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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: $990   Total Trades: 371  
Capital Growth:9.9%   Profit Trades, % of Total:65%  
Profit Factor: [?] 1.33  Avg Trade Duration, days:3.83  
Payoff Ratio: [?] 0.72   Avg Profit per Trade:0.57%  
Max Drawdown:5%   Avg Profit per Day:0.15%  
Max Drawdown, $: 608   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 1.63   Overall Viability Score: [?]
5 / 10
 
Avg Annual Return: 9.9%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 9.90 11.04 -7.19 8.71 -1.90
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 CECE 04/16/2021 7.71 04/20/2021 7.71 76 -1.17  Period End Minor
 CUTR 04/16/2021 30.17 04/20/2021 27.78 19 -46.49  Period End Minor
 DAL 04/16/2021 46.64 04/20/2021 44.12 12 -31.31  Period End Minor
 GCI 04/16/2021 4.86 04/20/2021 4.67 121 -24.13  Period End Minor
 PCTI 04/16/2021 6.57 04/20/2021 6.52 90 -5.68  Period End Minor
 AMSC 04/15/2021 16.67 04/20/2021 15.53 35 -41.01  Period End Minor
 AVAV 04/15/2021 109.11 04/20/2021 102.88 5 -32.19  Period End Minor
 CVCO 04/15/2021 217.50 04/16/2021 224.02 2 12.15  Close Signal Minor
 BBBY 04/14/2021 24.52 04/20/2021 24.63 23 1.40  Period End Minor
 CYH 04/14/2021 10.20 04/20/2021 9.53 57 -39.30  Period End Minor
 DISCA 04/14/2021 38.38 04/20/2021 35.68 15 -41.59  Period End Minor
 FCAP 04/14/2021 46.55 04/20/2021 45.75 12 -10.70  Period End Minor
 FCEL 04/14/2021 11.03 04/20/2021 8.77 53 -120.77  Period End Minor
 FSTR 04/14/2021 17.27 04/20/2021 16.27 34 -35.12  Period End Minor
 HA 04/14/2021 25.43 04/20/2021 23.53 23 -44.80  Period End Minor
 HOFT 04/14/2021 35.31 04/20/2021 34.12 16 -20.14  Period End Minor
 CTXS 04/14/2021 137.76 04/16/2021 140.50 4 9.84  Close Signal Minor
 FLWS 04/14/2021 25.77 04/16/2021 26.24 22 9.19  Close Signal Minor
 HSY 04/14/2021 158.19 04/15/2021 160.90 3 7.17  Close Signal Minor
 ATRO 04/13/2021 17.57 04/20/2021 16.70 33 -29.83  Period End Minor
 AGM 04/13/2021 97.45 04/16/2021 101.06 6 20.46  Close Signal Minor
 BHE 04/13/2021 30.15 04/16/2021 30.48 19 5.11  Close Signal Minor
 ATI 04/13/2021 21.61 04/14/2021 22.11 27 12.31  Close Signal Minor
 AUBN 04/12/2021 37.10 04/20/2021 35.34 15 -27.47  Period End Minor
 ALKS 04/12/2021 18.78 04/14/2021 19.23 31 12.76  Close Signal Minor
 BELFB 04/12/2021 18.74 04/14/2021 19.00 31 6.89  Close Signal Minor
 ARNA 04/12/2021 64.76 04/13/2021 66.40 9 13.57  Close Signal Minor
 AM 04/09/2021 8.53 04/14/2021 8.65 68 6.99  Close Signal Minor
 AEE 04/09/2021 80.53 04/13/2021 82.28 7 11.10  Close Signal Minor
 ADS 04/09/2021 109.81 04/12/2021 111.70 5 8.34  Close Signal Minor
 BGS 04/09/2021 29.53 04/12/2021 30.01 19 7.98  Close Signal Minor
 ADES 04/08/2021 5.36 04/20/2021 4.88 108 -52.92  Period End Minor
 APOG 04/08/2021 35.29 04/14/2021 36.21 16 13.57  Close Signal Minor
 ALCO 04/07/2021 28.89 04/14/2021 29.20 20 5.04  Close Signal Minor
 CVLY 04/07/2021 17.85 04/14/2021 17.82 32 -2.10  Close Signal Minor
 BCPC 04/07/2021 120.87 04/13/2021 122.15 4 4.15  Close Signal Minor
 BIIB 04/07/2021 268.02 04/13/2021 266.19 2 -4.73  Close Signal Minor
 CHRS 04/06/2021 14.04 04/15/2021 14.24 41 7.04  Close Signal Minor
 PCRX 04/06/2021 67.49 04/14/2021 69.43 8 14.42  Close Signal Minor
 PFSI 04/06/2021 59.90 04/14/2021 59.19 9 -7.46  Close Signal Minor
 ECPG 04/06/2021 38.70 04/12/2021 39.00 14 3.11  Close Signal Minor
 HUM 04/06/2021 407.33 04/09/2021 417.74 1 9.58  Close Signal Minor
 MRK 04/06/2021 75.79 04/09/2021 76.31 7 2.57  Close Signal Minor
 EBMT 04/06/2021 23.48 04/09/2021 23.52 24 -0.17  Close Signal Minor
