Strategy Tester

Strategy Name

Larry Connors RSI-2

The 2-period Relative Strength Indicator (RSI) strategy was developed by Larry Connors. It 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

Position Opening

Criteria for Opening a Position:	index(russell3000) and rsi(2) < 5

Order Execution Model:	Close Prices

Position Closing

Criteria for Closing a Position:	price ca sma(5)

Order Execution Model:	Close Prices

Backtest Parameters

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:

1/1/2023 - 12/31/2023

The backtester displays results for the current year only. Please sign up to view the full report.

Results

Total Profit:

$803

Total Trades:

108

Capital Growth:

8.03%

Profit Trades, % of Total:

65%

Profit Factor: [?]

3.08

Avg Trade Duration, days:

3.15

Payoff Ratio: [?]

1.67

Avg Profit per Trade:

1.45%

Max Drawdown:

Avg Profit per Day:

0.46%

Max Drawdown, $:

151

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

5.31

Overall Viability Score: [?]

10 / 10

Avg Annual Return:

8.03%

Equity Graph

Performance

Year

S&P 500

Equity

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

2023

6.02

8.03

Performed Trades:

Top 100

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
ADP	01/27/2023	220.80	01/27/2023	220.80	2	-0.88	Period End
ARTNA	01/27/2023	57.01	01/27/2023	57.01	9	-1.03	Period End
CFR	01/27/2023	127.45	01/27/2023	127.45	4	-1.02	Period End
CHD	01/27/2023	79.55	01/27/2023	79.55	6	-0.95	Period End
CL	01/27/2023	71.59	01/27/2023	71.59	7	-1.00	Period End
CSX	01/27/2023	30.08	01/27/2023	30.08	18	-1.08	Period End
DCOM	01/27/2023	29.95	01/27/2023	29.95	18	-1.08	Period End
ATEC	01/26/2023	12.76	01/27/2023	12.94	42	6.48	Close Signal
ALE	01/26/2023	61.17	01/27/2023	61.01	8	-2.26	Period End
BRKL	01/26/2023	12.67	01/27/2023	12.94	42	10.26	Period End
BTU	01/26/2023	26.58	01/27/2023	27.25	20	12.32	Period End
CBNK	01/26/2023	21.66	01/27/2023	21.50	24	-4.87	Period End
AM	01/25/2023	10.86	01/27/2023	10.99	49	5.30	Close Signal
AMGN	01/25/2023	256.54	01/27/2023	253.65	2	-6.80	Period End
BUSE	01/25/2023	22.65	01/27/2023	22.85	23	3.55	Period End
CBU	01/25/2023	55.10	01/27/2023	55.87	9	5.93	Period End
BDN	01/24/2023	6.23	01/27/2023	6.45	86	17.82	Close Signal
BMRC	01/24/2023	29.90	01/27/2023	29.66	18	-5.39	Period End
EE	01/24/2023	23.40	01/26/2023	23.75	23	6.96	Close Signal
FSP	01/24/2023	2.88	01/25/2023	2.95	187	11.99	Close Signal
CSTR	01/23/2023	17.11	01/27/2023	16.95	31	-6.01	Close Signal
DHT	01/23/2023	8.26	01/27/2023	8.45	65	11.26	Close Signal
DUK	01/23/2023	100.99	01/27/2023	101.58	5	1.94	Close Signal
CAG	01/23/2023	37.09	01/27/2023	36.46	14	-9.85	Period End
CNP	01/23/2023	30.00	01/27/2023	29.74	18	-5.75	Period End
CPB	01/23/2023	51.58	01/27/2023	51.13	10	-5.52	Period End
FARO	01/23/2023	27.90	01/27/2023	27.36	19	-11.30	Period End
AMT	01/23/2023	215.67	01/26/2023	221.03	2	9.84	Close Signal
BDX	01/23/2023	249.58	01/26/2023	249.14	2	-1.88	Close Signal
BKE	01/23/2023	43.30	01/26/2023	43.29	12	-1.16	Close Signal
FLO	01/23/2023	26.59	01/25/2023	26.91	20	5.33	Close Signal
BLX	01/23/2023	16.30	01/24/2023	16.59	33	8.48	Close Signal
ADTN	01/20/2023	18.36	01/26/2023	18.76	29	10.52	Close Signal
ABC	01/20/2023	162.21	01/25/2023	163.46	3	2.77	Close Signal
ADI	01/19/2023	163.13	01/23/2023	169.66	3	18.58	Close Signal
AAP	01/18/2023	146.98	01/23/2023	148.62	3	4.03	Close Signal
FFBC	01/17/2023	24.24	01/27/2023	24.26	22	-0.63	Close Signal
ES	01/17/2023	83.73	01/24/2023	80.25	6	-21.85	Close Signal
ATVI	01/17/2023	74.56	01/23/2023	75.22	7	3.57	Close Signal
CFFN	01/17/2023	8.64	01/23/2023	8.53	63	-8.01	Close Signal
EMR	01/17/2023	91.24	01/23/2023	89.00	6	-14.51	Close Signal
JNJ	01/13/2023	173.43	01/25/2023	169.51	3	-12.78	Close Signal
LMT	01/13/2023	449.83	01/24/2023	449.23	1	-1.50	Close Signal
SJM	01/13/2023	154.43	01/24/2023	149.60	3	-15.39	Close Signal
