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Strategy Name Larry Connors RSI-2
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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'.
Position Type Long
 Strategy Definition 
Criteria for Opening a Position: index(russell3000) and rsi(2) < 5
Criteria for Closing a Position: price ca sma(5)
 Backtest Parameters 
Initial Capital: $10,000
Capital at Risk: 5% per trade
Portfolio Max Size: 20 positions
Testing Model: Close prices
Comm. per Trade: 0.1%  
Period: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-686   Total Trades: 83  
Capital Growth:-7%   Profit Trades, % of Total:46%  
Profit Factor: [?] 0.42  Max Drawdown8%($769)  
Expected Payoff: [?] $-8.26  Abs Drawdown7%($711)  
Payoff Ratio: [?] 0.50  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: -6.86%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 -6.86 -6.86
    Export   
Performed Trades: All  
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 AGO 01/28/2020 46.91 01/28/2020 46.91 10 -0.94  Period End Minor
 AHT 01/28/2020 2.52 01/28/2020 2.52 200 -1.01  Period End Minor
 AKS 01/28/2020 2.81 01/28/2020 2.81 179 -1.01  Period End Minor
 AM 01/28/2020 6.06 01/28/2020 6.06 83 -1.01  Period End Minor
 AMG 01/28/2020 79.18 01/28/2020 79.18 6 -0.95  Period End Minor
 A 01/27/2020 86.56 01/28/2020 87.18 5 2.23  Period End Minor
 ACAD 01/23/2020 40.79 01/28/2020 41.55 12 8.13  Close Signal Minor
 ALTR 01/23/2020 36.10 01/28/2020 37.67 13 19.45  Close Signal Minor
 AAWW 01/23/2020 25.62 01/28/2020 23.69 19 -37.61  Period End Minor
 AGN 01/23/2020 190.60 01/28/2020 189.25 2 -3.46  Period End Minor
 ALXN 01/23/2020 108.55 01/28/2020 106.97 4 -7.18  Period End Minor
 AA 01/21/2020 17.12 01/28/2020 14.71 29 -70.81  Period End Minor
 ARW 01/21/2020 81.73 01/28/2020 79.76 6 -12.79  Period End Minor
 ALOT 01/21/2020 12.87 01/27/2020 13.96 39 41.46  Close Signal Minor
 ATI 01/21/2020 17.89 01/23/2020 18.55 28 17.46  Close Signal Minor
 CBNK 01/17/2020 14.44 01/28/2020 14.00 34 -15.93  Close Signal Minor
 CLNE 01/17/2020 2.52 01/28/2020 2.43 200 -18.99  Close Signal Minor
 CPE 01/17/2020 3.86 01/28/2020 3.23 130 -82.82  Period End Minor
 DO 01/17/2020 6.39 01/28/2020 4.82 78 -123.33  Period End Minor
 CERS 01/17/2020 4.07 01/21/2020 4.48 123 49.38  Close Signal Minor
 AMNB 01/16/2020 37.56 01/28/2020 35.39 13 -29.16  Period End Minor
 BK 01/16/2020 46.72 01/23/2020 47.02 10 2.06  Close Signal Minor
 CMC 01/16/2020 22.05 01/23/2020 21.84 22 -5.59  Close Signal Minor
 AME 01/16/2020 100.19 01/17/2020 101.78 5 6.94  Close Signal Minor
 DHT 01/16/2020 7.23 01/17/2020 7.51 69 18.30  Close Signal Minor
 ANIK 01/15/2020 47.78 01/28/2020 45.21 10 -26.63  Close Signal Minor
 AEL 01/15/2020 28.84 01/28/2020 26.99 17 -32.40  Period End Minor
 CVI 01/15/2020 38.80 01/28/2020 35.46 12 -40.97  Period End Minor
 BGS 01/15/2020 15.80 01/21/2020 16.04 31 6.45  Close Signal Minor
 COLM 01/15/2020 96.89 01/21/2020 97.28 5 0.98  Close Signal Minor
 CVCY 01/15/2020 20.50 01/17/2020 20.78 24 5.73  Close Signal Minor
 ANAT 01/15/2020 113.77 01/16/2020 115.91 4 7.64  Close Signal Minor
 CVGI 01/15/2020 5.92 01/16/2020 6.06 84 10.75  Close Signal Minor
 CHK 01/14/2020 0.673 01/28/2020 0.518 746 -116.37  Period End Minor
 DLA 01/14/2020 28.11 01/23/2020 26.80 17 -23.20  Close Signal Minor
