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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: 1/1/2022 - 12/31/2022
The backtester displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-528   Total Trades: 864  
Capital Growth:-5.28%   Profit Trades, % of Total:60%  
Profit Factor: [?] 0.95  Avg Trade Duration, days:4.17  
Payoff Ratio: [?] 0.64   Avg Profit per Trade:-0.089%  
Max Drawdown:20%   Avg Profit per Day:-0.021%  
Max Drawdown, $: 2,328   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] -0.23   Overall Viability Score: [?]
3 / 10
 
Avg Annual Return: -5.28%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov Dec
2022 -18.73 -5.28 -4.93 5.56 3.98 -4.70 1.66 -1.89 4.22 -1.01 -7.43
     
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  MI [?]
 A 09/23/2022 123.48 09/23/2022 123.48 4 -0.99  Period End Minor
 AAON 09/23/2022 54.07 09/23/2022 54.07 9 -0.97  Period End Minor
 ABR 09/21/2022 14.09 09/23/2022 12.91 36 -43.43  Period End Minor
 ABT 09/20/2022 102.31 09/23/2022 100.68 5 -9.16  Period End Minor
 ACI 09/20/2022 26.64 09/23/2022 24.83 19 -35.35  Period End Minor
 AIV 09/20/2022 8.42 09/23/2022 7.86 61 -35.14  Period End Minor
 ACET 09/19/2022 14.09 09/23/2022 13.90 37 -8.06  Period End Minor
 ADBE 09/19/2022 296.06 09/23/2022 284.56 1 -12.07  Period End Minor
 ALKS 09/19/2022 22.90 09/23/2022 22.32 22 -13.75  Period End Minor
 ARE 09/19/2022 149.02 09/23/2022 143.05 3 -18.78  Period End Minor
 AA 09/16/2022 42.46 09/23/2022 35.51 12 -84.29  Period End Minor
 ABM 09/16/2022 40.13 09/23/2022 38.26 13 -25.32  Period End Minor
 ABMD 09/16/2022 258.67 09/23/2022 245.53 2 -27.28  Period End Minor
 AAP 09/15/2022 167.62 09/23/2022 160.50 3 -22.33  Period End Minor
 ABC 09/14/2022 140.11 09/19/2022 140.37 3 -0.06  Close Signal Minor
 AAWW 09/13/2022 99.78 09/14/2022 100.04 5 0.30  Close Signal Minor
 KLDO 09/12/2022 0.0011 09/23/2022 0.0012 477,607 46.64  Close Signal Huge
 UIHC 09/12/2022 0.8808 09/23/2022 0.7147 596 -99.90  Period End Minor
 TIG 09/12/2022 3.95 09/23/2022 3.59 133 -48.86  Period End Minor
 BYRN 09/12/2022 6.95 09/23/2022 5.03 75 -144.83  Period End Minor
 SWBI 09/12/2022 12.39 09/23/2022 10.35 42 -86.59  Period End Minor
 CTLP 09/12/2022 4.80 09/23/2022 3.89 109 -100.09  Period End Minor
 LSEA 09/12/2022 5.85 09/21/2022 5.42 89 -39.25  Close Signal Minor
 SCHL 09/12/2022 45.11 09/20/2022 42.52 11 -29.44  Close Signal Minor
 ATEX 09/12/2022 39.76 09/20/2022 36.73 13 -40.36  Close Signal Minor
 MG 09/12/2022 4.96 09/19/2022 4.88 105 -9.43  Close Signal Minor
 HFFG 09/12/2022 4.46 09/16/2022 4.40 117 -8.05  Close Signal Minor
 FIZZ 09/09/2022 46.93 09/19/2022 42.28 11 -52.11  Close Signal Minor
 SRT 09/09/2022 3.75 09/19/2022 3.49 142 -37.93  Close Signal Minor
 CATO 09/09/2022 9.71 09/16/2022 9.64 55 -4.91  Close Signal Minor
 VHC 09/09/2022 1.39 09/16/2022 1.32 384 -27.91  Close Signal Minor
 FRBK 09/09/2022 2.76 09/15/2022 3.11 193 66.38  Close Signal Minor
 STXS 09/09/2022 1.94 09/12/2022 2.10 275 42.87  Close Signal Minor
 APEI 09/09/2022 8.70 09/12/2022 9.16 61 26.96  Close Signal Minor
 INVE 09/09/2022 13.57 09/12/2022 13.79 39 7.51  Close Signal Minor
