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:

$-968

Total Trades:

469

Capital Growth:

-9.68%

Profit Trades, % of Total:

58%

Profit Factor: [?]

0.82

Avg Trade Duration, days:

4.26

Payoff Ratio: [?]

0.60

Avg Profit per Trade:

-0.39%

Max Drawdown:

22%

Avg Profit per Day:

-0.092%

Max Drawdown, $:

2,467

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

-0.39

Overall Viability Score: [?]

1 / 10

Avg Annual Return:

-9.68%

CAGR: [?]

Equity Graph

Performance

Year

S&P 500

Equity

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

2023

9.53

-9.68

10.97

-1.08

-8.72

-8.60

-1.39

Performed Trades:

Top 100

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
AA	05/26/2023	33.69	05/26/2023	33.69	13	-0.88	Period End
ABC	05/26/2023	168.41	05/26/2023	168.41	2	-0.67	Period End
AEE	05/26/2023	80.77	05/26/2023	80.77	7	-1.13	Period End
A	05/25/2023	119.49	05/26/2023	120.42	4	2.76	Period End
AJG	05/23/2023	206.61	05/26/2023	203.81	2	-6.42	Period End
BDX	05/23/2023	246.48	05/26/2023	241.12	1	-5.84	Period End
BRO	05/23/2023	63.20	05/26/2023	62.87	8	-3.65	Period End
BSX	05/23/2023	51.50	05/26/2023	51.06	10	-5.42	Period End
CL	05/23/2023	77.04	05/26/2023	76.21	8	-7.86	Period End
CHH	05/23/2023	113.40	05/25/2023	117.71	4	16.31	Close Signal
AAON	05/22/2023	90.57	05/26/2023	90.19	5	-2.80	Close Signal
BKH	05/22/2023	62.83	05/26/2023	60.60	7	-16.47	Period End
CRVL	05/22/2023	204.04	05/26/2023	195.81	2	-17.25	Period End
ED	05/22/2023	94.65	05/26/2023	92.69	5	-10.73	Period End
COCO	05/22/2023	22.94	05/23/2023	24.56	20	31.43	Close Signal
ARTNA	05/19/2023	48.50	05/26/2023	48.97	9	3.35	Close Signal
ABT	05/18/2023	108.47	05/26/2023	102.87	4	-23.23	Period End
AEP	05/18/2023	86.64	05/26/2023	82.25	5	-22.78	Period End
ALKS	05/18/2023	30.18	05/26/2023	29.32	15	-13.79	Period End
AMGN	05/18/2023	224.23	05/23/2023	224.44	2	-0.48	Close Signal
AVA	05/18/2023	42.05	05/23/2023	42.14	11	0.06	Close Signal
DECK	05/17/2023	470.37	05/26/2023	465.18	1	-6.12	Close Signal
AMSF	05/17/2023	54.99	05/26/2023	51.53	8	-28.52	Period End
DUK	05/17/2023	93.02	05/26/2023	88.70	5	-22.50	Period End
EIX	05/17/2023	69.74	05/26/2023	65.63	8	-33.95	Period End
ELS	05/17/2023	66.11	05/26/2023	63.81	8	-19.43	Period End
AGYS	05/17/2023	68.49	05/23/2023	69.73	6	6.61	Close Signal
CNP	05/17/2023	28.72	05/23/2023	28.86	17	1.40	Close Signal
DTE	05/17/2023	109.10	05/23/2023	109.16	4	-0.63	Close Signal
ARL	05/17/2023	16.73	05/22/2023	17.11	28	9.69	Close Signal
CMS	05/17/2023	58.83	05/22/2023	58.90	8	-0.38	Close Signal
ACGL	05/17/2023	73.04	05/18/2023	75.30	6	12.66	Close Signal
CHDN	05/17/2023	142.52	05/18/2023	144.50	3	5.08	Close Signal
CPB	05/15/2023	53.33	05/26/2023	51.51	9	-17.32	Period End
CPRX	05/15/2023	13.14	05/22/2023	12.45	36	-25.75	Close Signal
AEE	05/15/2023	85.06	05/19/2023	84.12	5	-5.54	Close Signal
COLM	05/15/2023	77.24	05/18/2023	76.89	6	-3.02	Close Signal
CRI	05/15/2023	63.05	05/18/2023	64.24	7	7.43	Close Signal
AROW	05/15/2023	19.06	05/17/2023	19.55	24	10.83	Close Signal
BIG	05/15/2023	8.09	05/17/2023	8.41	59	17.90	Close Signal
CDE	05/15/2023	3.32	05/17/2023	3.36	144	4.80	Close Signal
CERS	05/15/2023	1.86	05/17/2023	1.99	257	32.40	Close Signal
AMPL	05/12/2023	9.98	05/22/2023	9.39	45	-27.41	Close Signal
AFL	05/12/2023	65.69	05/17/2023	66.19	6	2.21	Close Signal
AHT	05/12/2023	3.74	05/17/2023	4.02	120	32.65	Close Signal
