Ewan Li

Systematic equity

v2b

RSI(2) pullback with an SPY trend core

paperaccountSIM-V2Bbookv2bstartedSep 28, 2026

What it is

The production strategy. It buys S&P 500 stocks in a long-term uptrend after a sharp two-day pullback, and holds SPY while SPY is above its 200-day average. Simulated at the official close on a local paper ledger.

The rule

  • Universe: S&P 500 members closing at $5 or more, with a 63-session median dollar volume of at least $10M and 252 sessions of history.
  • Pullback sleeve (43.7%): buy a stock whose RSI(2) is below 10 while its close is above its 200-session average, lowest RSI(2) first when more trigger than there are free slots; up to 20 slots of 5% of the sleeve. Sell at a close above the 5-session average, after 10 sessions, or when the stock leaves the universe.
  • Core sleeve (56.3%): hold SPY while it closes above its 200-session average. The core is re-sized only when that flips or when it drifts more than 10% from its target.
  • Halt: the pullback sleeve makes no new entries once the book's value has fallen 25% from its peak, which is permanent, or, once it has a year of history, while its trailing-year Sharpe is below −0.5.
  • Orders: decided at about 15:40 ET on that day's 5-minute snapshot, only between 15:25 and 15:50 and never on a session that closes early, and filled in the simulated ledger at the official close, at 5 bp a side.
NameValueUnitWhere it livesPinned by
universe.min_price5USD, as-traded closesyseq/strategy/config.py:13tests/test_frozen_params.py:15
universe.min_adv10000000USD a day, 63-session mediansyseq/strategy/config.py:14tests/test_frozen_params.py:15
universe.adv_window63sessionssyseq/strategy/config.py:15tests/test_frozen_params.py:15
universe.min_history252sessionssyseq/strategy/config.py:16tests/test_frozen_params.py:15
pullback.trend_sma200sessionssyseq/strategy/config.py:21tests/test_frozen_params.py:15
pullback.rsi_period2sessionssyseq/strategy/config.py:22tests/test_frozen_params.py:15
pullback.rsi_entry_below10—syseq/strategy/config.py:23tests/test_frozen_params.py:15
pullback.exit_sma5sessionssyseq/strategy/config.py:24tests/test_frozen_params.py:15
pullback.max_hold_sessions10sessionssyseq/strategy/config.py:25tests/test_frozen_params.py:15
pullback.slots20—syseq/strategy/config.py:26tests/test_frozen_params.py:15
pullback.slot_weight0.05of the pullback sleevesyseq/strategy/config.py:27tests/test_frozen_params.py:15
core.symbolSPY—syseq/strategy/config.py:32tests/test_frozen_params.py:15
core.trend_sma200sessionssyseq/strategy/config.py:33tests/test_frozen_params.py:15
pullback_capital0.437of the booksyseq/strategy/config.py:39tests/test_frozen_params.py:15
core_capital0.563of the booksyseq/strategy/config.py:40tests/test_frozen_params.py:15
CORE_BAND0.1of the core's targetsyseq/strategy/orders.py:13—
HALT_DRAWDOWN−0.25the book's fall from its peaksyseq/execution/paper.py:22—
HALT_SHARPE_12M−0.5trailing-year Sharpesyseq/execution/paper.py:23—

Its read

What is read
the forward record, with the v2b-TOM shadow read beside it
Read on
Sep 30, 2027
Trades needed
—
Trades logged
—
Hard stop
—
Shipped on
a planning Sharpe of 0.45 to 0.50
Deployed commit
c7b1582

