Cross-Sectional RSI Rank
RotationBuys whichever sibling is most oversold relative to the rest of the basket.
What this strategy does
Cross-Sectional RSI Rank is a rotation strategy that trades 6-stock basket on 1-hour bars. Buys whichever sibling is most oversold relative to the rest of the basket.
How it performed
Backtested on real 6-stock basket market data from 2023-07-01 to 2026-06-30 (3.0 years), this run returned +33.0%, or +10.0% annualized. It closed 661 trades with a 66% win rate. Risk-adjusted, that is a Sharpe ratio of 0.80, a Sortino ratio of 1.13 and a maximum drawdown of 17.1%.
| Symbol | 6-stock basket |
|---|---|
| Bar size | 1-hour |
| Strategy type | Rotation |
| Backtest period | 2023-07-01 → 2026-06-30 |
| Total return | +33.0% |
| Annualized return | +10.0% |
| Sharpe ratio | 0.80 |
| Sortino ratio | 1.13 |
| Max drawdown | 17.1% |
| Win rate | 66% |
| Closed trades | 661 |
Evidence
Full backtest
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Strategy rules & configuration
Past performance does not guarantee future results. Hypothetical.