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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: 0.1%  
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: $4,822   Total Trades: 596  
Capital Growth:48.2%   Profit Trades, % of Total:63%  
Profit Factor: [?] 1.40  Avg Trade Duration, days:4.19  
Payoff Ratio: [?] 0.84   Avg Profit per Trade:2.11%  
Max Drawdown:57%   Avg Profit per Day:0.5%  
Restoration Factor: [?] 0.84   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: 48.2%   Overall Viability Score: [?]
5 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 48.22 -9.38 -7.49 15.25 28.96 8.32 13.99 -3.66
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 AGEN 07/10/2020 3.79 07/10/2020 3.79 207 -1.57  Period End Minor
 AUBN 07/10/2020 50.85 07/10/2020 50.85 15 -1.53  Period End Minor
 CNC 07/10/2020 62.84 07/10/2020 62.84 12 -1.51  Period End Minor
 EZPW 07/10/2020 5.56 07/10/2020 5.56 141 -1.57  Period End Minor
 FC 07/10/2020 18.60 07/10/2020 18.60 42 -1.56  Period End Minor
 ABM 07/08/2020 32.99 07/10/2020 33.03 24 -0.62  Period End Minor
 AE 07/08/2020 25.28 07/10/2020 24.47 31 -26.65  Period End Minor
 AAP 07/07/2020 136.68 07/10/2020 134.45 5 -12.51  Period End Minor
 ABR 07/07/2020 8.14 07/10/2020 7.94 97 -20.96  Period End Minor
 LQDT 07/06/2020 5.47 07/10/2020 5.35 144 -18.84  Close Signal Minor
 FSFG 07/06/2020 42.28 07/10/2020 41.00 18 -24.54  Close Signal Minor
 WGO 07/06/2020 63.14 07/10/2020 60.81 12 -29.45  Period End Minor
 IPI 07/06/2020 0.933 07/10/2020 0.783 846 -128.35  Period End Minor
 AVEO 07/06/2020 4.79 07/10/2020 4.16 164 -104.79  Period End Minor
 ESSA 07/02/2020 13.26 07/10/2020 13.16 59 -7.46  Close Signal Minor
 GCI 07/02/2020 1.27 07/10/2020 1.21 622 -38.86  Close Signal Minor
 ACRX 07/02/2020 1.14 07/10/2020 1.05 693 -63.89  Period End Minor
 WMC 07/02/2020 2.51 07/10/2020 2.22 315 -92.84  Period End Minor
 BXMT 07/02/2020 23.19 07/10/2020 21.71 34 -51.85  Period End Minor
 CLVS 07/02/2020 6.61 07/08/2020 6.75 119 15.07  Close Signal Minor
 BLX 07/01/2020 11.14 07/10/2020 11.04 69 -8.43  Close Signal Minor
 FUNC 07/01/2020 13.19 07/10/2020 11.61 59 -94.68  Period End Minor
 GSB 07/01/2020 9.49 07/10/2020 8.44 82 -87.57  Period End Minor
 FCCO 07/01/2020 14.77 07/06/2020 15.13 52 17.17  Close Signal Minor
 IIVI 07/01/2020 43.51 07/06/2020 46.15 17 43.36  Close Signal Minor
 HOME 06/30/2020 6.49 07/10/2020 5.96 120 -65.09  Period End Minor
 JCOM 06/30/2020 63.21 07/10/2020 56.99 12 -76.08  Period End Minor
 STXS 06/30/2020 4.46 07/10/2020 4.08 175 -67.99  Period End Minor
 LNDC 06/30/2020 7.96 07/07/2020 8.10 98 12.15  Close Signal Minor
 MNTA 06/30/2020 33.27 07/07/2020 33.76 23 9.73  Close Signal Minor
 ARAY 06/30/2020 2.03 07/02/2020 2.17 384 52.15  Close Signal Minor
 PNRG 06/30/2020 71.09 07/02/2020 75.24 10 40.04  Close Signal Minor
 CRC 06/29/2020 1.26 07/08/2020 1.28 617 10.77  Close Signal Minor
 BTU 06/29/2020 2.96 07/06/2020 2.89 262 -19.87  Close Signal Minor
 ASUR 06/29/2020 6.22 07/02/2020 6.68 125 55.89  Close Signal Minor
 BOOM 06/29/2020 27.01 07/02/2020 27.54 28 13.31  Close Signal Minor
 PCG 06/29/2020 9.06 07/02/2020 9.44 85 30.73  Close Signal Minor
 PETS 06/29/2020 33.26 07/02/2020 35.64 23 53.16  Close Signal Minor
 AM 06/29/2020 5.01 07/01/2020 5.19 155 26.32  Close Signal Minor
 MORN 06/29/2020 140.63 07/01/2020 149.42 5 42.50  Close Signal Minor
 RIG 06/29/2020 1.78 07/01/2020 1.84 437 24.64  Close Signal Minor
 COO 06/29/2020 270.93 06/30/2020 283.64 2 24.31  Close Signal Minor
 CXO 06/29/2020 50.00 06/30/2020 51.50 15 20.98  Close Signal Minor
 PBH 06/29/2020 36.63 06/30/2020 37.56 21 17.97  Close Signal Minor