Record so far

Closed trades
53
Won
35 of 53
P&L
+$831.85
Net P&L
—
Closed without a P&L
—
Closed without a net P&L
53 trades
Open
21
The book's value
Its NAV at each session's close as its ledger keeps it, before the interest and dividends the ledger credits it; the line is the $100,000 it was given.
$98,000$99,000$100,000$101,000$102,000Sep 28Oct 14Sep 28, 2026: $99,967.75Sep 29, 2026: $99,752.66Sep 30, 2026: $99,404.14Oct 1, 2026: $99,728.93Oct 2, 2026: $100,391.18Oct 5, 2026: $100,801.26Oct 6, 2026: $101,141.01Oct 7, 2026: $100,937.51Oct 8, 2026: $100,947.57Oct 9, 2026: $101,338.62Oct 12, 2026: $100,730.51Oct 13, 2026: $100,627.70Oct 14, 2026: $98,746.14
The book's value — data table
v2b: its book's NAV at each session's close
SessionNAV
Sep 28, 2026$99,967.75
Sep 29, 2026$99,752.66
Sep 30, 2026$99,404.14
Oct 1, 2026$99,728.93
Oct 2, 2026$100,391.18
Oct 5, 2026$100,801.26
Oct 6, 2026$101,141.01
Oct 7, 2026$100,937.51
Oct 8, 2026$100,947.57
Oct 9, 2026$101,338.62
Oct 12, 2026$100,730.51
Oct 13, 2026$100,627.70
Oct 14, 2026$98,746.14
Closed trades
Each closed trade's P&L as the record keeps it, by the day it closed; its cost model says what that includes.
−$150−$100−$50$0+$50+$100+$150AMZN, closed Sep 30, 2026: +$23.00NOW, closed Sep 30, 2026: +$39.89PSX, closed Sep 30, 2026: +$13.06CB, closed Oct 1, 2026: −$1.41CRM, closed Oct 1, 2026: +$83.71DXCM, closed Oct 1, 2026: −$12.33MCK, closed Oct 1, 2026: +$84.16VRSN, closed Oct 1, 2026: +$32.81ADP, closed Oct 1, 2026: +$46.14TRGP, closed Oct 1, 2026: +$70.88ADM, closed Oct 2, 2026: +$0.80GL, closed Oct 2, 2026: −$14.21IBKR, closed Oct 2, 2026: +$29.40IRM, closed Oct 2, 2026: +$43.38DE, closed Oct 2, 2026: +$58.19ELV, closed Oct 5, 2026: −$1.39HOOD, closed Oct 5, 2026: −$43.33MS, closed Oct 5, 2026: −$39.00NEM, closed Oct 5, 2026: −$5.18EG, closed Oct 5, 2026: +$7.28KO, closed Oct 5, 2026: +$9.17STT, closed Oct 5, 2026: +$19.94DXCM, closed Oct 5, 2026: +$37.41GPN, closed Oct 5, 2026: +$101.49IFF, closed Oct 6, 2026: +$19.71REGN, closed Oct 7, 2026: −$21.00JNJ, closed Oct 7, 2026: +$18.33GILD, closed Oct 7, 2026: +$32.20MRK, closed Oct 7, 2026: +$47.68PFE, closed Oct 7, 2026: +$45.50VRTX, closed Oct 7, 2026: +$7.55VZ, closed Oct 7, 2026: −$4.94BNY, closed Oct 8, 2026: −$68.63KHC, closed Oct 8, 2026: −$100.39SCHW, closed Oct 8, 