ES RSI2 Next-Day Dip Buy (B3_04)
Short-term oversold bounce: after a day when the 2-period daily RSI closed below 30, buys the next morning if the market is still weak and holds to the close.
Last validated: 2026-10-16 (baseline; weekly cadence starts after launch) · Validation status: Watch — Passes on 2 years; weakest recent form of the ES group (3-month PF 0.45).
1 full-size ES contract ($50 per point). Test window 2024-09-23 to 2026-09-23 (2 years). Slippage 4 ticks per order, $2.50 commission per contract per side ($5 round trip); $100k account. 4-tick slippage per side = NQ $20, ES $50, GC $40 before commission.
Plain-English rules
- Market
- S&P 500 E-mini (ES)
- Timeframe
- 1h — 30m also passes
- Direction
- Long only, max 1 trade/day
- Style
- Mean reversion
- Frequency
- about 46 trades a year; one entry at about 08:00 or 10:00 PT, then held to 13:00 PT
- In stacks
- —
- Setup: the prior session's daily RSI(2) closed below 30. No trend filter (an optional 200/100-day filter exists but is off; the author's offline test found it hurt).
- Shared ES dip-buy engine: long only, at most 1 trade a day, regular session only (half-days skipped). A 'setup' is judged from the prior regular session. Decision bar: the first bar closing at or after 11:00 ET (08:00 PT); if nothing traded, a second look at the first bar closing at or after 13:00 ET (10:00 PT). It buys at that bar's close only if price is still weak (below the prior close or below today's open), then holds to the 16:00 ET close.
- Exit: fixed 40-point stop, otherwise flat at the 16:00 ET close; no target. Of 90 trades in the list: 66 ended at the flatten, 22 at the stop, 2 outside-session flatten. About 76 entered at the morning bar, 14 at the afternoon bar.
Summary of the rules. The full parameter-level rules document is delivered to subscribers (documents only — no code).
Equity curve & drawdown
Year-by-year
| Period | Net | PF | Trades |
|---|---|---|---|
| Year 1 (exits to 2025-08-31) | $25,132 | 1.88 | 41 |
| Year 2 (from 2025-09-01) | $19,042 | 1.59 | 49 |
43% of the 2-year profit came in year 2. Year split computed from the clipped saved trade list (90 trades, +$44,175, PF 1.73); it differs slightly from the headline run. Year 1 = exits to 2025-08-31, year 2 = from 2025-09-01.
Recent form
Last 3 months (list): 14 trades, PF 0.45, −$5,557.50. Last 6 months: 21 trades, PF 1.07, +$1,220. 2 trades after the window added $1,365 (the same two trades as B8_04).
Robustness
Robustness checks not run. 30m also passes; 5m and 15m were not tested.
Other timeframes
| Timeframe | Net | PF | Win % | Trades | Max DD | Result |
|---|---|---|---|---|---|---|
| 30m | +$39,237.50 | 1.61 | 46.67% | 90 | $10,205 | passes |
| 5m / 15m | — | — | — | — | — | not tested |
Flags for this strategy
- Weakest recent form in the ES group: last 3 months PF 0.45 on 14 trades.
- The RSI threshold was loosened (from a stricter 10 to 30) to get more trades; its trigger family (next-day oversold) is shared with other ES dip-buys.
- Thresholds were chosen in-sample on this same window (hypothesis, not a result).
- Overlap with ES B12_01: 36% of this strategy's entry days are B12_01 days; 76% of B12_01's days are its days. Best trades were the April-2025 rebounds.
- Part of the ES one-engine family: all ES strategies enter at the same two decision bars (about 08:00 and 10:00 PT), hold to the close and trade at most once a day, so only one of them can be in a trade on any day.