Strategy Name
Larry Connors RSI-2
Developed by Larry Connors, the 2-period Relative Strength Indicator (RSI) strategy is based on the principle that market prices return to a mean after significant highs or lows. A buy signal is generated when the 2-period RSI goes below 5, and the market price is above the 200-period MA. A long position is closed when the market price closes above the 5-period MA. In this backtest, we used the components of the Russell 3000 index as a stock universe. The condition "price ca sma(5)" in the formula for closing a position reads as "price crossed above the 5-period simple moving average".
Type of Positions
Long
Criteria for Opening a Position:
index(russell3000) and rsi(2) < 5
Order Execution Model: Close Prices
Criteria for Closing a Position:
price ca sma(5)
Order Execution Model: Close Prices
Initial Capital: $10,000
Capital at Risk:
5%
per trade
Portfolio Max Size: 20 positions
Comm. per Trade:
0.05%
Avg Bid-Ask Spread: 0.1%
Period: 1/1/2026 - 12/31/2026
Total Profit: $1,006
Total Trades: 561
Capital Growth: 10.1%
Profit Trades, % of Total: 62%
Profit Factor: [?] 1.20
Avg Trade Duration, days: 4.06
Payoff Ratio: [?] 0.73
Avg Profit per Trade: 0.42%
Max Drawdown: 14%
Avg Profit per Day: 0.1%
Max Drawdown, $: 1,450
Avg Market Impact: [?]
Restoration Factor: [?] 0.69
Overall Viability Score: [?]
Avg Annual Return: 10.1%
CAGR: [?] 10.1%
Year S&P 500 Equity Jan Feb
Mar Apr May
Jun Jul Aug
Sep Oct Nov
Dec
2026
9.62 10.06
3.10
-2.60
-3.66
10.30
3.74
-0.58
Symbol
Entry Date
Exit Date
Shares Profit, $ Exit On
MI
[?]
06/17/2026
182.85
06/17/2026
182.85
3
-1.10
Period End
06/17/2026
39.72
06/17/2026
39.72
14
-1.11
Period End
06/16/2026
2.47
06/17/2026
2.69
231
49.60
Close Signal
06/15/2026
46.76
06/17/2026
45.89
12
-11.55
Period End
06/15/2026
56.12
06/17/2026
54.31
10
-19.20
Period End
06/15/2026
3.88
06/17/2026
3.88
147
-1.14
Period End
06/15/2026
38.18
06/17/2026
36.49
14
-24.69
Period End
06/15/2026
52.76
06/17/2026
54.03
10
11.63
Period End
06/15/2026
88.32
06/17/2026
87.11
6
-8.31
Period End
06/15/2026
2.89
06/17/2026
2.73
197
-32.61
Period End
06/15/2026
28.37
06/16/2026
28.92
20
9.85
Close Signal
06/12/2026
148.17
06/17/2026
139.61
3
-26.53
Period End
06/11/2026
51.20
06/17/2026
51.35
11
0.52
Close Signal
06/11/2026
205.57
06/17/2026
198.46
2
-15.02
Period End
06/11/2026
51.18
06/17/2026
49.46
11
-20.02
Period End
06/11/2026
30.39
06/17/2026
27.88
18
-46.21
Period End
06/11/2026
56.04
06/17/2026
55.46
10
-6.91
Period End
06/11/2026
0.6302
06/17/2026
0.5946
908
-33.42
Period End
06/11/2026
159.58
06/15/2026
165.13
3
15.67
Close Signal
06/11/2026
162.48
06/12/2026
166.41
3
10.80
Close Signal
06/10/2026
170.50
06/17/2026
161.41
3
-28.25
Period End
06/10/2026
121.12
06/15/2026
131.26
4
39.53
Close Signal
06/09/2026
237.88
06/17/2026
202.28
2
-72.04
Period End
06/09/2026
6.96
06/17/2026
6.61
82
-29.80
Period End
06/09/2026
174.89
06/17/2026
157.96
3
-51.76
Period End
06/09/2026
11.67
06/17/2026
10.24
49
-71.11
Period End
06/09/2026
290.55
06/15/2026
296.42
1
5.28
Close Signal
06/09/2026
439.34
06/15/2026
463.41
1
23.16
Close Signal
06/09/2026
8.21
06/11/2026
9.08
69
58.81
Close Signal
06/08/2026
141.87
06/15/2026
134.20
4
-31.77
Close Signal
06/05/2026
53.78
06/15/2026
53.44
10
-4.47
Close Signal
06/05/2026
60.82
06/11/2026
62.11
9
10.50
Close Signal
06/05/2026
29.63
06/11/2026
30.21
19
9.88
Close Signal
06/05/2026
11.64
06/11/2026
11.27
49
-19.24
Close Signal
06/05/2026
66.07
06/11/2026
65.19
8
-8.09
Close Signal
06/05/2026
32.23
06/10/2026
32.77
17
8.07
Close Signal
06/05/2026
13.81
06/09/2026
15.00
41