2026: −$32.53BBY, closed Oct 8, 2026: +$15.74SJM, closed Oct 8, 2026: +$61.21BMY, closed Oct 8, 2026: +$27.39TGT, closed Oct 8, 2026: +$23.70DGX, closed Oct 8, 2026: +$32.71EG, closed Oct 8, 2026: +$63.68DOC, closed Oct 9, 2026: −$72.08SOLV, closed Oct 9, 2026: +$34.16BIIB, closed Oct 9, 2026: +$71.67VTRS, closed Oct 9, 2026: +$24.28ROST, closed Oct 12, 2026: −$5.79WAB, closed Oct 12, 2026: +$33.79SW, closed Oct 13, 2026: −$56.65QCOM, closed Oct 13, 2026: −$4.18DE, closed Oct 13, 2026: −$8.72GRMN, closed Oct 13, 2026: +$62.65HOOD, closed Oct 13, 2026: +$69.09INCY, closed Oct 14, 2026: −$68.14Sep 30Oct 14
Closed trades — data table
v2b: each closed trade's P&L and net P&L as the record keeps them
ClosedSymbolP&LNet P&LReturn
Sep 30, 2026AMZN+$23.00—+1.12%
Sep 30, 2026NOW+$39.89—+1.85%
Sep 30, 2026PSX+$13.06—+0.59%
Oct 1, 2026CB−$1.41—−0.12%
Oct 1, 2026CRM+$83.71—+4.04%
Oct 1, 2026DXCM−$12.33—−0.62%
Oct 1, 2026MCK+$84.16—+4.87%
Oct 1, 2026VRSN+$32.81—+1.61%
Oct 1, 2026ADP+$46.14—+2.19%
Oct 1, 2026TRGP+$70.88—+3.23%
Oct 2, 2026ADM+$0.80—−0.01%
Oct 2, 2026GL−$14.21—−0.71%
Oct 2, 2026IBKR+$29.40—+1.30%
Oct 2, 2026IRM+$43.38—+2.01%
Oct 2, 2026DE+$58.19—+2.86%
Oct 5, 2026ELV−$1.39—−0.12%
Oct 5, 2026HOOD−$43.33—−2.12%
Oct 5, 2026MS−$39.00—−1.88%
Oct 5, 2026NEM−$5.18—−0.30%
Oct 5, 2026EG+$7.28—+0.35%
Oct 5, 2026KO+$9.17—+0.38%
Oct 5, 2026STT+$19.94—+0.90%
Oct 5, 2026DXCM+$37.41—+1.70%
Oct 5, 2026GPN+$101.49—+4.75%
Oct 6, 2026IFF+$19.71—+0.86%
Oct 7, 2026REGN−$21.00—−1.45%
Oct 7, 2026JNJ+$18.33—+0.85%
Oct 7, 2026GILD+$32.20—+1.43%
Oct 7, 2026MRK+$47.68—+2.23%
Oct 7, 2026PFE+$45.50—+2.05%
Oct 7, 2026VRTX+$7.55—+0.33%
Oct 7, 2026VZ−$4.94—−0.27%
Oct 8, 2026BNY−$68.63—−3.35%
Oct 8, 2026KHC−$100.39—−4.68%
Oct 8, 2026SCHW−$32.53—−1.55%
Oct 8, 2026BBY+$15.74—+0.70%
Oct 8, 2026SJM+$61.21—+2.88%
Oct 8, 2026BMY+$27.39—+1.21%
Oct 8, 2026TGT+$23.70—+1.06%
Oct 8, 2026DGX+$32.71—+1.55%
Oct 8, 2026EG+$63.68—+2.88%
Oct 9, 2026DOC−$72.08—−3.39%
Oct 9, 2026SOLV+$34.16—+1.54%
Oct 9, 2026BIIB+$71.67—+3.23%
Oct 9, 2026VTRS+$24.28—+1.05%
Oct 12, 2026ROST−$5.79—−0.33%
Oct 12, 2026WAB+$33.79—+1.67%
Oct 13, 2026SW−$56.65—−2.66%
Oct 13, 2026QCOM−$4.18—−0.25%
Oct 13, 2026DE−$8.72—−0.50%
Oct 13, 2026GRMN+$62.65—+2.87%
Oct 13, 2026HOOD+$69.09—+3.18%
Oct 14, 2026INCY−$68.14—−3.34%
Record Local ledger
Cost model