 PPC 06/29/2020 16.31 06/30/2020 16.89 47 25.70  Close Signal Minor
 ABMD 06/26/2020 239.27 06/30/2020 241.56 3 5.43  Close Signal Minor
 ACOR 06/25/2020 0.745 07/06/2020 0.743 1,060 -3.49  Close Signal Minor
 CMLS 06/23/2020 4.75 07/01/2020 4.45 166 -51.33  Close Signal Minor
 CDZI 06/23/2020 10.40 06/30/2020 10.16 75 -19.54  Close Signal Minor
 AHT 06/23/2020 0.73 06/29/2020 0.86 1,082 138.83  Close Signal Minor
 CBU 06/23/2020 55.26 06/29/2020 55.75 14 5.31  Close Signal Minor
 CE 06/23/2020 85.87 06/29/2020 85.39 9 -5.86  Close Signal Minor
 AGYS 06/22/2020 18.42 06/29/2020 18.09 43 -15.76  Close Signal Minor
 AYI 06/22/2020 89.32 06/29/2020 89.33 8 -1.35  Close Signal Minor
 BCO 06/22/2020 43.54 06/29/2020 45.82 18 39.43  Close Signal Minor
 ACGL 06/19/2020 29.33 06/30/2020 28.65 27 -19.93  Close Signal Minor
 AEE 06/19/2020 69.80 06/29/2020 69.73 11 -2.30  Close Signal Minor
 AGO 06/19/2020 24.87 06/23/2020 25.72 32 25.58  Close Signal Minor
 ADES 06/19/2020 4.63 06/22/2020 4.94 172 51.67  Close Signal Minor
 BGG 06/18/2020 1.63 06/26/2020 1.46 490 -84.81  Close Signal Minor
 COG 06/17/2020 18.89 07/01/2020 17.00 42 -80.89  Close Signal Minor
 CXW 06/17/2020 10.43 06/29/2020 9.53 76 -69.92  Close Signal Minor
 HE 06/17/2020 36.39 06/29/2020 35.89 21 -12.02  Close Signal Minor
 PHX 06/17/2020 3.22 06/29/2020 2.79 246 -107.26  Close Signal Minor
 TK 06/17/2020 2.53 06/29/2020 2.41 314 -39.23  Close Signal Minor
 TNK 06/17/2020 14.26 06/29/2020 13.31 55 -53.77  Close Signal Minor
 TWIN 06/17/2020 5.60 06/25/2020 5.54 141 -10.03  Close Signal Minor
 GHM 06/17/2020 12.15 06/23/2020 12.05 65 -8.07  Close Signal Minor
 IMMR 06/17/2020 6.21 06/23/2020 6.07 128 -19.49  Close Signal Minor
 GFN 06/17/2020 5.90 06/19/2020 6.38 134 62.67  Close Signal Minor
 PBYI 06/17/2020 9.00 06/18/2020 10.14 88 98.64  Close Signal Minor
 OSG 06/16/2020 2.09 07/06/2020 1.95 380 -54.74  Close Signal Minor
 WU 06/16/2020 21.99 06/29/2020 21.30 36 -26.40  Close Signal Minor
 ARVN 06/16/2020 30.48 06/22/2020 32.36 26 47.25  Close Signal Minor
 FCN 06/16/2020 104.25 06/17/2020 106.38 7 13.44  Close Signal Minor
 CETV 06/15/2020 3.63 06/22/2020 3.62 219 -3.78  Close Signal Minor
 BIIB 06/15/2020 278.49 06/17/2020 281.46 2 4.82  Close Signal Minor
 CI 06/15/2020 187.13 06/17/2020 191.80 4 17.16  Close Signal Minor
 BMY 06/15/2020 55.10 06/16/2020 57.06 14 25.87  Close Signal Minor
 AMAG 06/12/2020 7.10 06/19/2020 7.31 112 21.91  Close Signal Minor
 VALU 06/10/2020 27.17 06/23/2020 23.31 29 -113.40  Close Signal Minor
 USAT 06/10/2020 6.37 06/19/2020 6.00 125 -47.80  Close Signal Minor
 AVA 06/10/2020 38.59 06/16/2020 37.48 20 -23.72  Close Signal Minor
 BKD 06/10/2020 3.47 06/16/2020 3.40 230 -17.68  Close Signal Minor
 CASY 06/10/2020 156.40 06/16/2020 155.01 5 -8.51  Close Signal Minor
 DGX 06/10/2020 114.31 06/16/2020 113.87 7 -4.68  Close Signal Minor
 DRI 06/10/2020 77.77 06/16/2020 76.71 10 -12.14  Close Signal Minor
 FLIR 06/10/2020 44.47 06/16/2020 43.13 18 -25.70  Close Signal Minor
 FLWS 06/10/2020 21.72 06/16/2020 22.59 36 29.72  Close Signal Minor
 MLAB 06/10/2020 222.31 06/15/2020 226.72 3 11.88  Close Signal Minor
 ADUS 06/10/2020 95.26 06/15/2020 94.57 8 -7.04  Close Signal Minor
 QLYS 06/09/2020 107.38 06/17/2020 103.20 7 -30.73  Close Signal Minor
 WMK 06/09/2020 49.16 06/16/2020 49.11 16 -2.37  Close Signal Minor
 GNE 06/09/2020 7.89 06/16/2020 7.66 99 -24.31  Close Signal Minor
 TYL 06/09/2020 355.61 06/10/2020 363.83 2 15.00  Close Signal Minor
 WERN 06/09/2020 41.48 06/10/2020 42.99 18 25.66  Close Signal Minor
 CHGG 06/09/2020 56.90 06/10/2020 58.84 13 23.72  Close Signal Minor



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