collapsed; a survivors-only run would never have seen them, and would have flattered every tail gate into a false pass.
What we found
| Gate (Stage 1, §7) | Required | Observed | Verdict |
|---|---|---|---|
| Magnitude (edge vs baseline) | ≥ +0.15%/trade | +0.14% (mean +0.058%, baseline −0.079%) | FAIL (marginal) |
| Direction-aware significance | bootstrap p < 0.05, right sign | p = 0.058, right sign | FAIL (marginal) |
| Tail — CVaR-95 | ≥ −8% | −13.2% | FAIL |
| Tail — worst single trade | ≥ −15% | −80.0% | FAIL |
| Tail — portfolio max drawdown | ≤ 25% (absolute) | 71.2% (trough 2020-03-18) | FAIL |
| Win rate (reported, not a gate) | — | 60.6% | — |
Holds average 3.9 days. The drawdown peaks in April 2011 and troughs in the March-2020 COVID crash — the book is long-heavy into every selloff. Clustering check (§9): entries are not strongly piled into the worst market days — the worst-SPY-decile entry share is 9.7% (a flat distribution is 10%) — so the tail is driven by idiosyncratic single-name collapses, not market-wide clustering. That is a finding in itself: the danger here isn't "buying the index dip," it's "buying the one name that doesn't come back."
Scanned tickers and the dynamic basket
Each month the strategy scans the full survivorship-free common-stock universe available that date and admits the liquid subset to the basket:
| Tickers scanned per month | 3,951 → 7,518 (grows as the universe fills in) |
| In the dynamic basket per month | 871 → 2,026 (mean 1,383) |
| Distinct names ever in the basket | 4,283 |
| Latest month (2026-05) basket | 2,026 names |
Basket size by year (mean): 2010 ≈ 926 · 2013 ≈ 1,086 · 2016 ≈ 1,288 · 2019 ≈ 1,407 · 2022 ≈ 1,616 · 2025 ≈ 1,809 · 2026 ≈ 1,995. The full per-month membership is in basket.json. The complete latest-month basket:
Latest basket — 2026 names (2026-05), the tickers that passed the liquidity gate
A, AA, AAL, AAOI, AAON, AAP, AAPL, ABBV, ABCB, ABG, ABM, ABNB, ABT, ABVX, ACA, ACAD, ACGL, ACHC, ACI, ACIW, ACLS, ACM, ACMR, ACN, ADBE, ADC, ADEA, ADI, ADM, ADMA, ADP, ADPT, ADSK, ADTN, ADUS, AEE, AEHR, AEIS, AEM, AEO, AEP, AER, AES, AESI, AEVA, AFG, AFL, AFRM, AG, AGCO, AGI, AGIO, AGNC, AGO, AGRO, AGX, AGYS, AHR, AIG, AIQ, AIR, AIT, AIZ, AJG, AKAM, AKR, AL, ALAB, ALB, ALC, ALG, ALGM, ALGN, ALGT, ALH, ALHC, ALK, ALKS, ALKT, ALL, ALLE, ALLY, ALM, ALMS, ALMU, ALNY, ALRM, ALSN, ALV, AM, AMAT, AMBA, AMCR, AMD, AME, AMG, AMGN, AMH, AMKR, AMP, AMPX, AMR, AMRX, AMRZ, AMSC, AMT, AMTM, AMX, AMZN, AN, ANAB, ANDE, ANET, ANF, ANIP, AON, AOS, AOSL, APA, APAM, APD, APG, APGE, APH, APLD, APLE, APLS, APLX, APO, APP, APPF, APTV, AR, ARCB, ARCC, ARE, ARES, ARGX, ARIS, ARM, ARMK, AROC, ARQT, ARR, ARW, ARWR, ARXS, AS, ASB, ASH, ASML, ASND, ASO, ASR, ASST, ASTS, ASX, ATAT, ATEC, ATEN, ATI, ATKR, ATMU, ATO, ATR, ATRO, AU, AUB, AUGO, AVA, AVAV, AVB, AVEX, AVGO, AVLN, AVNS, AVNT, AVT, AVY, AWI, AWK, AWR, AX, AXGN, AXIA, AXON, AXP, AXS, AXSM, AXTA, AXTI, AXTX, AYI, AZN, AZO, AZTA, AZZ, B, BA, BABA, BAC, BAH, BALL, BAM, BANC, BAP, BAX, BBIO, BBT, BBVA, BBWI, BBY, BC, BCC, BCE, BCO, BCPC, BCS, BDC, BDX, BE, BEAM, BEKE, BELFB, BEN, BEP, BEPC, BETA, BETR, BF-B, BFAM, BFH, BG, BGC, BH, BH-A, BHF, BHP, BIDU, BIIB, BILI, BILL, BIO, BIP, BIPC, BIRK, BITI, BJ, BKD, BKE, BKH, BKNG, BKR, BKSY, BKU, BKV, BL, BLBD, BLD, BLDR, BLK, BLKB, BLLN, BLSH, BLTE, BMA, BMI, BMNR, BMNZ, BMO, BMRN, BMY, BN, BNAI, BNL, BNS, BNTX, BNY, BOH, BOKF, BOOT, BOX, BP, BPOP, BR, BRBR, BRC, BRK-A, BRK-B, BRKR, BRO, BROS, BRX, BRZE, BSX, BSY, BTDR, BTI, BTSG, BTU, BUD, BULZ, BURL, BVN, BW, BWA, BWIN, BWXT, BX, BXMT, BXP, BXSL, BYD, BZ, C, CACC, CACI, CAE, CAG, CAH, CAI, CAKE, CALM, CALX, CALY, CAMT, CAPR, CAR, CARG, CARR, CART, CASH, CASY, CAT, CATY, CAVA, CB, CBOE, CBRE, CBRL, CBSH, CBT, CBZ, CC, CCEP, CCI, CCJ, CCK, CCL, CCOI, CDE, CDNL, CDNS, CDP, CDW, CE, CECO, CEG, CELC, CELH, CENX, CF, CFG, CFR, CG, CGAU, CGNX, CGON, CHD, CHDN, CHE, CHEF, CHH, CHKP, CHRD, CHRW, CHTR, CHWY, CHYM, CI, CIB, CIEN, CIFR, CIGI, CINF, CL, CLBT, CLDX, CLF, CLH, CLMT, CLS, CLSK, CLX, CM, CMBT, CMC, CMCSA, CME, CMG, CMI, CMS, CNA, CNC, CNH, CNI, CNK, CNM, CNO, CNP, CNQ, CNR, CNS, CNTA, CNX, CNXC, COCO, COF, COGT, COHR, COHU, COHX, COIN, COKE, COLB, COLD, COLM, COO, COP, COR, CORT, CORZ, COST, CP, CPA, CPAY, CPB, CPNG, CPRI, CPRT, CPRX, CPT, CR, CRAI, CRBG, CRC, CRCA, CRCL, CRDO, CRGY, CRH, CRI, CRK, CRL, CRM, CRML, CRNX, CROX, CRS, CRSP, CRUS, CRWD, CRWV, CSCO, CSGP, CSGS, CSIQ, CSL, CSTM, CSW, CSX, CTAS, CTRA, CTRE, CTRI, CTSH, CTVA, CUBE, CUBI, CUK, CURB, CUZ, CVBF, CVCO, CVE, CVI, CVLT, CVNA, CVS, CVSA, CVX, CW, CWAN, CWEN, CWK, CWST, CWT, CX, CXT, CYTK, CZR, D, DAL, DAN, DAR, DASH, DAVE, DB, DBA, DBC, DBD, DBRG, DBX, DCI, DCO, DD, DDOG, DDS, DE, DECK, DEI, DELL, DEO, DFTX, DG, DGX, DHI, DHR, DHT, DIA, DINO, DIOD, DIS, DJCO, DK, DKNG, DKS, DLB, DLO, DLR, DLTR, DNLI, DNOW, DNTH, DOC, DOCN, DOCS, DOCU, DORM, DOV, DOW, DOX, DPZ, DRAM, DRI, DRS, DSGX, DT, DTE, DTM, DUK, DUOL, DV, DVA, DVN, DX, DXC, DXCM, DXPE, DXYZ, DY, DYN, E, EA, EAT, EBAY, EBC, EC, ECG, ECL, ECO, ECPG, ECVT, ED, EDR, EDU, EEFT, EEM, EFA, EFC, EFOR, EFX, EG, EGO, EGP, EHC, EIX, EL, ELAN, ELF, ELS, ELV, ELVN, EMB, EMBJ, EME, EMN, EMR, ENB, ENOV, ENPH, ENR, ENS, ENSG, ENTG, ENVA, EOG, EPAM, EPD, EPR, EPRT, EQH, EQIX, EQNR, EQPT, EQR, EQT, EQX