5 bp a side, filled at the official close; the book's value is after every fee. Cash earns the T-bill rate; dividends are not credited.

Trades

74 trades

OpenedClosedAccountSymbolSideSizeEntryExitP&LNet P&LReturnHeldExit byStatusRecord
Oct 14, 2026—SIM-V2BSTTlong13166.889999——————openLocal ledger (1)
Oct 13, 2026—SIM-V2BCDNSlong6334.200012——————openLocal ledger (1)
Oct 13, 2026—SIM-V2BMUlong2953.190002——————openLocal ledger (1)
Oct 13, 2026—SIM-V2BSMCIlong5639.07——————openLocal ledger (1)
Oct 13, 2026—SIM-V2BSTXlong2747.200012——————openLocal ledger (1)
Oct 13, 2026—SIM-V2BVRTXlong4485.220001——————openLocal ledger (1)
Oct 12, 2026—SIM-V2BKLAClong11190.119995——————openLocal ledger (1)
Oct 12, 2026—SIM-V2BSNDKlong11,487.329956——————openLocal ledger (1)
Oct 9, 2026—SIM-V2BAMDlong3608.099976——————openLocal ledger (1)
Oct 9, 2026—SIM-V2BBENlong6832.00——————openLocal ledger (1)
Oct 9, 2026—SIM-V2BIVZlong7429.51——————openLocal ledger (1)
Oct 9, 2026—SIM-V2BSWKSlong2876.349998——————openLocal ledger (1)
Oct 8, 2026—SIM-V2BAMATlong4509.570007——————openLocal ledger (1)
Oct 8, 2026Oct 9, 2026SIM-V2BBIIBlong10218.429993225.710007+$71.67—+3.23%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026—SIM-V2BCOHRlong7302.350006——————openLocal ledger (1)
Oct 8, 2026—SIM-V2BDALlong2782.139999——————openLocal ledger (1)
Oct 8, 2026Oct 13, 2026SIM-V2BDElong3652.580017650.00−$8.72—−0.50%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026Oct 13, 2026SIM-V2BGRMNlong8268.440002276.410004+$62.65—+2.87%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026Oct 13, 2026SIM-V2BHOODlong20107.010002110.519997+$69.09—+3.18%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026—SIM-V2BLRCXlong6320.589996——————openLocal ledger (1)
Oct 8, 2026—SIM-V2BROKlong5434.140015——————openLocal ledger (1)
Oct 8, 2026—SIM-V2BTERlong5398.720001——————openLocal ledger (1)
Oct 8, 2026Oct 9, 2026SIM-V2BVTRSlong12717.44000117.639999+$24.28—+1.05%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026Oct 12, 2026SIM-V2BWABlong7280.799988285.769989+$33.79—+1.67%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 8, 2026SIM-V2BDGXlong9227.059998230.809998+$32.71—+1.55%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 8, 2026SIM-V2BEGlong6362.299988373.100006+$63.68—+2.88%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 13, 2026SIM-V2BQCOMlong12177.119995176.860001−$4.18—−0.25%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 9, 2026SIM-V2BSOLVlong2585.87999787.290001+$34.16—+1.54%—close>sma_exitclosedLocal ledger (1)
Oct 6, 2026—SIM-V2BINTClong19112.50——————openLocal ledger (1)
Oct 5, 2026Oct 8, 2026SIM-V2BBMYlong3758.81000159.580002+$27.39—+1.21%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2BGILDlong15144.630005146.850006+$32.20—+1.43%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2BMRKlong15139.539993142.789993+$47.68—+2.23%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2BPFElong7927.4128.00+$45.50—+2.05%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026—SIM-V2BPFGlong19111.029999——————openLocal ledger (1)
Oct 5, 2026Oct 12, 2026SIM-V2BROSTlong9226.369995225.839996−$5.79—−0.33%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 8, 2026SIM-V2BTGTlong14152.990005154.759995+$23.70—+1.06%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2BVRTXlong4503.50505.640015+$7.55—+0.33%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2BVZlong4845.84999845.77−$4.94—−0.27%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2BDXCMlong2585.36000186.900002+$37.41—+1.70%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2BGPNlong2778.37999782.18+$101.49—+4.75%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 14, 2026SIM-V2BINCYlong18115.300003111.57−$68.14—−3.34%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 7, 