ES1hMean reversionTier AWatch

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).

$44,765
Net profit
-$10,630
Max drawdown (TradingView)
4.21×
Net profit ÷ max DD
1.735
Profit factor
47.83%
Win rate
92
Trades (2 years)
$486.58
Avg trade (net ÷ trades, computed)
~46 trades a year
Frequency

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.

What it does

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).

Evidence

Equity curve & drawdown

Year-by-year

PeriodNetPFTrades
Year 1 (exits to 2025-08-31)$25,1321.8841
Year 2 (from 2025-09-01)$19,0421.5949

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

TimeframeNetPFWin %TradesMax DDResult
30m+$39,237.501.6146.67%90$10,205passes
5m / 15m—————not tested
Caveats

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.
Read this first. Backtest only — no live or forward results. One 2-year window (2024-09-23 to 2026-09-23), a strongly rising market, and the strategies were selected on the same data (selection bias). Profit skews to year 2. Fills assume entry at bar close. No robustness checks (neighbor timeframes, parameter nudges) have been completed yet. Tier B strategies are flagged fragile. Expect live results to be worse. All limitations →
Risk disclosure. Futures trading involves substantial risk of loss and is not suitable for every investor. All strategy results shown are hypothetical / backtested and have inherent limitations: they do not reflect actual trading and are designed with the benefit of hindsight. There are no live or forward results. Past performance does not guarantee future results. No guarantee of profit is made or implied. Content is for education only and is not financial, investment or trading advice. Stacked Edge is not a registered investment advisor or commodity trading advisor. You are solely responsible for your own trading decisions.