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
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:
1/1/2021 - 12/31/2021
The report displays results for the current year only. Please sign up to view the full report.
Total Profit:
$688
Total Trades:
85
Capital Growth: 6.88%
Profit Trades, % of Total: 68%
Profit Factor: [?]
4.68
Avg Trade Duration, days: 2.59
Payoff Ratio: [?]
2.18
Avg Profit per Trade: 1.73%
Max Drawdown: 0%
Avg Profit per Day: 0.67%
Max Drawdown, $:
51
Avg Market Impact: [?]
Restoration Factor: [?]
13.58
Overall Viability Score: [?]
Avg Annual Return:
6.88%
Year Total
Jan Feb
Mar Apr May
Jun Jul Aug
Sep Oct Nov
Dec
2021
6.88
6.88
Symbol
Entry Date
Entry Price, $
Exit Date
Exit Price, $
Shares
Profit, $
Exit On
MI
[?]
01/20/2021
15.80
01/20/2021
15.80
34
-1.07
Period End
01/20/2021
10.04
01/20/2021
10.04
53
-1.06
Period End
01/20/2021
54.59
01/20/2021
54.59
9
-0.98
Period End
01/20/2021
14.26
01/20/2021
14.26
37
-1.06
Period End
01/20/2021
80.20
01/20/2021
80.20
6
-0.96
Period End
01/20/2021
62.42
01/20/2021
62.42
8
-1.00
Period End
01/20/2021
4.68
01/20/2021
4.68
115
-1.08
Period End
01/19/2021
118.95
01/20/2021
120.11
4
3.68
Close Signal
01/19/2021
31.63
01/20/2021
31.94
16
3.94
Close Signal
01/19/2021
56.52
01/20/2021
55.77
9
-7.76
Period End
01/19/2021
118.60
01/20/2021
118.32
4
-2.07
Period End
01/19/2021
151.56
01/20/2021
152.49
3
1.88
Period End
01/19/2021
50.95
01/20/2021
50.62
10
-4.31
Period End
01/19/2021
36.38
01/20/2021
36.67
14
3.04
Period End
01/15/2021
253.65
01/20/2021
261.67
2
15.00
Close Signal
01/15/2021
458.08
01/20/2021
469.73
1
10.72
Close Signal
01/15/2021
34.69
01/20/2021
34.59
15
-2.54
Period End
01/14/2021
24.49
01/20/2021
26.28
21
36.51
Close Signal
01/14/2021
327.14
01/20/2021
332.19
1
4.39
Close Signal
01/14/2021
95.75
01/20/2021
95.72
5
-1.11
Period End
01/14/2021
258.57
01/20/2021
256.21
2
-5.75
Period End
01/14/2021
116.01
01/19/2021
117.40
4
4.62
Close Signal
01/14/2021
2.53
01/19/2021
2.54
210
1.03
Close Signal
01/14/2021
45.75
01/19/2021
46.73
11
9.76
Close Signal
01/14/2021
43.60
01/19/2021
44.40
12
8.54
Close Signal
01/14/2021
318.31
01/15/2021
329.69
1
10.73
Close Signal
01/13/2021
9.07
01/20/2021
8.93
58
-9.16
Close Signal
01/13/2021
20.66
01/20/2021
20.20
25
-12.52
Period End
01/13/2021
4.69
01/20/2021
4.66
112
-4.41
Period End
01/13/2021
522.52
01/19/2021
531.95
1
8.37
Close Signal
01/13/2021
55.97
01/19/2021
56.93
9
7.62
Close Signal
01/12/2021
58.56
01/20/2021
57.64
9
-9.32
Period End
01/12/2021
85.50
01/19/2021
85.79
6
0.71
Close Signal
01/12/2021
45.49
01/15/2021
46.42
11
9.21
Close Signal
01/12/2021
44.07
01/15/2021
44.87
11
7.82
Close Signal
01/12/2021
77.84
01/14/2021
78.83
6
5.00
Close Signal
01/12/2021
4.78
01/13/2021