2026SIM-V2BJNJlong8256.029999258.450012+$18.33—+0.85%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 13, 2026SIM-V2BSWlong5142.54000141.450001−$56.65—−2.66%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 8, 2026SIM-V2BBBYlong2487.69999788.400002+$15.74—+0.70%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 2, 2026SIM-V2BDElong3667.26001687.00+$58.19—+2.86%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 9, 2026SIM-V2BDOClong11119.44000118.799999−$72.08—−3.39%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 6, 2026SIM-V2BIFFlong2683.12000383.919998+$19.71—+0.86%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 5, 2026SIM-V2BKOlong2586.09999886.510002+$9.17—+0.38%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 8, 2026SIM-V2BSJMlong18115.949997119.410004+$61.21—+2.88%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 5, 2026SIM-V2BSTTlong12174.619995176.369995+$19.94—+0.90%—close>sma_exitclosedLocal ledger (1)
Sep 30, 2026Oct 1, 2026SIM-V2BADPlong8258.059998263.959991+$46.14—+2.19%—close>sma_exitclosedLocal ledger (1)
Sep 30, 2026Oct 5, 2026SIM-V2BEGlong5365.170013366.809998+$7.28—+0.35%—close>sma_exitclosedLocal ledger (1)
Sep 30, 2026Oct 1, 2026SIM-V2BTRGPlong8270.309998279.309998+$70.88—+3.23%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 2, 2026SIM-V2BADMlong2780.37999780.449997+$0.80—−0.01%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Sep 30, 2026SIM-V2BAMZNlong8246.149994249.149994+$23.00—+1.12%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 8, 2026SIM-V2BBNYlong14148.440002143.610001−$68.63—−3.35%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 1, 2026SIM-V2BCBlong6331.369995331.299988−$1.41—−0.12%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 1, 2026SIM-V2BCRMlong9227.270004236.690002+$83.71—+4.04%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 1, 2026SIM-V2BDXCMlong2586.6886.230003−$12.33—−0.62%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 5, 2026SIM-V2BELVlong5394.589996394.51001−$1.39—−0.12%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 2, 2026SIM-V2BGLlong13166.690002165.679993−$14.21—−0.71%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 5, 2026SIM-V2BHOODlong18116.459999114.110001−$43.33—−2.12%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 2, 2026SIM-V2BIBKRlong2587.08000288.300003+$29.40—+1.30%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 2, 2026SIM-V2BIRMlong19111.050003113.389999+$43.38—+2.01%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 8, 2026SIM-V2BKHClong9223.55999922.48−$100.39—−4.68%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 1, 2026SIM-V2BMCKlong2856.289978898.820007+$84.16—+4.87%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 5, 2026SIM-V2BMSlong11193.639999190.190002−$39.00—−1.88%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 5, 2026SIM-V2BNEMlong18116.050003115.82−$5.18—−0.30%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Sep 30, 2026SIM-V2BNOWlong16131.449997134.009995+$39.89—+1.85%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Sep 30, 2026SIM-V2BPSXlong8253.550003255.309998+$13.06—+0.59%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 7, 2026SIM-V2BREGNlong2752.25742.119995−$21.00—−1.45%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026Oct 8, 2026SIM-V2BSCHWlong2298.30000396.870003−$32.53—−1.55%—close>sma_exitclosedLocal ledger (1)
Sep 28, 2026—SIM-V2BSPYlong73765.609985——————openLocal ledger (1)
Sep 28, 2026Oct 1, 2026SIM-V2BVRSNlong7282.070007286.899994+$32.81—+1.61%—close>sma_exitclosedLocal ledger (1)
  1. (1)
    Record Local ledger
    Cost model

    5 bp a side, filled at the official close. The P&L is after the exit fee only, because the entry fee left the book's cash at entry; the return is after both. Dividends are not credited.

Where the research is

  • How v2b was chosen (findings systematic-equity/DESIGN/30)