47.58
Close Signal
06/05/2026
80.88
06/09/2026
84.39
7
23.40
Close Signal
06/05/2026
212.48
06/09/2026
217.13
2
8.45
Close Signal
06/04/2026
165.24
06/11/2026
158.66
3
-20.70
Close Signal
06/04/2026
3.04
06/11/2026
2.94
188
-19.91
Close Signal
06/04/2026
14.08
06/11/2026
13.36
40
-29.88
Close Signal
06/04/2026
29.37
06/10/2026
29.08
19
-6.62
Close Signal
06/04/2026
23.33
06/09/2026
23.85
24
11.34
Close Signal
06/04/2026
42.90
06/08/2026
44.17
13
15.37
Close Signal
06/04/2026
28.18
06/05/2026
29.34
20
22.04
Close Signal
06/04/2026
193.46
06/05/2026
198.12
2
8.53
Close Signal
06/03/2026
46.67
06/15/2026
41.07
12
-68.22
Close Signal
06/03/2026
250.02
06/15/2026
246.02
2
-8.99
Close Signal
06/03/2026
25.90
06/09/2026
26.31
21
7.51
Close Signal
06/03/2026
8.30
06/04/2026
8.87
68
37.57
Close Signal
06/02/2026
152.84
06/05/2026
155.15
3
6.00
Close Signal
06/02/2026
10.34
06/04/2026
10.56
54
10.75
Close Signal
06/02/2026
328.26
06/03/2026
338.22
1
9.29
Close Signal
06/01/2026
167.15
06/05/2026
170.24
3
8.25
Close Signal
06/01/2026
104.36
06/04/2026
106.24
5
8.34
Close Signal
06/01/2026
10.91
06/04/2026
12.03
51
55.92
Close Signal
06/01/2026
108.48
06/04/2026
110.08
5
6.90
Close Signal
06/01/2026
7.48
06/03/2026
7.68
75
13.86
Close Signal
06/01/2026
123.79
06/02/2026
127.11
4
12.27
Close Signal
06/01/2026
20.83
06/02/2026
21.21
27
9.12
Close Signal
05/28/2026
74.28
06/05/2026
73.41
7
-7.12
Close Signal
05/28/2026
73.91
06/05/2026
74.99
7
6.53
Close Signal
05/28/2026
74.18
06/04/2026
73.87
7
-3.21
Close Signal
05/28/2026
246.55
06/03/2026
247.56
2
1.03
Close Signal
05/27/2026
91.40
06/05/2026
91.19
6
-2.35
Close Signal
05/27/2026
133.58
06/05/2026
132.46
4
-5.54
Close Signal
05/27/2026
95.61
06/04/2026
95.34
5
-2.30
Close Signal
05/27/2026
114.85
06/02/2026
113.63
4
-5.79
Close Signal
05/26/2026
16.75
06/05/2026
15.53
33
-41.31
Close Signal
05/26/2026
172.24
06/04/2026
171.06
3
-4.57
Close Signal
05/26/2026
116.57
06/01/2026
115.58
4
-4.89
Close Signal
05/26/2026
44.81
06/01/2026
45.97
12
12.84
Close Signal
05/26/2026
13.18
05/28/2026
13.65
42
18.60
Close Signal
05/26/2026
90.73
05/28/2026
92.97
6
12.33
Close Signal
05/26/2026
3.13
05/27/2026
3.45
178
55.76
Close Signal
05/26/2026
83.07
05/27/2026
86.88
6
21.83
Close Signal
05/22/2026
11.46
06/09/2026
10.64
48
-40.40
Close Signal
05/22/2026
103.11
06/09/2026
97.41
5
-29.49
Close Signal
05/22/2026
5.72
06/01/2026
5.44
96
-27.94
Close Signal
05/22/2026
379.15
05/26/2026
384.61
1
4.69
Close Signal
05/21/2026
35.55
06/01/2026
34.69
15
-13.95
Close Signal
05/21/2026
1.62
06/01/2026
1.64
337
5.64
Close Signal
05/21/2026
52.05
06/01/2026
50.59
10
-15.62
Close Signal
05/21/2026
531.35
05/28/2026
539.00
1
6.58
Close Signal
05/21/2026
307.07
05/28/2026
313.00
1
5.31
Close Signal
05/21/2026
8.37
05/27/2026
9.12
65
47.59
Close Signal
05/21/2026
15.07
05/26/2026
15.83
36
26.23
Close Signal
05/21/2026
127.63
05/26/2026
133.52
4
22.50
Close Signal
05/21/2026
84.76
05/26/2026
87.96
6
18.15
Close Signal
05/20/2026
289.19
06/03/2026
282.27
1
-7.49
Close Signal
05/20/2026
457.27
06/01/2026
447.15
1
-11.02
Close Signal
05/20/2026
53.50
05/27/2026
52.93
10
-6.76
Close Signal
05/20/2026
396.98
05/26/2026
418.81
1
21.00
Close Signal
05/20/2026
58.98
05/26/2026
59.35
9
2.26
Close Signal
05/20/2026
4.80
05/22/2026
4.94
112
14.58
Close Signal
05/20/2026
36.28
05/22/2026
42.61
14
87.47
Close Signal
05/19/2026
20.48
05/21/2026
21.32
26
20.74
Close Signal
05/19/2026
302.75
05/21/2026
323.69
1
20.30
Close Signal
05/18/2026
65.97
05/26/2026
73.38
8
58.14
Close Signal
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