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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: $1,443   Total Trades: 970  
Capital Growth:14.4%   Profit Trades, % of Total:62%  
Profit Factor: [?] 1.18  Avg Trade Duration, days:4.06  
Payoff Ratio: [?] 0.73   Avg Profit per Trade:0.29%  
Max Drawdown:7%   Avg Profit per Day:0.072%  
Max Drawdown, $: 866   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 1.67   Overall Viability Score: [?]
4 / 10
 
Avg Annual Return: 14.4%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 14.43 3.26 2.95 5.49 1.36 1.91 1.87 0.54 2.79 -6.55 0.41
     
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 ALVR 10/18/2021 20.88 10/18/2021 20.88 27 -1.13  Period End Minor
 ATHX 10/18/2021 1.25 10/18/2021 1.25 467 -1.17  Period End Minor
 AZZ 10/18/2021 52.12 10/18/2021 52.12 11 -1.15  Period End Minor
 BIIB 10/18/2021 269.73 10/18/2021 269.73 2 -1.08  Period End Minor
 COKE 10/18/2021 390.01 10/18/2021 390.01 1 -0.78  Period End Minor
 COO 10/18/2021 396.70 10/18/2021 396.70 1 -0.79  Period End Minor
 CPRX 10/18/2021 5.95 10/18/2021 5.95 98 -1.17  Period End Minor
 BBBY 10/15/2021 13.99 10/18/2021 14.72 41 28.74  Close Signal Minor
 BSET 10/15/2021 17.78 10/18/2021 17.98 32 5.25  Period End Minor
 CMO 10/15/2021 6.34 10/18/2021 6.50 91 13.38  Period End Minor
 BPOP 10/14/2021 78.98 10/18/2021 79.71 7 4.00  Close Signal Minor
 CCF 10/14/2021 98.16 10/18/2021 99.05 5 3.46  Close Signal Minor
 CTS 10/14/2021 30.29 10/18/2021 30.86 19 9.66  Close Signal Minor
 EGLE 10/14/2021 43.85 10/18/2021 46.18 13 29.10  Close Signal Minor
 CPA 10/14/2021 84.47 10/18/2021 82.42 6 -13.30  Period End Minor
 CPB 10/14/2021 41.49 10/18/2021 40.86 13 -9.26  Period End Minor
 CRK 10/14/2021 9.21 10/18/2021 9.25 62 1.33  Period End Minor
 CRTX 10/14/2021 73.84 10/18/2021 58.74 7 -106.58  Period End Minor
 AGEN 10/13/2021 5.40 10/18/2021 5.09 107 -34.28  Period End Minor
 ANDE 10/13/2021 30.70 10/18/2021 31.00 18 4.29  Period End Minor
 BA 10/13/2021 221.78 10/18/2021 216.98 2 -10.47  Period End Minor
 ASTE 10/13/2021 50.61 10/15/2021 51.73 11 11.19  Close Signal Minor
 AAWW 10/12/2021 78.22 10/18/2021 79.11 7 5.13  Close Signal Minor
 AMKR 10/12/2021 22.42 10/18/2021 22.46 25 -0.12  Close Signal Minor
 CBRL 10/12/2021 137.84 10/18/2021 136.28 4 -7.33  Period End Minor
 AMGN 10/12/2021 201.89 10/14/2021 206.78 2 8.96  Close Signal Minor
 BAX 10/12/2021 78.71 10/14/2021 79.89 7 7.15  Close Signal Minor
 BEN 10/12/2021 28.89 10/14/2021 30.14 20 23.81  Close Signal Minor
 ALK 10/11/2021 58.46 10/18/2021 57.42 9 -10.40  Period End Minor
 ADS 10/11/2021 98.08 10/14/2021 98.99 5 3.56  Close Signal Minor
 ALGT 10/08/2021 192.05 10/14/2021 192.94 3 1.51  Close Signal Minor
 AA 10/08/2021 46.03 10/12/2021 47.78 12 19.86  Close Signal Minor
 MD 10/07/2021 27.44 10/18/2021 26.19 21 -27.36  Period End Minor
 FLDM 10/07/2021 5.47 10/15/2021 5.34 105 -14.78  Close Signal Minor
 TMUS 10/07/2021 123.18 10/14/2021 119.26 4 -16.64  Close Signal Minor
 ACI 10/07/2021 28.00 10/13/2021 27.64 20 -8.31  Close Signal Minor
 LHCG 10/07/2021 145.22 10/13/2021 142.63 3 -8.63  Close Signal Minor
 ENSG 10/07/2021 72.30 10/13/2021 72.27 7 -1.22  Close Signal Minor
 OSH 10/07/2021 40.78 10/13/2021 39.18 14 -23.51  Close Signal Minor
 PRTS 10/07/2021 13.81 10/12/2021 13.77 41 -2.77  Close Signal Minor
 DYN 10/07/2021 15.02 10/12/2021 14.79 38 -9.87  Close Signal Minor
 ESPR 10/07/2021 10.15 10/12/2021 10.30 56 7.25  Close Signal Minor
 FPI 10/07/2021 11.51 10/12/2021 11.48 50 -2.65  Close Signal Minor
 INFI 10/07/2021 2.86 10/11/2021 2.85 202 -3.17  Close Signal Minor
 RGS 10/07/2021 2.97 10/08/2021 3.08 194 20.16  Close Signal Minor
 SMED 10/07/2021 7.56 10/08/2021 7.75 76 13.27  Close Signal Minor
