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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: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $6,235   Total Trades: 876  
Capital Growth:62.3%   Profit Trades, % of Total:64%  
Profit Factor: [?] 1.40  Avg Trade Duration, days:4.13  
Payoff Ratio: [?] 0.80   Avg Profit per Trade:1.65%  
Max Drawdown:57%   Avg Profit per Day:0.4%  
Restoration Factor: [?] 1.08   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: 62.3%   Overall Viability Score: [?]
6 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 62.35 -9.37 -7.49 15.27 28.94 8.31 13.98 -1.89 12.28 -4.20
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 CNX 09/29/2020 9.50 09/29/2020 9.50 87 -1.65  Period End Minor
 COG 09/29/2020 17.39 09/29/2020 17.39 47 -1.63  Period End Minor
 FL 09/28/2020 32.39 09/29/2020 31.58 25 -21.84  Period End Minor
 GCO 09/28/2020 22.36 09/29/2020 20.85 36 -55.89  Period End Minor
 GLNG 09/28/2020 6.06 09/29/2020 5.99 136 -11.15  Period End Minor
 M 09/28/2020 5.96 09/29/2020 5.62 138 -48.49  Period End Minor
 MPX 09/28/2020 15.34 09/29/2020 15.35 53 -1.10  Period End Minor
 NBIX 09/28/2020 97.40 09/29/2020 98.00 8 3.23  Period End Minor
 NCMI 09/28/2020 2.61 09/29/2020 2.54 316 -23.74  Period End Minor
 NKTR 09/28/2020 16.84 09/29/2020 16.78 49 -4.59  Period End Minor
 RAD 09/28/2020 9.78 09/29/2020 9.67 84 -10.87  Period End Minor
 SBH 09/28/2020 9.06 09/29/2020 8.74 91 -30.73  Period End Minor
 SFL 09/28/2020 7.55 09/29/2020 7.41 109 -16.88  Period End Minor
 STSA 09/28/2020 4.03 09/29/2020 3.92 205 -24.17  Period End Minor
 ALSK 09/25/2020 1.93 09/29/2020 1.96 441 11.51  Period End Minor
 APA 09/25/2020 9.85 09/29/2020 9.56 86 -26.60  Period End Minor
 BJRI 09/25/2020 30.03 09/29/2020 29.11 28 -27.40  Period End Minor
 BKR 09/25/2020 13.13 09/29/2020 13.04 64 -7.43  Period End Minor
 CAMP 09/25/2020 7.33 09/29/2020 7.45 116 12.20  Period End Minor
 CAR 09/25/2020 27.21 09/29/2020 25.78 31 -45.95  Period End Minor
 AGX 09/25/2020 41.64 09/28/2020 42.50 20 15.51  Close Signal Minor
 BWA 09/25/2020 36.81 09/28/2020 38.01 23 25.87  Close Signal Minor
 ACN 09/24/2020 214.42 09/29/2020 223.08 4 32.87  Close Signal Minor
 ABT 09/24/2020 100.92 09/28/2020 104.44 8 26.50  Close Signal Minor
 ACTG 09/22/2020 3.52 09/28/2020 3.51 250 -4.26  Close Signal Minor
 ABCB 09/22/2020 21.52 09/25/2020 21.91 40 13.85  Close Signal Minor
 AEL 09/22/2020 20.08 09/25/2020 19.99 43 -5.59  Close Signal Minor
 AA 09/21/2020 12.30 09/28/2020 12.24 71 -6.00  Close Signal Minor
 ABG 09/18/2020 98.28 09/28/2020 98.66 8 1.46  Close Signal Minor
 AMWD 09/18/2020 78.45 09/28/2020 78.30 11 -3.37  Close Signal Minor
 AAPL 09/18/2020 106.84 09/22/2020 111.81 8 37.99  Close Signal Minor
 AXL 09/17/2020 6.27 09/28/2020 5.60 138 -94.05  Close Signal Minor
 CBU 09/17/2020 57.58 09/28/2020 54.43 15 -48.91  Close Signal Minor
 CNMD 09/17/2020 82.90 09/25/2020 76.94 10 -61.17  Close Signal Minor
 AROW 09/17/2020 26.73 09/18/2020 27.47 32 21.93  Close Signal Minor
 CBRL 09/16/2020 124.97 09/25/2020 116.34 6 -53.20  Close Signal Minor
 CENT 09/16/2020 38.46 09/25/2020 37.80 22 -16.19  Close Signal Minor
 CORE 09/16/2020 31.30 09/25/2020 28.25 27 -83.92  Close Signal Minor
 CTB 09/16/2020 33.58 09/25/2020 30.15 25 -87.30  Close Signal Minor
 AMSF 09/16/2020 60.73 09/24/2020 56.96 14 -54.40  Close Signal Minor
 COKE 09/16/2020 254.73 09/24/2020 239.73 3 -46.46  Close Signal Minor
 AWR 09/16/2020 72.36 09/21/2020 74.37 12 22.35  Close Signal Minor
 CVM 09/16/2020 12.78 09/18/2020 14.34 68 104.18  Close Signal Minor
 C 09/14/2020 48.15 09/28/2020 43.34 18 -88.18  Close Signal Minor
