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:

1/1/2021 - 12/31/2021

The report displays results for the current year only. Please sign up to view the full report.

Results

Total Profit:

$688

Total Trades:

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:

Avg Profit per Day:

0.67%

Max Drawdown, $:

Avg Market Impact: [?]

Minor

Restoration Factor: [?]

13.58

Overall Viability Score: [?]

10 / 10

Avg Annual Return:

6.88%

Equity Graph

Performance

Year

Total

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

2021

6.88

Export

Performed Trades:

All

Symbol	Entry Date	Entry Price, $	Exit Date	Exit Price, $	Shares	Profit, $	Exit On	MI [?]
BLX	01/20/2021	15.80	01/20/2021	15.80	34	-1.07	Period End
BOCH	01/20/2021	10.04	01/20/2021	10.04	53	-1.06	Period End
CAH	01/20/2021	54.59	01/20/2021	54.59	9	-0.98	Period End
CBAN	01/20/2021	14.26	01/20/2021	14.26	37	-1.06	Period End
CL	01/20/2021	80.20	01/20/2021	80.20	6	-0.96	Period End
CNC	01/20/2021	62.42	01/20/2021	62.42	8	-1.00	Period End
CRK	01/20/2021	4.68	01/20/2021	4.68	115	-1.08	Period End
AME	01/19/2021	118.95	01/20/2021	120.11	4	3.68	Close Signal
BFS	01/19/2021	31.63	01/20/2021	31.94	16	3.94	Close Signal
AIMC	01/19/2021	56.52	01/20/2021	55.77	9	-7.76	Period End
BCPC	01/19/2021	118.60	01/20/2021	118.32	4	-2.07	Period End
BR	01/19/2021	151.56	01/20/2021	152.49	3	1.88	Period End
BRC	01/19/2021	50.95	01/20/2021	50.62	10	-4.31	Period End
CALM	01/19/2021	36.38	01/20/2021	36.67	14	3.04	Period End
ACN	01/15/2021	253.65	01/20/2021	261.67	2	15.00	Close Signal
ADBE	01/15/2021	458.08	01/20/2021	469.73	1	10.72	Close Signal
ACGL	01/15/2021	34.69	01/20/2021	34.59	15	-2.54	Period End
AMSC	01/14/2021	24.49	01/20/2021	26.28	21	36.51	Close Signal
CTAS	01/14/2021	327.14	01/20/2021	332.19	1	4.39	Close Signal
CCK	01/14/2021	95.75	01/20/2021	95.72	5	-1.11	Period End
COKE	01/14/2021	258.57	01/20/2021	256.21	2	-5.75	Period End
AJG	01/14/2021	116.01	01/19/2021	117.40	4	4.62	Close Signal
ANH	01/14/2021	2.53	01/19/2021	2.54	210	1.03	Close Signal
BRO	01/14/2021	45.75	01/19/2021	46.73	11	9.76	Close Signal
CSGS	01/14/2021	43.60	01/19/2021	44.40	12	8.54	Close Signal
ABMD	01/14/2021	318.31	01/15/2021	329.69	1	10.73	Close Signal
CDE	01/13/2021	9.07	01/20/2021	8.93	58	-9.16	Close Signal
CIZN	01/13/2021	20.66	01/20/2021	20.20	25	-12.52	Period End
EZPW	01/13/2021	4.69	01/20/2021	4.66	112	-4.41	Period End
CHE	01/13/2021	522.52	01/19/2021	531.95	1	8.37	Close Signal
CWST	01/13/2021	55.97	01/19/2021	56.93	9	7.62	Close Signal
K	01/12/2021	58.56	01/20/2021	57.64	9	-9.32	Period End
BKI	01/12/2021	85.50	01/19/2021	85.79	6	0.71	Close Signal
CPB	01/12/2021	45.49	01/15/2021	46.42	11	9.21	Close Signal
HRL	01/12/2021	44.07	01/15/2021	44.87	11	7.82	Close Signal
AEP	01/12/2021	77.84	01/14/2021	78.83	6	5.00	Close Signal
AIV	01/12/2021	4.78	01/13/2021	4.88	110	9.93	Close Signal