, ERAS, ERIC, ERIE, ERO, ES, ESAB, ESE, ESI, ESLT, ESNT, ESS, ESTA, ESTC, ET, ETH, ETHE, ETN, ETOR, ETR, ETSY, EVR, EVRG, EW, EWBC, EWG, EWJ, EWT, EWTX, EWU, EWY, EWZ, EXC, EXE, EXEL, EXLS, EXP, EXPD, EXPE, EXPO, EXR, EXTR, EYE, EZPW, F, FAF, FANG, FAST, FBIN, FBP, FCEL, FCFS, FCN, FCNCA, FCPT, FCX, FDS, FDX, FE, FELE, FER, FERG, FFBC, FFIN, FFIV, FHB, FHI, FHN, FIBK, FICO, FIG, FIGR, FIGS, FIS, FISV, FITB, FIVE, FIVN, FIX, FLEX, FLG, FLNC, FLR, FLS, FLUT, FLY, FMC, FMX, FN, FNB, FND, FNF, FNGU, FNV, FORM, FOUR, FOX, FOXA, FPS, FR, FRO, FROG, FRPT, FRT, FSK, FSLR, FSLY, FSS, FSV, FTAI, FTDR, FTI, FTNT, FTS, FTV, FUL, FULT, FUN, FUTU, FWONK, FWRG, FXE, FXI, G, GAP, GATX, GBCI, GBDC, GBX, GCGRU, GCT, GD, GDDY, GDS, GDXD, GDXU, GE, GEHC, GEN, GEO, GEV, GFF, GFI, GFL, GFS, GGAL, GGG, GH, GHC, GIB, GIL, GILD, GIS, GKOS, GL, GLBE, GLD, GLNG, GLOB, GLPI, GLW, GLXY, GM, GMAB, GME, GMED, GNRC, GNTX, GOLD, GOLF, GOOG, GOOGL, GPC, GPCR, GPGI, GPI, GPN, GPOR, GPRE, GRAL, GRMN, GS, GSAT, GSHD, GSK, GTES, GTLB, GTLS, GTX, GVA, GWRE, GWW, GXO, H, HAE, HAL, HALO, HAPN, HAS, HASI, HAYW, HBAN, HBM, HCA, HCC, HCI, HD, HDB, HE, HEI, HEI-A, HESM, HGV, HHH, HIG, HII, HIMS, HIMX, HIW, HL, HLF, HLI, HLIO, HLNE, HLT, HMC, HMY, HNGE, HNI, HODL, HOG, HOMB, HON, HOOD, HP, HPE, HPQ, HQY, HR, HRB, HRI, HRL, HRMY, HROW, HSAI, HSBC, HSIC, HST, HSY, HTFL, HTGC, HTHT, HTO, HUBB, HUBG, HUBS, HUM, HUN, HURN, HUT, HWC, HWKN, HWM, HXL, HYG, HYMC, IAC, IACQU, IAG, IBB, IBKR, IBM, IBN, IBOC, IBP, ICE, ICFI, ICHR, ICLR, ICUI, IDA, IDCC, IDXX, IDYA, IE, IEF, IESC, IEX, IFF, IHG, ILMN, IMAX, IMNM, IMO, IMVT, INBX, INCY, INDA, INDB, INDV, INFA, INFQ, INFY, ING, INGM, INGR, INOD, INSM, INSP, INSW, INTA, INTC, INTU, INVH, IONQ, IONS, IOT, IP, IPAR, IPGP, IQMM, IQV, IR, IRDM, IRE, IREN, IRM, IRON, IRT, IRTC, ISRG, IT, ITB, ITGR, ITRI, ITT, ITW, IVZ, IWM, J, JAN, JAZZ, JBHT, JBL, JBS, JBTM, JCI, JD, JEF, JHG, JHX, JJSF, JKHY, JLL, JMTG, JNJ, JPM, JXN, KAI, KALU, KALV, KB, KBE, KBH, KBR, KD, KDP, KEX, KEY, KEYS, KFY, KGC, KGS, KHC, KIM, KKR, KLAC, KLAR, KLIC, KLRA, KMB, KMI, KMPR, KMT, KMX, KN, KNF, KNSA, KNSL, KNTK, KNX, KO, KOD, KR, KRC, KRE, KRG, KRMN, KRUS, KRYS, KSPI, KSS, KT, KTB, KTOS, KVUE, KVYO, KWR, KYMR, L, LAD, LAMR, LAR, LASR, LAUR, LAZ, LBRDK, LBRT, LBTYA, LC, LCII, LDOS, LEA, LECO, LEG, LEGN, LEN, LEU, LEVI, LFUS, LGIH, LGN, LGND, LH, LHX, LI, LIF, LII, LIN, LINE, LION, LITE, LITX, LIVN, LKQ, LLY, LLYVK, LMAT, LMND, LMT, LNC, LNG, LNT, LNTH, LOAR, LOGI, LOPE, LOW, LPLA, LPTH, LPX, LQ, LQD, LQDA, LRCX, LRN, LSCC, LSTR, LTH, LTM, LULU, LUNR, LUV, LVS, LW, LWLG, LXP, LXU, LYB, LYFT, LYV, M, MA, MAA, MAC, MAIN, MAIR, MAN, MANE, MANH, MAR, MARA, MAS, MASI, MAT, MATX, MAZE, MC, MCAHU, MCD, MCHI, MCHP, MCK, MCO, MCY, MDA, MDB, MDGL, MDLN, MDLZ, MDT, MDU, MDY, MEDP, MELI, MEOH, MET, META, METC, MFC, MGA, MGM, MGNI, MGRC, MGY, MHK, MHO, MIAX, MICC, MIDD, MIR, MIRM, MKC, MKL, MKSI, MKTX, MLI, MLM, MLYS, MMM, MMS, MMSI, MMYT, MNDY, MNST, MO, MOD, MOG-A, MOH, MORN, MOS, MP, MPC, MPLX, MPWR, MRCY, MRK, MRNA, MRP, MRSH, MRVL, MRX, MS, MSA, MSCI, MSFT, MSGE, MSGS, MSI, MSM, MSTR, MT, MTB, MTCH, MTD, MTDR, MTG, MTH, MTN, MTRN, MTSI, MTZ, MU, MUFG, MUR, MUSA, MUX, MWA, MWH, MXL, MYRG, MZTI, NAMS, NATL, NAVN, NBIS, NBIX, NBR, NCLH, NCNO, NDAQ, NDSN, NE, NEE, NEM, NESR, NET, NEU, NFG, NFLX, NGG, NGVT, NHI, NI, NIC, NICE, NJR, NKE, NKTR, NLY, NMRK, NN, NNE, NNI, NNN, NOC, NOG, NOK, NOV, NOVT, NOW, NPO, NRG, NSA, NSC, NSIT, NSP, NTAP, NTES, NTLA, NTNX, NTR, NTRA, NTRS, NTSK, NTST, NU, NUE, NUTX, NUVL, NVDA, NVDQ, NVMI, NVO, NVR, NVRI, NVS, NVST, NVT, NVTS, NWE, NWG, NWS, NWSA, NXE, NXPI, NXST, NXT, NYT, O, OBDC, OC, ODD, ODFL, OGE, OGN, OGS, OHI, OII, OKE, OKLO, OKTA, OLED, OLLI, OLN, OMC, OMF, ON, ONB, ONC, ONDS, ONON, ONTO, OPCH, OPLN, OR, ORA, ORCL, ORI, ORKA, ORLA, ORLY, OS, OSCR, OSIS, OSK, OSW, OTEX, OTF, OTIS, OTTR, OUST, OUT, OVV, OXY, OZK, P, PAA, PAAS, PAC, PACS, PAG, PAGP, PALL, PANW, PAR, PARR, PATH, PATK, PAYC, PAYP, PAYX, PB, PBA, PBF, PBH, PBI, PBR, PBR-A, PCAR, PCG, PCOR, PCTY, PCVX, PDD, PEB, PECO, PEG, PEGA, PEN, PENG, PENN, PEP, PFE, PFG, PFGC, PFS, PFSI, PG, PGNY, PGR, PGY, PH, PHG, PHIN, PHM, PI, PII, PINS, PIPR, PJT, PK, PKG, PL, PLAB, PLD, PLMR, PLNT, PLPC, PLTR, PLXS, PM, PNC, PNFP, PNR, PNW, PODD, POOL, POR, POST, POWI, POWL, PPC, PPG, PPL, PPLI, PPLT, PPTA, PR, PRA, PRAX, PRCT, PRDO, PRGO, PRGS, PRI, PRIM, PRKS, PRM, PRMB, PRU, PS, PSA, PSIX, PSKY, PSMT, PSN, PSUS, PSX, PTC, PTCT, PTEN, PTGX, PUK, PULS, PUMP, PVH, PVLA, PWR, PYPL, PZZA, Q, QBTS, QCOM, QDEL, QGEN, QLTY, QLYS, QQQ, QRVO, QSR, QTWO, QURE, QXO, R, RACE, RAL, RARE, RBA, RBC, RBLX, RBRK, RCAT, RCI, RCL, RCUS, RDDT, RDN, RDNT, RDY, REAL, REG, REGN, RELX, RELY, REXR, REYN, REZI, RF, RGA, RGEN, RGLD, RGTI, RH, RHI, RHLD, RHP, RIO, RIOT, RIVN, RJF, RKLB, RKT, RL, RLAY, RLI, RMBS, RMD, RNG, RNR, RNST, ROAD, ROG, ROIV, ROK, ROKU, ROL, ROP, ROST, RPM, RPRX, RRC, RRR, RRX, RS, RSG, RSI, RTO, RTX, RUN, RUSHA, RVLV, RVMD, RVTY, RXO, RY, RYAAY, RYAN, RYN, RYTM, S, SA, SAIA, SAIC, SAIL, SAM, SAN, SANM, SAP, SARO, SATS, SBAC, SBCF, SBH, SBLK, SBRA, SBS, SBSW, SBUX, SCCO, SCHL, SCHW, SCI, SDRL, SE, SEB, SEDG, SEI, SEIC, SEM, SEZL, SF, SFBS, SFD, SFM, SFNC, SGHC, SGI, SGML, SHAK, SHC, SHEL, SHOO, SHOP, SHW, SIG, SIGI, SII, SIMO, SIRI, SITE, SITM, SJM, SKE, SKM, SKT, SKWD, SKY, SKYT, SKYW, SLAB, SLB, SLDE, SLF, SLG, SLGN, SLM, SLNO, SLV, SM, SMA, SMCI, SMFG, SMG, SMH, SMMT, SMPL, SMR, SMTC, SMU, SN, SNA, SNDA, SNDK, SNDQ, SNDR, SNDU, SNDX, SNEX, SNN, SNOW, SNPS, SNX, SNXX, SNY, SO, SOBO, SOC, SOFI, SOLS, SOLV, SON, SONY, SOXX, SPB, SPG, SPGI, SPHR, SPIR, SPOT, SPSC, SPXC, SPY, SQM, SR, SRAD, SRE, SRPT, SRRK, SSB, SSD, SSL, SSNC, SSRM, ST, STAA, STAG, STE, STEP, STLD, STM, STN, STNE, STNG, STOK, STRA, STRC, STRD, STRL, STT, STWD, STX, STZ, SU, SUI, SUN, SUNB, SUNC, SUPN, SVM, SW, SWK, SWKS, SWMR, SWX, SXI, SXT, SYF, SYK, SYM, SYNA, SYRE, SYY, T, TAK, TAL, TALO, TAP, TARS, TBBK, TCBI, TCOM, TD, TDC, TDG, TDS, TDW, TDY, TEAM, TECH, TECK, TEL, TEM, TENB, TER, TERN, TEVA, TEX, TFC, TFII, TFPM, TFX, TGT, TGTX, THC, THG, THO, THR, TIGO, TJX, TKO, TKR, TLN, TLT, TM, TMDX, TMHC, TMO, TMUS, TNC, TNDM, TNGX, TNK, TNL, TOL, TOST, TPB, TPC, TPG, TPH, TPL, TPR, TREX, TRGP, TRI, TRIN, TRIP, TRMB, TRMD, TRN, TRNO, TROW, TROX, TRP, TRU, TRV, TS, TSCO, TSEM, TSL, TSLA, TSM, TSN, TSSI, TT, TTAN, TTC, TTD, TTE, TTEK, TTMI, TTWO, TU, TVTX, TW, TWLO, TWO, TWST, TXG, TXN, TXNM, TXRH, TXT, TYL, TYRA, U, UAL, UAMY, UBER, UBS, UBSI, UCB, UCTT, UDR, UE, UEC, UFPI, UFPT, UGI, UHS, UI, UL, ULS, ULTA, UMAC, UMBF, UMC, UNF, UNFI, UNG, UNH, UNIT, UNM, UNP, UPS, UPST, UPWK, URBN, URI, USAR, USB, USFD, USO, UTHR, UTI, UUP, UUUU, V, VAC, VAL, VALE, VC, VCEL, VCTR, VCYT, VECO, VEEV, VELO, VERA, VET, VFC, VG, VGNT, VIAV, VICI, VICR, VIK, VIPS, VIRT, VISN, VIST, VITL, VKTX, VLO, VLTO, VLY, VMC, VMI, VNO, VNOM, VNT, VOD, VOYA, VOYG, VRDN, VRE, VRNS, VRRM, VRSK, VRSN, VRT, VRTX, VSAT, VSCO, VSEC, VSH, VSNT, VST, VSTS, VSXY, VTI, VTR, VTRS, VVV, VVX, VXX, VZ, W, WAB, WAFD, WAL, WAT, WAY, WBD, WBI, WBS, WCC, WCN, WDAY, WDC, WDCX, WDFC, WDS, WEC, WELL, WERN, WES, WEX, WFC, WFRD, WGO, WGS, WH, WHD, WHR, WINA, WING, WIX, WK, WLDN, WLFC, WLK, WM, WMB, WMG, WMS, WMT, WOLF, WPC, WPM, WR, WRB, WRBY, WRLD, WSBC, WSC, WSFS, WSM, WSO, WST, WT, WTFC, WTM, WTRG, WTS, WTTR, WTW, WULF, WWD, WY, WYNN, XBI, XE, XEL, XENE, XHB, XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLRE, XLU, XLV, XLY, XME, XMTR, XNDU, XOM, XOP, XP, XPEV, XPO, XPRO, XRAY, XYL, XYZ, YELP, YETI, YOU, YPF, YSS, YUM, YUMC, Z, ZBH, ZBRA, ZD, ZETA, ZG, ZIM, ZION, ZM, ZS, ZTO, ZTS, ZWS
Why this matters
This is the cut working as designed. A win-rate or average-return pitch would sell this strategy (60% wins, positive mean). The tail-aware gate refuses it — because the rare −80% trades and the 71% drawdown are the real risk, and they only become visible with survivorship-free data and an honest friction. Publishing a famous, widely-sold edge failing these gates is the point: the discipline is the product.