 CTBI 09/14/2020 30.29 09/28/2020 29.01 28 -37.48  Close Signal Minor
 DRQ 09/14/2020 27.48 09/28/2020 24.38 31 -97.66  Close Signal Minor
 CRMT 09/14/2020 87.90 09/22/2020 88.79 9 6.42  Close Signal Minor
 CVCO 09/14/2020 176.75 09/22/2020 172.35 4 -18.99  Close Signal Minor
 ATNI 09/14/2020 49.86 09/18/2020 52.18 17 37.69  Close Signal Minor
 CAH 09/14/2020 47.05 09/17/2020 47.30 18 2.80  Close Signal Minor
 CBB 09/14/2020 15.02 09/17/2020 15.04 57 -0.57  Close Signal Minor
 CONN 09/14/2020 9.63 09/17/2020 10.19 90 48.59  Close Signal Minor
 ALSK 09/14/2020 2.15 09/16/2020 2.20 404 18.43  Close Signal Minor
 ANIK 09/14/2020 36.26 09/16/2020 37.08 23 17.16  Close Signal Minor
 AVA 09/14/2020 34.22 09/16/2020 35.25 25 24.00  Close Signal Minor
 BOOM 09/14/2020 32.45 09/16/2020 33.81 26 33.62  Close Signal Minor
 CRAI 09/14/2020 39.62 09/16/2020 40.28 21 12.18  Close Signal Minor
 CRY 09/14/2020 16.35 09/16/2020 16.75 53 19.44  Close Signal Minor
 AIV 09/11/2020 34.98 09/14/2020 37.48 24 58.23  Close Signal Minor
 ACAD 09/10/2020 36.42 09/14/2020 38.61 23 48.62  Close Signal Minor
 ACLS 09/10/2020 20.83 09/14/2020 21.33 41 18.76  Close Signal Minor
 ALE 09/10/2020 50.36 09/14/2020 51.58 17 19.00  Close Signal Minor
 ACIW 09/09/2020 24.91 09/14/2020 26.19 34 41.76  Close Signal Minor
 AIR 09/09/2020 18.63 09/14/2020 19.01 46 15.74  Close Signal Minor
 AMAG 09/09/2020 8.97 09/14/2020 9.39 97 38.94  Close Signal Minor
 AAPL 09/08/2020 112.82 09/14/2020 115.36 7 16.17  Close Signal Minor
 ABMD 09/08/2020 268.19 09/14/2020 275.70 3 20.89  Close Signal Minor
 BBSI 09/04/2020 54.01 09/14/2020 53.13 16 -15.79  Close Signal Minor
 AGYS 09/04/2020 23.92 09/10/2020 24.66 36 24.88  Close Signal Minor
 ATVI 09/04/2020 79.01 09/10/2020 79.09 11 -0.86  Close Signal Minor
 ARNA 09/03/2020 66.01 09/14/2020 67.19 13 13.60  Close Signal Minor
 CLR 09/02/2020 16.41 09/16/2020 13.97 52 -128.40  Close Signal Minor
 EQT 09/02/2020 15.06 09/16/2020 14.76 57 -18.79  Close Signal Minor
 CRK 09/02/2020 5.25 09/14/2020 4.98 165 -46.22  Close Signal Minor
 APT 09/02/2020 13.43 09/10/2020 12.98 64 -30.48  Close Signal Minor
 ALCO 09/02/2020 30.22 09/09/2020 30.70 28 11.73  Close Signal Minor
 COG 09/02/2020 18.17 09/09/2020 18.58 47 17.53  Close Signal Minor
 ENZ 09/02/2020 2.06 09/08/2020 2.16 420 40.21  Close Signal Minor
 CNSL 09/01/2020 7.68 09/28/2020 5.84 112 -207.49  Close Signal Minor
 CVS 09/01/2020 60.28 09/17/2020 58.41 14 -27.83  Close Signal Minor
 AM 09/01/2020 6.43 09/14/2020 5.72 134 -96.72  Close Signal Minor
 BMY 09/01/2020 60.97 09/11/2020 58.99 14 -29.39  Close Signal Minor
 COLB 09/01/2020 27.58 09/04/2020 27.87 31 7.27  Close Signal Minor
 DISCA 09/01/2020 21.42 09/04/2020 22.81 40 53.80  Close Signal Minor
 BKR 09/01/2020 13.88 09/03/2020 14.55 62 39.76  Close Signal Minor
 ABC 09/01/2020 94.30 09/02/2020 98.29 9 34.16  Close Signal Minor
 CACC 08/31/2020 386.80 09/25/2020 303.29 2 -168.32  Close Signal Minor
 ACTG 08/31/2020 3.80 09/04/2020 3.80 226 -1.72  Close Signal Minor
 ADTN 08/31/2020 11.09 09/02/2020 11.44 77 25.20  Close Signal Minor
 ARE 08/31/2020 168.38 09/02/2020 170.37 5 8.25  Close Signal Minor
 ATRI 08/31/2020 631.72 09/02/2020 658.00 1 24.98  Close Signal Minor
 ASH 08/31/2020 73.69 09/01/2020 75.96 11 23.31  Close Signal Minor
 EBS 08/28/2020 117.59 09/14/2020 104.17 7 -95.45  Close Signal Minor
 AMSWA 08/28/2020 14.82 09/09/2020 13.94 57 -51.77  Close Signal Minor
 AAON 08/28/2020 57.49 09/02/2020 57.79 14 2.58  Close Signal Minor
 CPSI 08/28/2020 27.37 09/02/2020 27.50 31 2.33  Close Signal Minor
 DHI 08/28/2020 71.84 09/01/2020 73.36 11 15.11  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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