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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'.
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: 1/1/2021 - 12/31/2021
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $2,498   Total Trades: 739  
Capital Growth:25%   Profit Trades, % of Total:64%  
Profit Factor: [?] 1.47  Avg Trade Duration, days:3.84  
Payoff Ratio: [?] 0.83   Avg Profit per Trade:0.64%  
Max Drawdown:5%   Avg Profit per Day:0.17%  
Max Drawdown, $: 558   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 4.48   Overall Viability Score: [?]
6 / 10
 
Avg Annual Return: 25%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 24.98 3.26 2.94 5.40 1.23 2.96 1.94 5.00
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 ADS 07/30/2021 93.25 07/30/2021 93.25 6 -1.12  Period End Minor
 CNSL 07/29/2021 7.88 07/30/2021 7.69 80 -16.44  Period End Minor
 CTXS 07/29/2021 99.00 07/30/2021 100.75 6 9.30  Period End Minor
 EPR 07/29/2021 50.89 07/30/2021 50.30 12 -8.29  Period End Minor
 IEX 07/28/2021 219.62 07/30/2021 226.69 2 13.24  Close Signal Minor
 CAG 07/28/2021 33.76 07/30/2021 33.49 18 -6.07  Period End Minor
 CHRW 07/28/2021 88.51 07/30/2021 89.17 7 3.37  Period End Minor
 CIX 07/28/2021 19.61 07/30/2021 18.60 32 -33.53  Period End Minor
 CMI 07/28/2021 232.02 07/30/2021 232.10 2 -0.77  Period End Minor
 CNC 07/28/2021 69.73 07/30/2021 68.61 9 -11.32  Period End Minor
 FDX 07/28/2021 281.83 07/30/2021 279.95 2 -4.88  Period End Minor
 HUM 07/28/2021 440.81 07/30/2021 425.86 1 -15.81  Period End Minor
 HVT 07/28/2021 36.41 07/30/2021 35.99 17 -8.37  Period End Minor
 IVC 07/28/2021 7.20 07/30/2021 7.23 87 1.35  Period End Minor
 KVHI 07/28/2021 11.74 07/30/2021 11.32 53 -23.47  Period End Minor
 OMCL 07/28/2021 148.17 07/30/2021 146.50 4 -7.86  Period End Minor
 GSIT 07/28/2021 5.17 07/29/2021 5.36 121 21.70  Close Signal Minor
 AGEN 07/27/2021 4.98 07/30/2021 5.18 124 23.53  Period End Minor
 ATVI 07/27/2021 84.05 07/30/2021 83.62 7 -4.18  Period End Minor
 LLNW 07/26/2021 2.51 07/28/2021 2.63 243 27.90  Close Signal Minor
 PCG 07/26/2021 8.75 07/28/2021 9.15 69 26.35  Close Signal Minor
 INSM 07/26/2021 23.90 07/28/2021 25.09 25 28.51  Close Signal Minor
 FNHC 07/26/2021 2.27 07/28/2021 2.36 269 22.95  Close Signal Minor
 MEIP 07/26/2021 2.52 07/28/2021 2.88 242 85.77  Close Signal Minor
 USPH 07/26/2021 101.81 07/27/2021 119.50 6 104.76  Close Signal Minor
 HCSG 07/23/2021 26.65 07/30/2021 26.10 22 -13.25  Period End Minor
 MCRB 07/23/2021 7.39 07/30/2021 7.10 82 -24.96  Period End Minor
 BOOM 07/23/2021 41.84 07/29/2021 44.81 14 40.35  Close Signal Minor
 BLL 07/23/2021 80.00 07/28/2021 81.17 7 7.06  Close Signal Minor
 CCK 07/23/2021 97.29 07/28/2021 99.87 6 14.29  Close Signal Minor
 SON 07/23/2021 62.27 07/28/2021 63.41 9 9.12  Close Signal Minor
 UIHC 07/23/2021 4.28 07/28/2021 4.37 142 11.55  Close Signal Minor
 AGIO 07/23/2021 50.19 07/28/2021 50.00 12 -3.48  Close Signal Minor
 AKBA 07/23/2021 2.47 07/28/2021 2.64 247 40.71  Close Signal Minor
 CCI 07/22/2021 192.03 07/30/2021 193.09 3 2.02  Period End Minor
 NEOG 07/22/2021 42.79 07/28/2021 43.59 14 9.99  Close Signal Minor
 AMSF 07/22/2021 55.26 07/26/2021 56.53 10 11.58  Close Signal Minor
 FLO 07/22/2021 23.53 07/26/2021 23.87 25 7.31  Close Signal Minor
 CHRW 07/22/2021 91.77 07/23/2021 92.88 6 5.55  Close Signal Minor
 LANC 07/22/2021 193.58 07/23/2021 198.09 3 12.35  Close Signal Minor
 RGR 07/21/2021 77.00 07/29/2021 76.03 7 -7.86  Close Signal Minor
 ARDX 07/21/2021 1.93 07/28/2021 1.73 312 -63.51  Close Signal Minor
 NFLX 07/21/2021 513.63 07/27/2021 518.91 1 4.24  Close Signal Minor
 NEM 07/21/2021 60.36 07/26/2021 60.39 9 -0.82  Close Signal Minor