AOS	05/12/2023	67.24	05/17/2023	68.28	6	5.42	Close Signal
BEN	05/12/2023	24.49	05/17/2023	24.46	19	-1.50	Close Signal
BOH	05/12/2023	33.56	05/17/2023	38.59	14	69.37	Close Signal
BXP	05/12/2023	48.42	05/17/2023	49.16	9	5.78	Close Signal
ACM	05/11/2023	77.88	05/15/2023	79.45	5	7.06	Close Signal
ACI	05/10/2023	20.48	05/18/2023	20.28	21	-5.05	Close Signal
AVD	05/10/2023	16.07	05/15/2023	16.78	26	17.60	Close Signal
CCO	05/10/2023	1.05	05/15/2023	1.11	466	26.94	Close Signal
CBRL	05/10/2023	98.20	05/12/2023	101.07	4	10.68	Close Signal
A	05/09/2023	127.35	05/15/2023	127.99	3	1.15	Close Signal
BCPC	05/09/2023	125.51	05/15/2023	126.97	4	4.83	Close Signal
ALEX	05/09/2023	18.27	05/12/2023	18.58	28	7.64	Close Signal
BGS	05/08/2023	15.35	05/17/2023	13.49	31	-58.53	Close Signal
BJRI	05/08/2023	29.97	05/15/2023	30.40	17	6.28	Close Signal
BHE	05/08/2023	20.84	05/10/2023	21.15	23	6.16	Close Signal
EVC	05/05/2023	5.65	05/22/2023	4.62	99	-102.94	Close Signal
AVID	05/05/2023	22.11	05/17/2023	20.45	24	-40.84	Close Signal
EXLS	05/05/2023	157.04	05/15/2023	153.71	3	-10.92	Close Signal
FLR	05/05/2023	27.21	05/15/2023	27.03	21	-4.92	Close Signal
ANSS	05/05/2023	301.68	05/12/2023	297.49	1	-4.79	Close Signal
BIO	05/05/2023	385.24	05/12/2023	372.51	1	-13.48	Close Signal
CRUS	05/05/2023	79.46	05/12/2023	78.52	6	-6.59	Close Signal
FORR	05/05/2023	25.44	05/12/2023	26.03	23	12.38	Close Signal
ACN	05/05/2023	265.65	05/10/2023	268.89	1	2.70	Close Signal
DM	05/05/2023	1.75	05/10/2023	1.90	321	46.95	Close Signal
FLL	05/05/2023	6.39	05/09/2023	6.85	91	40.63	Close Signal
FRBK	05/05/2023	0.70	05/08/2023	0.7635	860	53.32	Close Signal
AAP	05/04/2023	120.24	05/05/2023	123.77	4	13.14	Close Signal
ADBE	05/03/2023	345.25	05/10/2023	344.02	1	-1.92	Close Signal
AGM	05/03/2023	126.92	05/05/2023	129.88	3	8.11	Close Signal
ALTR	05/03/2023	67.12	05/05/2023	68.23	7	6.82	Close Signal
AMGN	05/03/2023	227.17	05/05/2023	234.32	2	13.37	Close Signal
AMT	05/03/2023	191.97	05/05/2023	196.75	3	13.17	Close Signal
BRKL	05/01/2023	8.79	05/15/2023	7.89	52	-47.64	Close Signal
CTRN	05/01/2023	16.97	05/11/2023	16.04	28	-26.95	Close Signal
CBNK	05/01/2023	16.43	05/09/2023	15.82	28	-17.97	Close Signal
FCN	05/01/2023	177.85	05/09/2023	177.13	2	-2.15	Close Signal
CROX	05/01/2023	120.98	05/08/2023	116.75	3	-13.40	Close Signal
CFFN	05/01/2023	5.92	05/05/2023	5.67	78	-20.39	Close Signal
DHIL	05/01/2023	161.39	05/05/2023	161.95	3	0.71	Close Signal
DXCM	05/01/2023	118.44	05/05/2023	120.82	4	8.56	Close Signal
FLIC	05/01/2023	10.92	05/05/2023	10.37	58	-33.12	Close Signal
CWT	05/01/2023	55.21	05/04/2023	56.66	8	10.70	Close Signal
AWR	05/01/2023	87.63	05/03/2023	88.77	5	4.82	Close Signal
BRT	04/28/2023	17.33	05/05/2023	17.42	26	1.44	Close Signal
AXTI	04/28/2023	2.67	05/03/2023	2.80	168	20.91	Close Signal
CALM	04/28/2023	47.50	05/03/2023	47.52	9	-0.68	Close Signal
CDE	04/28/2023	3.40	05/03/2023	3.42	145	1.91	Close Signal
BMY	04/28/2023	66.77	05/01/2023	68.40	6	8.96	Close Signal
CCRN	04/28/2023	21.98	05/01/2023	22.45	22	9.36	Close Signal
ASGN	04/27/2023	70.97	05/12/2023	64.73	6	-38.24	Close Signal
BMRC	04/27/2023	17.66	05/08/2023	14.48	32	-102.74	Close Signal
ATNI	04/27/2023	37.69	05/05/2023	36.74	13	-13.31	Close Signal
BKI	04/27/2023	54.40	05/05/2023	54.06	9	-4.03	Close Signal
ANIK	04/27/2023	25.80	05/03/2023	26.00	18	2.67	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.