 ACTG 10/06/2021 5.92 10/18/2021 5.50 98 -42.26  Period End Minor
 AEO 10/06/2021 24.15 10/15/2021 24.48 24 6.75  Close Signal Minor
 CUTR 10/06/2021 43.66 10/14/2021 43.33 13 -5.42  Close Signal Minor
 CONN 10/06/2021 21.74 10/12/2021 22.27 26 12.63  Close Signal Minor
 GBL 10/06/2021 23.85 10/11/2021 24.75 24 20.42  Close Signal Minor
 HBI 10/06/2021 16.41 10/07/2021 17.08 35 22.27  Close Signal Minor
 ICAD 10/06/2021 10.47 10/07/2021 10.66 55 9.28  Close Signal Minor
 CHE 10/05/2021 436.73 10/14/2021 417.67 1 -19.90  Close Signal Minor
 DGX 10/05/2021 141.17 10/07/2021 143.50 4 8.18  Close Signal Minor
 FLXS 10/05/2021 29.67 10/07/2021 31.10 19 26.00  Close Signal Minor
 GLDD 10/05/2021 14.61 10/07/2021 14.76 40 4.82  Close Signal Minor
 HOLX 10/05/2021 70.31 10/07/2021 71.72 8 10.14  Close Signal Minor
 ADI 10/04/2021 164.26 10/07/2021 166.98 3 7.16  Close Signal Minor
 BBBY 10/01/2021 16.58 10/07/2021 15.50 35 -38.90  Close Signal Minor
 BCRX 10/01/2021 13.73 10/07/2021 13.96 42 8.49  Close Signal Minor
 CROX 10/01/2021 141.13 10/07/2021 139.54 4 -7.48  Close Signal Minor
 CERN 10/01/2021 70.34 10/06/2021 70.62 8 1.11  Close Signal Minor
 EIX 10/01/2021 55.04 10/04/2021 56.23 10 10.78  Close Signal Minor
 ACN 09/30/2021 319.92 10/05/2021 325.12 1 4.55  Close Signal Minor
 ADBE 09/29/2021 577.70 10/06/2021 570.31 1 -8.53  Close Signal Minor
 ABMD 09/29/2021 329.51 10/05/2021 332.47 1 2.30  Close Signal Minor
 AES 09/29/2021 22.94 10/05/2021 23.38 25 9.84  Close Signal Minor
 ALTR 09/29/2021 68.91 10/05/2021 71.17 8 16.95  Close Signal Minor
 AMKR 09/29/2021 25.17 10/05/2021 25.05 23 -3.91  Close Signal Minor
 ANGO 09/29/2021 23.36 09/30/2021 25.94 25 63.24  Close Signal Minor
 A 09/27/2021 166.38 10/07/2021 155.32 3 -34.13  Close Signal Minor
 ABT 09/27/2021 120.58 10/07/2021 117.91 4 -11.63  Close Signal Minor
 AMT 09/27/2021 274.10 10/06/2021 267.96 2 -13.36  Close Signal Minor
 BKI 09/27/2021 70.01 09/29/2021 71.22 8 8.55  Close Signal Minor
 DECK 09/24/2021 388.75 10/07/2021 376.12 1 -13.39  Close Signal Minor
 DPZ 09/24/2021 489.84 10/06/2021 482.66 1 -8.15  Close Signal Minor
 BBY 09/24/2021 104.74 09/27/2021 110.18 5 26.11  Close Signal Minor
 BDX 09/23/2021 253.82 10/06/2021 245.25 2 -18.13  Close Signal Minor
 CCI 09/23/2021 184.36 10/06/2021 174.34 3 -31.12  Close Signal Minor
 EXR 09/23/2021 177.20 10/06/2021 170.53 3 -21.04  Close Signal Minor
 CMS 09/23/2021 60.66 10/01/2021 59.73 9 -9.45  Close Signal Minor
 EBS 09/23/2021 53.84 10/01/2021 55.01 10 10.61  Close Signal Minor
 FDX 09/23/2021 228.92 10/01/2021 222.53 2 -13.68  Close Signal Minor
 ATO 09/23/2021 88.13 09/29/2021 88.91 6 3.62  Close Signal Minor
 BKH 09/23/2021 63.23 09/29/2021 63.54 9 1.65  Close Signal Minor
 DUK 09/23/2021 98.40 09/29/2021 98.34 5 -1.28  Close Signal Minor
 ETR 09/23/2021 102.61 09/29/2021 100.74 5 -10.36  Close Signal Minor
 BTU 09/23/2021 13.45 09/27/2021 14.11 43 27.18  Close Signal Minor
 ADC 09/22/2021 69.24 10/01/2021 67.07 8 -18.44  Close Signal Minor
 BCO 09/22/2021 66.78 10/01/2021 64.26 8 -21.20  Close Signal Minor
 ATVI 09/22/2021 72.81 09/24/2021 75.26 8 18.41  Close Signal Minor
 AIMC 09/22/2021 52.69 09/23/2021 54.00 11 13.23  Close Signal Minor
 ABM 09/21/2021 44.06 09/23/2021 44.91 13 9.89  Close Signal Minor
 AVAV 09/17/2021 86.25 09/27/2021 86.25 6 -1.03  Close Signal Minor
 APD 09/17/2021 261.83 09/23/2021 260.41 2 -3.88  Close Signal Minor
 ATR 09/17/2021 121.23 09/23/2021 121.01 4 -1.85  Close Signal Minor
 AVT 09/17/2021 37.04 09/23/2021 37.26 16 2.33  Close Signal Minor
 AVY 09/17/2021 214.68 09/23/2021 218.51 2 6.79  Close Signal Minor
 ARE 09/17/2021 193.87 09/22/2021 196.54 3 6.83  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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