 AC 04/06/2021 33.46 04/08/2021 34.66 17 19.23  Close Signal Minor
 LNG 04/06/2021 70.73 04/07/2021 73.66 8 22.27  Close Signal Minor
 TMDX 04/05/2021 34.52 04/20/2021 25.29 16 -148.56  Period End Minor
 CWCO 04/05/2021 12.98 04/15/2021 13.15 44 6.33  Close Signal Minor
 ACAD 04/05/2021 21.18 04/14/2021 21.28 27 1.55  Close Signal Minor
 SB 04/05/2021 2.37 04/14/2021 2.27 243 -25.42  Close Signal Minor
 FCCO 04/05/2021 18.98 04/08/2021 19.40 30 11.44  Close Signal Minor
 EGLE 04/05/2021 34.02 04/07/2021 36.43 16 37.41  Close Signal Minor
 CKH 04/05/2021 40.43 04/06/2021 41.51 14 13.97  Close Signal Minor
 MMAC 04/01/2021 20.23 04/20/2021 16.81 28 -96.75  Period End Minor
 LBRDK 04/01/2021 149.14 04/12/2021 149.45 3 0.03  Close Signal Minor
 LBRDA 04/01/2021 143.59 04/09/2021 143.54 3 -1.01  Close Signal Minor
 ATUS 04/01/2021 32.08 04/06/2021 32.69 17 9.26  Close Signal Minor
 EIX 04/01/2021 58.29 04/05/2021 59.81 9 12.61  Close Signal Minor
 DOX 03/31/2021 70.15 04/07/2021 72.85 8 20.45  Close Signal Minor
 CALM 03/31/2021 38.42 04/06/2021 39.13 15 9.48  Close Signal Minor
 CMCSA 03/31/2021 54.11 04/05/2021 54.80 10 5.81  Close Signal Minor
 FBIZ 03/31/2021 24.73 04/05/2021 25.16 23 8.74  Close Signal Minor
 HAE 03/31/2021 111.01 04/05/2021 114.21 5 14.87  Close Signal Minor
 PRGO 03/30/2021 41.22 04/06/2021 40.96 14 -4.79  Close Signal Minor
 ILMN 03/30/2021 368.96 04/05/2021 384.54 1 14.82  Close Signal Minor
 TCX 03/30/2021 78.71 04/05/2021 80.10 7 8.61  Close Signal Minor
 FCAP 03/30/2021 49.14 04/01/2021 51.14 11 20.89  Close Signal Minor
 LCI 03/30/2021 5.30 04/01/2021 5.74 109 46.73  Close Signal Minor
 VNDA 03/30/2021 14.88 04/01/2021 15.71 38 30.36  Close Signal Minor
 AMSC 03/29/2021 17.16 03/31/2021 18.96 33 58.18  Close Signal Minor
 ALSK 03/29/2021 3.24 03/30/2021 3.28 177 5.92  Close Signal Minor
 JEF 03/26/2021 31.10 04/07/2021 31.34 18 3.19  Close Signal Minor
 SENEA 03/26/2021 50.35 04/05/2021 49.51 11 -10.33  Close Signal Minor
 MD 03/26/2021 26.01 04/05/2021 25.39 21 -14.09  Close Signal Minor
 DMRC 03/26/2021 32.50 04/01/2021 31.13 17 -24.36  Close Signal Minor
 SIEB 03/26/2021 4.21 04/01/2021 4.29 135 9.65  Close Signal Minor
 USPH 03/26/2021 107.13 04/01/2021 110.21 5 14.31  Close Signal Minor
 APT 03/26/2021 9.64 03/31/2021 9.76 59 5.93  Close Signal Minor
 GBL 03/26/2021 18.40 03/31/2021 18.55 31 3.50  Close Signal Minor
 IBKR 03/26/2021 73.00 03/31/2021 73.04 7 -0.74  Close Signal Minor
 AVEO 03/26/2021 7.41 03/31/2021 7.32 77 -8.06  Close Signal Minor
 FUNC 03/26/2021 17.75 03/30/2021 19.00 32 38.80  Close Signal Minor
 NATR 03/26/2021 18.25 03/30/2021 18.95 31 20.54  Close Signal Minor
 UTL 03/26/2021 45.73 03/29/2021 46.40 12 6.93  Close Signal Minor
 GNE 03/26/2021 6.44 03/29/2021 6.72 88 23.47  Close Signal Minor
 DISCA 03/25/2021 57.75 04/01/2021 43.31 9 -130.80  Close Signal Minor
 EEFT 03/25/2021 139.54 04/01/2021 141.80 4 7.91  Close Signal Minor
 ALEX 03/25/2021 16.74 03/30/2021 17.02 34 8.37  Close Signal Minor
 COHU 03/25/2021 39.56 03/30/2021 40.00 14 5.04  Close Signal Minor
 CUTR 03/25/2021 29.34 03/30/2021 29.68 19 5.34  Close Signal Minor
 BRID 03/25/2021 14.73 03/26/2021 15.28 38 19.75  Close Signal Minor
 CDE 03/25/2021 8.94 03/26/2021 9.21 64 16.11  Close Signal Minor
 CIR 03/25/2021 32.68 03/26/2021 33.81 17 18.07  Close Signal Minor
 DSPG 03/25/2021 14.00 03/26/2021 14.35 40 12.86  Close Signal Minor
 AAWW 03/24/2021 55.09 03/26/2021 58.27 10 30.65  Close Signal Minor
 ACIW 03/24/2021 37.03 03/26/2021 38.21 15 16.56  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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