4.88
110
9.93
Close Signal
01/12/2021
130.32
01/13/2021
131.67
4
4.35
Close Signal
01/11/2021
6.03
01/14/2021
6.51
87
40.65
Close Signal
01/08/2021
33.64
01/14/2021
33.25
15
-6.85
Close Signal
01/08/2021
22.13
01/14/2021
22.14
23
-0.79
Close Signal
01/08/2021
56.40
01/14/2021
55.75
9
-6.86
Close Signal
01/08/2021
10.33
01/14/2021
10.82
51
23.90
Close Signal
01/07/2021
63.53
01/20/2021
59.04
8
-36.88
Period End
01/07/2021
49.96
01/20/2021
48.68
10
-13.78
Period End
01/07/2021
33.78
01/14/2021
34.05
15
3.03
Close Signal
01/07/2021
38.47
01/13/2021
40.24
13
21.98
Close Signal
01/07/2021
51.20
01/12/2021
52.29
10
9.86
Close Signal
01/07/2021
13.36
01/12/2021
13.73
39
13.37
Close Signal
01/07/2021
246.03
01/12/2021
249.04
2
5.03
Close Signal
01/07/2021
159.00
01/11/2021
161.86
3
7.61
Close Signal
01/06/2021
101.53
01/14/2021
102.85
5
5.57
Close Signal
01/06/2021
197.41
01/14/2021
195.55
2
-4.50
Close Signal
01/06/2021
163.25
01/13/2021
168.90
3
15.95
Close Signal
01/06/2021
83.08
01/13/2021
82.90
6
-2.08
Close Signal
01/06/2021
9.74
01/12/2021
9.66
53
-5.27
Close Signal
01/06/2021
466.31
01/08/2021
485.10
1
17.83
Close Signal
01/06/2021
117.80
01/08/2021
122.18
4
16.55
Close Signal
01/06/2021
361.00
01/08/2021
374.46
1
12.72
Close Signal
01/06/2021
124.28
01/07/2021
130.70
4
24.65
Close Signal
01/06/2021
8.63
01/07/2021
8.91
59
15.48
Close Signal
01/06/2021
84.31
01/07/2021
90.05
6
33.38
Close Signal
01/05/2021
66.41
01/07/2021
68.69
7
15.01
Close Signal
01/05/2021
52.03
01/06/2021
53.79
9
14.88
Close Signal
01/05/2021
151.35
01/06/2021
155.08
3
10.27
Close Signal
01/04/2021
23.88
01/12/2021
24.45
20
10.43
Close Signal
01/04/2021
10.27
01/12/2021
9.48
48
-38.85
Close Signal
01/04/2021
32.62
01/12/2021
32.37
15
-4.72
Close Signal
01/04/2021
220.31
01/08/2021
222.04
2
2.57
Close Signal
01/04/2021
19.74
01/07/2021
20.59
25
20.23
Close Signal
01/04/2021
128.10
01/07/2021
139.40
3
33.08
Close Signal
01/04/2021
202.72
01/07/2021
212.71
2
19.14
Close Signal
01/04/2021
27.70
01/07/2021
27.93
18
3.14
Close Signal
01/04/2021
37.12
01/06/2021
39.87
13
34.73
Close Signal
01/04/2021
31.24
01/06/2021
33.16
16
29.67
Close Signal
01/04/2021
42.30
01/06/2021
45.54
11
34.66
Close Signal
01/04/2021
14.65
01/06/2021
15.27
34
20.05
Close Signal
01/04/2021
126.53
01/06/2021
133.97
3
21.53
Close Signal
01/04/2021
25.71
01/06/2021
26.78
19
19.32
Close Signal
01/04/2021
5.59
01/06/2021
6.02
89
37.22
Close Signal
01/04/2021
21.66
01/06/2021
23.23
23
35.06
Close Signal
01/04/2021
16.80
01/06/2021
17.77
29
27.11
Close Signal
01/04/2021
3.80
01/05/2021
3.99
131
23.86
Close Signal
01/04/2021
30.66
01/05/2021
31.77
16
16.75
Close Signal
01/04/2021
85.93
01/05/2021
88.45
5
11.72
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.