SPY_2_Day_RSI - Ganesh
Today’s Change (Oct 22, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A simple switch: after an extreme 2-day market drop, it bets on a sharp rebound using a high-risk semiconductor fund; otherwise it stays in a more defensive consumer-staples fund.
The strategy watches SPY, a fund that tracks the S&P 500 and acts like a “market thermometer.” It checks whether the market has fallen very hard over the last 2 trading days using RSI, a score from 0 to 100 that measures how intense recent selling or buying has been.
If that score drops below 10, it buys SOXL, a very aggressive fund that magnifies moves in semiconductor stocks. If not, it holds XLP, a steadier fund made up of everyday-necessities companies like food and household products.
Out-of-sample, this strategy offers higher risk-adjusted returns vs the S&P 500: Sharpe 1.44 vs 1.24, Calmar 2.19, and ~88% annualized gains, with ~40% drawdown vs ~19%. It shifts to leveraged semis after big dips, otherwise staples.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.24 | 1.29 | 0.32 | 0.57 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 799.57% | 14.16% | -0.05% | 3.57% | 0.86 | |
| 39,633.88% | 43.45% | 2.48% | 34.32% | 1.12 |
Initial Investment
$10,000.00
Final Value
$3,973,387.82Regulatory Fees
$3,743.94
Total Slippage
$26,924.75
Invest in this strategy
OOS Start Date
Jul 23, 2023
Trading Setting
Threshold 5%
Type
Stocks
Category
Tactical asset allocation, mean reversion, sector rotation, leveraged equity, semiconductors, consumer staples, us stocks