 BSX 01/14/2020 42.66 01/17/2020 44.28 11 16.86  Close Signal Minor
 DCO 01/14/2020 40.82 01/16/2020 41.48 12 6.93  Close Signal Minor
 ARQL 01/14/2020 19.97 01/15/2020 20.00 25 -0.25  Close Signal Minor
 AYI 01/14/2020 118.66 01/15/2020 121.27 4 9.48  Close Signal Minor
 BRY 01/13/2020 8.56 01/28/2020 7.09 58 -86.17  Period End Minor
 BXG 01/13/2020 9.91 01/28/2020 9.21 50 -35.96  Period End Minor
 BCRX 01/13/2020 2.85 01/21/2020 2.93 175 12.99  Close Signal Minor
 CDR 01/13/2020 2.83 01/16/2020 2.82 176 -2.75  Close Signal Minor
 AXL 01/13/2020 9.05 01/15/2020 9.33 55 14.39  Close Signal Minor
 CCRN 01/13/2020 9.89 01/15/2020 10.26 50 17.49  Close Signal Minor
 AMAG 01/13/2020 11.31 01/14/2020 12.19 44 37.69  Close Signal Minor
 ANGO 01/13/2020 14.73 01/14/2020 15.06 33 9.91  Close Signal Minor
 BGG 01/13/2020 5.12 01/14/2020 5.31 97 17.42  Close Signal Minor
 AA 01/10/2020 19.45 01/14/2020 20.37 25 22.00  Close Signal Minor
 AIT 01/10/2020 65.00 01/13/2020 65.93 7 5.59  Close Signal Minor
 AGM 01/09/2020 82.50 01/16/2020 83.55 6 5.30  Close Signal Minor
 ATEC 01/09/2020 6.65 01/13/2020 7.36 75 52.20  Close Signal Minor
 ALOT 01/08/2020 13.36 01/15/2020 13.32 37 -2.47  Close Signal Minor
 ADM 01/08/2020 44.61 01/14/2020 44.50 11 -2.19  Close Signal Minor
 AMSC 01/08/2020 7.41 01/13/2020 7.45 67 1.68  Close Signal Minor
 AMSF 01/08/2020 64.82 01/13/2020 65.12 7 1.19  Close Signal Minor
 AN 01/08/2020 46.16 01/13/2020 45.90 10 -3.52  Close Signal Minor
 AAP 01/07/2020 154.94 01/15/2020 150.21 3 -15.11  Close Signal Minor
 AGEN 01/06/2020 3.78 01/15/2020 3.72 132 -8.91  Close Signal Minor
 BBX 01/06/2020 4.44 01/15/2020 4.26 113 -21.32  Close Signal Minor
 ATI 01/06/2020 20.10 01/14/2020 19.06 25 -26.98  Close Signal Minor
 ACN 01/06/2020 208.43 01/10/2020 207.66 2 -2.37  Close Signal Minor
 BANF 01/06/2020 61.63 01/08/2020 61.85 8 0.77  Close Signal Minor
 CONN 01/02/2020 11.71 01/28/2020 9.21 42 -105.88  Period End Minor
 CCF 01/02/2020 116.88 01/23/2020 104.85 4 -49.01  Close Signal Minor
 CVGW 01/02/2020 87.21 01/17/2020 80.73 5 -33.24  Close Signal Minor
 ABG 01/02/2020 111.33 01/13/2020 102.35 4 -36.77  Close Signal Minor
 BMRC 01/02/2020 44.85 01/13/2020 44.25 11 -7.58  Close Signal Minor
 COLB 01/02/2020 40.65 01/13/2020 39.61 12 -13.44  Close Signal Minor
 CPF 01/02/2020 29.54 01/13/2020 28.90 16 -11.18  Close Signal Minor
 BSET 01/02/2020 16.32 01/10/2020 16.54 30 5.61  Close Signal Minor
 AVY 01/02/2020 129.31 01/09/2020 128.73 3 -2.51  Close Signal Minor
 CRTX 01/02/2020 53.25 01/09/2020 47.90 9 -49.06  Close Signal Minor
 APD 01/02/2020 231.14 01/08/2020 228.09 2 -7.02  Close Signal Minor
 AZZ 01/02/2020 45.14 01/08/2020 45.22 11 -0.11  Close Signal Minor
 BMI 01/02/2020 63.88 01/08/2020 64.07 7 0.43  Close Signal Minor
 BMTC 01/02/2020 40.86 01/08/2020 40.69 12 -3.02  Close Signal Minor
 CWCO 01/02/2020 16.07 01/07/2020 16.36 31 7.98  Close Signal Minor
 ACAD 01/02/2020 41.11 01/06/2020 42.81 12 19.39  Close Signal Minor
 BMRN 01/02/2020 84.04 01/06/2020 84.59 5 1.91  Close Signal Minor
 BZH 01/02/2020 13.95 01/06/2020 14.35 35 13.01  Close Signal Minor
 CENT 01/02/2020 30.50 01/06/2020 31.11 16 8.77  Close Signal Minor
 CSV 01/02/2020 25.27 01/06/2020 25.69 19 7.01  Close Signal Minor



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