BAH	01/13/2023	94.99	01/23/2023	94.33	5	-4.24	Close Signal
LHX	01/13/2023	197.16	01/23/2023	194.25	2	-6.60	Close Signal
BKD	01/13/2023	2.73	01/20/2023	2.63	196	-20.64	Close Signal
ABBV	01/12/2023	152.22	01/27/2023	146.28	3	-18.71	Period End
DGX	01/12/2023	147.46	01/23/2023	147.01	3	-2.23	Close Signal
MKC	01/12/2023	80.97	01/23/2023	78.65	6	-14.87	Close Signal
LDOS	01/12/2023	98.71	01/23/2023	96.37	5	-12.67	Close Signal
PINC	01/12/2023	33.30	01/19/2023	33.80	15	6.49	Close Signal
CVLT	01/11/2023	55.46	01/18/2023	56.75	9	10.59	Close Signal
MGNX	01/11/2023	5.17	01/17/2023	5.40	102	22.37	Close Signal
TNDM	01/11/2023	42.00	01/17/2023	42.91	12	9.90	Close Signal
VIEW	01/11/2023	0.727	01/17/2023	0.81	725	59.03	Close Signal
RYAM	01/11/2023	5.98	01/17/2023	7.28	88	113.18	Close Signal
ITCI	01/11/2023	47.72	01/17/2023	48.75	11	10.26	Close Signal
PBFS	01/11/2023	11.21	01/13/2023	11.40	47	7.86	Close Signal
ARQT	01/11/2023	13.53	01/13/2023	14.12	38	21.36	Close Signal
HQY	01/11/2023	56.71	01/12/2023	58.42	9	14.35	Close Signal
AXSM	01/11/2023	62.16	01/12/2023	64.90	8	20.89	Close Signal
NOC	01/10/2023	495.79	01/23/2023	450.87	1	-45.84	Close Signal
MSA	01/10/2023	133.19	01/13/2023	134.94	3	4.44	Close Signal
AVA	01/10/2023	42.26	01/12/2023	42.84	12	5.94	Close Signal
FREE	01/10/2023	3.71	01/11/2023	3.81	141	13.03	Close Signal
LXU	01/10/2023	12.34	01/11/2023	12.58	42	9.03	Close Signal
BAX	01/09/2023	44.70	01/23/2023	45.14	11	3.85	Close Signal
CERS	01/09/2023	2.72	01/13/2023	3.14	187	77.40	Close Signal
CHE	01/09/2023	493.54	01/13/2023	497.45	1	2.92	Close Signal
CUTR	01/09/2023	31.04	01/13/2023	32.44	16	21.37	Close Signal
FOLD	01/09/2023	11.30	01/11/2023	12.02	45	31.33	Close Signal
KBR	01/06/2023	50.53	01/12/2023	51.30	10	6.68	Close Signal
PCRX	01/06/2023	37.08	01/12/2023	37.68	13	6.82	Close Signal
DK	01/06/2023	24.35	01/11/2023	24.51	20	2.22	Close Signal
TRN	01/06/2023	26.61	01/11/2023	27.48	19	15.49	Close Signal
UNH	01/06/2023	490.00	01/11/2023	493.40	1	2.41	Close Signal
ENPH	01/06/2023	233.65	01/11/2023	238.82	2	9.39	Close Signal
PANW	01/06/2023	134.85	01/11/2023	136.71	3	4.76	Close Signal
BBBY	01/06/2023	1.31	01/10/2023	2.07	387	292.66	Close Signal
HAE	01/06/2023	73.60	01/10/2023	75.50	6	10.50	Close Signal
IDT	01/06/2023	27.23	01/10/2023	27.36	18	1.36	Close Signal
RPRX	01/06/2023	38.09	01/09/2023	39.20	13	13.42	Close Signal
ALNY	01/05/2023	225.68	01/11/2023	225.22	2	-1.82	Close Signal
AES	01/05/2023	25.87	01/09/2023	27.25	19	25.20	Close Signal
AIT	01/05/2023	117.28	01/09/2023	121.86	4	17.35	Close Signal
AAON	01/04/2023	71.67	01/06/2023	74.19	6	14.24	Close Signal
AVD	01/04/2023	21.29	01/06/2023	21.83	23	11.42	Close Signal
ARL	01/03/2023	24.53	01/20/2023	21.37	20	-64.09	Close Signal
CI	01/03/2023	321.48	01/11/2023	309.23	1	-12.87	Close Signal
ADM	01/03/2023	89.65	01/10/2023	86.23	5	-17.97	Close Signal
EE	01/03/2023	24.67	01/10/2023	23.72	20	-19.96	Close Signal
CHK	01/03/2023	86.13	01/09/2023	89.19	5	14.42	Close Signal
GPC	01/03/2023	169.81	01/09/2023	170.41	2	0.52	Close Signal
ABC	01/03/2023	164.29	01/06/2023	165.71	3	3.27	Close Signal
ATO	01/03/2023	111.20	01/06/2023	112.53	4	4.42	Close Signal
CAH	01/03/2023	76.73	01/06/2023	78.64	6	10.52	Close Signal
CASY	01/03/2023	220.95	01/06/2023	222.96	2	3.13	Close Signal
CNP	01/03/2023	29.56	01/06/2023	29.99	16	5.92	Close Signal
DE	01/03/2023	424.29	01/06/2023	426.47	1	1.33	Close Signal

Backtesting Results Disclaimer
Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results may vary from the analysis. Hypothetical performance results have many inherent limitations and cannot fully account for market factors such as bid-ask spread, slippage, and commission costs. There are numerous other factors related to the markets, which cannot be fully accounted for in the backtesting algorithm, but all of which can adversely affect actual trading results.