 SLGN 07/21/2021 39.52 07/26/2021 39.57 15 -0.44  Close Signal Minor
 WDFC 07/21/2021 241.31 07/26/2021 242.15 2 0.71  Close Signal Minor
 ATR 07/21/2021 136.06 07/23/2021 136.24 4 -0.37  Close Signal Minor
 NYT 07/21/2021 42.10 07/23/2021 43.22 14 14.48  Close Signal Minor
 OFED 07/21/2021 21.61 07/23/2021 22.03 27 10.16  Close Signal Minor
 SWKH 07/21/2021 17.40 07/23/2021 17.85 34 14.09  Close Signal Minor
 GORO 07/21/2021 2.05 07/22/2021 2.10 294 13.47  Close Signal Minor
 FMBI 07/20/2021 17.80 07/26/2021 17.97 33 4.43  Close Signal Minor
 AUBN 07/20/2021 33.51 07/23/2021 34.30 17 12.27  Close Signal Minor
 MAN 07/20/2021 107.88 07/23/2021 112.51 5 22.04  Close Signal Minor
 MRK 07/20/2021 76.17 07/23/2021 77.54 7 8.51  Close Signal Minor
 BIIB 07/20/2021 322.49 07/22/2021 326.36 1 3.22  Close Signal Minor
 CDE 07/20/2021 7.23 07/22/2021 7.47 82 18.46  Close Signal Minor
 DPZ 07/20/2021 474.97 07/22/2021 538.82 1 62.80  Close Signal Minor
 IVC 07/20/2021 7.33 07/22/2021 7.44 81 7.71  Close Signal Minor
 COG 07/20/2021 15.54 07/21/2021 16.16 38 22.34  Close Signal Minor
 ENR 07/20/2021 40.70 07/21/2021 41.15 14 5.15  Close Signal Minor
 FSLR 07/20/2021 82.68 07/21/2021 85.19 7 16.39  Close Signal Minor
 GNW 07/20/2021 3.23 07/21/2021 3.46 185 41.29  Close Signal Minor
 GPOR 07/20/2021 61.62 07/21/2021 65.75 9 36.01  Close Signal Minor
 LXRX 07/20/2021 3.52 07/21/2021 3.73 170 34.45  Close Signal Minor
 MCF 07/20/2021 3.62 07/21/2021 3.93 165 49.88  Close Signal Minor
 ABC 07/19/2021 112.60 07/20/2021 116.49 5 18.29  Close Signal Minor
 ABR 07/19/2021 17.29 07/20/2021 17.76 35 15.22  Close Signal Minor
 ACM 07/19/2021 58.83 07/20/2021 61.10 10 21.49  Close Signal Minor
 AAWW 07/16/2021 64.07 07/21/2021 65.48 9 11.52  Close Signal Minor
 AA 07/16/2021 32.95 07/20/2021 34.95 18 34.76  Close Signal Minor
 AAON 07/16/2021 60.75 07/20/2021 61.42 10 5.47  Close Signal Minor
 ACLS 07/16/2021 34.50 07/20/2021 35.50 17 15.80  Close Signal Minor
 ACIW 07/15/2021 35.75 07/20/2021 35.68 17 -2.40  Close Signal Minor
 ALTR 07/15/2021 66.30 07/20/2021 66.72 9 2.58  Close Signal Minor
 ABT 07/15/2021 116.66 07/19/2021 118.79 5 9.47  Close Signal Minor
 ABMD 07/14/2021 312.30 07/16/2021 317.98 1 5.05  Close Signal Minor
 ALKS 07/13/2021 24.44 07/20/2021 23.98 24 -12.20  Close Signal Minor
 NYMX 07/12/2021 1.44 07/22/2021 1.35 424 -39.32  Close Signal Minor
 CMTL 07/12/2021 24.26 07/21/2021 23.43 25 -21.93  Close Signal Minor
 NATH 07/12/2021 68.50 07/21/2021 66.55 8 -16.67  Close Signal Minor
 NCMI 07/12/2021 4.33 07/21/2021 3.70 141 -89.92  Close Signal Minor
 CRY 07/12/2021 27.58 07/20/2021 26.43 22 -26.48  Close Signal Minor
 PEGA 07/12/2021 136.25 07/20/2021 135.08 4 -5.76  Close Signal Minor
 STAA 07/12/2021 142.75 07/19/2021 132.45 4 -42.28  Close Signal Minor
 SGEN 07/12/2021 145.97 07/16/2021 146.39 4 0.51  Close Signal Minor
 HRL 07/12/2021 47.04 07/15/2021 47.85 12 8.58  Close Signal Minor
 SAFM 07/12/2021 181.96 07/15/2021 182.95 3 1.87  Close Signal Minor
 JJSF 07/09/2021 170.53 07/20/2021 168.19 3 -8.03  Close Signal Minor
 MNKD 07/09/2021 4.83 07/20/2021 4.66 126 -22.61  Close Signal Minor
 DRRX 07/09/2021 1.49 07/19/2021 1.40 409 -37.97  Close Signal Minor
 CBB 07/09/2021 15.36 07/16/2021 15.34 39 -1.98  Close Signal Minor
 ICAD 07/09/2021 16.39 07/16/2021 15.42 37 -37.05  Close Signal Minor
 HELE 07/09/2021 215.25 07/15/2021 217.03 2 2.69  Close Signal Minor
 ESCA 07/09/2021 22.57 07/12/2021 23.26 27 17.38  Close Signal Minor
 FOE 07/09/2021 21.25 07/12/2021 21.39 28 2.72  Close Signal Minor

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.



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