What this doesn't tell us yet
- It does not say RSI-2 reversion is worthless — it says this exact configuration, equal-weight and uncapped, does not clear the tail and the edge is thin net of costs.
- The magnitude/significance failures are marginal (the edge is real, just below the bar); the tail failures are not. The binding reason is the tail.
- The portfolio drawdown is computed on the spec's fully-invested equal-weight book with no concurrency cap — a deliberately conservative definition.
What happens next
No Stage 2. Per the swing-pillar rules, a changed base trade is a new S-NNN, not an edit to this one. The natural follow-ups, each a separate pre-registration, are flagged by this result:
- A concurrency / exposure cap or volatility-target sizing (the 71% DD is an exposure problem, not just a signal problem).
- A second filter to dodge single-name collapses (the tail is idiosyncratic, not market-clustered) — e.g. an earnings/event blackout or a deterioration screen, pre-specified, never fitted to these losers.
- A controlled price-stop A/B designed against this realised left tail.
S027 is recorded failed; family B1's cumulative trial count stays at 1.
What we tested — the recipe
Slice & dice
For the specialist — methodology details (click to expand)
- Net edge: mean +0.058%/trade, median +0.55%, win rate 60.6%, n = 145,880, avg hold 3.9 trading days. Matched random-entry baseline mean −0.079%; edge +0.137%/trade; bootstrap p = 0.058.
- Tail: CVaR-95 −13.2%; worst trade −80.0%; 0.57% of trades (829) worse than −20%. Worst trades: SRPT −65% (2016 FDA rejection), APLS −60% (2023 trial), PACW −57% (2023 bank crisis, later delisted), DNDN −73% (Dendreon bankruptcy, delisted 2014), ATHE −80%, WVE −57%.
- Portfolio: equal-weight concurrent, daily-marked; max DD 71.2% (peak 2011-04-29 → trough 2020-03-18); annualised vol 17%; mean concurrency 181 positions (max 911).
- Universe: survivorship-free (15,268 tickers, ~6,900 stop mid-sample); monthly PIT with hysteresis; common-stock filter drops preferreds/warrants/units; ETFs always eligible.
- Look-ahead controls: indicators through close(T), entry at open(T+1); split/dividend-adjusted prices for both signal and returns (an early bug booking splits as −90% losses was caught and fixed before this result); trailing 20-day ADV shifted one day.
- Artifacts:
trades.parquet,baseline.parquet,chart_data.json(per-trade return distribution),clustering.json(entry-by-SPY-decile),basket.json(per-month scanned + basket membership). Runner:lab/quickkill/short-term-reversion-rsi2-v1/run.py.