KMB	01/12/2021	130.32	01/13/2021	131.67	4	4.35	Close Signal
AWH	01/11/2021	6.03	01/14/2021	6.51	87	40.65	Close Signal
ECPG	01/08/2021	33.64	01/14/2021	33.25	15	-6.85	Close Signal
FLO	01/08/2021	22.13	01/14/2021	22.14	23	-0.79	Close Signal
GIS	01/08/2021	56.40	01/14/2021	55.75	9	-6.86	Close Signal
REV	01/08/2021	10.33	01/14/2021	10.82	51	23.90	Close Signal
FCFS	01/07/2021	63.53	01/20/2021	59.04	8	-36.88	Period End
KO	01/07/2021	49.96	01/20/2021	48.68	10	-13.78	Period End
CAG	01/07/2021	33.78	01/14/2021	34.05	15	3.03	Close Signal
PNRG	01/07/2021	38.47	01/13/2021	40.24	13	21.98	Close Signal
AAWW	01/07/2021	51.20	01/12/2021	52.29	10	9.86	Close Signal
ATEC	01/07/2021	13.36	01/12/2021	13.73	39	13.37	Close Signal
FDX	01/07/2021	246.03	01/12/2021	249.04	2	5.03	Close Signal
UPS	01/07/2021	159.00	01/11/2021	161.86	3	7.61	Close Signal
AKAM	01/06/2021	101.53	01/14/2021	102.85	5	5.57	Close Signal
CLX	01/06/2021	197.41	01/14/2021	195.55	2	-4.50	Close Signal
ARE	01/06/2021	163.25	01/13/2021	168.90	3	15.95	Close Signal
FIZZ	01/06/2021	83.08	01/13/2021	82.90	6	-2.08	Close Signal
INFN	01/06/2021	9.74	01/12/2021	9.66	53	-5.27	Close Signal
ADBE	01/06/2021	466.31	01/08/2021	485.10	1	17.83	Close Signal
CPRT	01/06/2021	117.80	01/08/2021	122.18	4	16.55	Close Signal
INTU	01/06/2021	361.00	01/08/2021	374.46	1	12.72	Close Signal
EXAS	01/06/2021	124.28	01/07/2021	130.70	4	24.65	Close Signal
GEO	01/06/2021	8.63	01/07/2021	8.91	59	15.48	Close Signal
INCY	01/06/2021	84.31	01/07/2021	90.05	6	33.38	Close Signal
DHI	01/05/2021	66.41	01/07/2021	68.69	7	15.01	Close Signal
ACAD	01/05/2021	52.03	01/06/2021	53.79	9	14.88	Close Signal
CSL	01/05/2021	151.35	01/06/2021	155.08	3	10.27	Close Signal
AE	01/04/2021	23.88	01/12/2021	24.45	20	10.43	Close Signal
ARL	01/04/2021	10.27	01/12/2021	9.48	48	-38.85	Close Signal
CUZ	01/04/2021	32.62	01/12/2021	32.37	15	-4.72	Close Signal
CRM	01/04/2021	220.31	01/08/2021	222.04	2	2.57	Close Signal
ALKS	01/04/2021	19.74	01/07/2021	20.59	25	20.23	Close Signal
ALNY	01/04/2021	128.10	01/07/2021	139.40	3	33.08	Close Signal
BA	01/04/2021	202.72	01/07/2021	212.71	2	19.14	Close Signal
BGS	01/04/2021	27.70	01/07/2021	27.93	18	3.14	Close Signal
AGYS	01/04/2021	37.12	01/06/2021	39.87	13	34.73	Close Signal
BFS	01/04/2021	31.24	01/06/2021	33.16	16	29.67	Close Signal
BIG	01/04/2021	42.30	01/06/2021	45.54	11	34.66	Close Signal
BZH	01/04/2021	14.65	01/06/2021	15.27	34	20.05	Close Signal
CBRL	01/04/2021	126.53	01/06/2021	133.97	3	21.53	Close Signal
CBZ	01/04/2021	25.71	01/06/2021	26.78	19	19.32	Close Signal
CIA	01/04/2021	5.59	01/06/2021	6.02	89	37.22	Close Signal
CNO	01/04/2021	21.66	01/06/2021	23.23	23	35.06	Close Signal
CVLY	01/04/2021	16.80	01/06/2021	17.77	29	27.11	Close Signal
ACTG	01/04/2021	3.80	01/05/2021	3.99	131	23.86	Close Signal
APOG	01/04/2021	30.66	01/05/2021	31.77	16	16.75	Close Signal
AVAV	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.