 AMOT 09/08/2022 31.62 09/23/2022 29.08 16 -41.59  Close Signal Minor
 COHR 09/08/2022 43.26 09/23/2022 37.30 12 -72.45  Period End Minor
 CDZI 09/08/2022 3.33 09/13/2022 3.57 160 37.28  Close Signal Minor
 ADTN 09/08/2022 19.89 09/12/2022 20.27 26 8.83  Close Signal Minor
 BFS 09/08/2022 43.24 09/12/2022 43.63 12 3.64  Close Signal Minor
 CONN 09/08/2022 8.30 09/09/2022 8.66 64 21.94  Close Signal Minor
 CIA 09/07/2022 3.68 09/20/2022 3.65 150 -5.60  Close Signal Minor
 CAMP 09/07/2022 4.71 09/12/2022 5.01 117 33.95  Close Signal Minor
 DORM 09/07/2022 85.75 09/12/2022 87.84 6 11.49  Close Signal Minor
 CRC 09/07/2022 43.90 09/09/2022 45.71 12 20.63  Close Signal Minor
 CSGS 09/07/2022 55.85 09/09/2022 56.56 9 5.38  Close Signal Minor
 AEIS 09/07/2022 86.10 09/08/2022 87.07 6 4.78  Close Signal Minor
 AMKR 09/07/2022 18.83 09/08/2022 19.13 29 7.59  Close Signal Minor
 ACIW 09/06/2022 21.86 09/09/2022 22.75 25 21.12  Close Signal Minor
 ACLS 09/06/2022 62.16 09/08/2022 64.19 8 15.22  Close Signal Minor
 AAON 09/06/2022 55.12 09/07/2022 57.71 10 24.76  Close Signal Minor
 ACGL 09/02/2022 45.50 09/07/2022 46.14 12 6.58  Close Signal Minor
 ACN 09/02/2022 284.07 09/07/2022 286.76 2 4.24  Close Signal Minor
 ABG 09/01/2022 173.61 09/09/2022 170.69 3 -9.79  Close Signal Minor
 ACTG 09/01/2022 4.36 09/09/2022 4.21 132 -20.92  Close Signal Minor
 AA 09/01/2022 48.08 09/08/2022 48.86 12 8.19  Close Signal Minor
 ABCB 09/01/2022 46.20 09/08/2022 46.90 12 7.28  Close Signal Minor
 ACM 09/01/2022 71.73 09/07/2022 73.81 8 15.47  Close Signal Minor
 AAPL 08/31/2022 157.22 09/09/2022 157.37 3 -0.49  Close Signal Minor
 AOS 08/29/2022 57.70 09/07/2022 57.21 10 -6.05  Close Signal Minor
 BANF 08/25/2022 110.26 09/12/2022 99.65 5 -54.07  Close Signal Minor
 ATVI 08/25/2022 79.07 09/09/2022 78.51 7 -5.02  Close Signal Minor
 ATRO 08/25/2022 10.64 09/08/2022 8.83 55 -100.57  Close Signal Minor
 ADBE 08/25/2022 403.93 09/07/2022 379.72 1 -24.98  Close Signal Minor
 DLTR 08/25/2022 149.01 09/06/2022 138.31 3 -32.95  Close Signal Minor
 CTRN 08/25/2022 23.36 09/02/2022 21.01 25 -59.83  Close Signal Minor
 FC 08/25/2022 50.20 09/02/2022 47.46 11 -31.20  Close Signal Minor
 ANF 08/25/2022 17.44 09/01/2022 15.44 33 -67.05  Close Signal Minor
 BMY 08/25/2022 71.50 09/01/2022 69.09 8 -20.40  Close Signal Minor
 EXEL 08/25/2022 18.81 09/01/2022 18.22 31 -19.43  Close Signal Minor
 AWH 08/25/2022 0.5013 08/29/2022 0.5305 1,174 33.05  Close Signal Minor
 AAP 08/24/2022 179.91 09/01/2022 172.15 3 -24.32  Close Signal Minor
 ABT 08/23/2022 106.01 09/01/2022 104.84 5 -6.90  Close Signal Minor
 AAON 08/23/2022 59.21 08/25/2022 60.99 10 16.59  Close Signal Minor
 AAPL 08/23/2022 167.23 08/25/2022 170.03 3 7.38  Close Signal Minor
 ABMD 08/19/2022 270.68 08/25/2022 274.45 2 6.45  Close Signal Minor
 ADI 08/19/2022 168.00 08/25/2022 167.07 3 -3.79  Close Signal Minor
 AHT 08/19/2022 9.69 08/25/2022 10.27 62 34.70  Close Signal Minor
 ALEX 08/19/2022 19.35 08/25/2022 19.60 31 6.54  Close Signal Minor
 DGX 08/18/2022 135.96 09/07/2022 127.45 4 -35.08  Close Signal Minor
 BIO 08/18/2022 519.57 08/25/2022 514.63 1 -5.97  Close Signal Minor
 CERS 08/18/2022 4.82 08/25/2022 4.63 124 -24.72  Close Signal Minor
 CRMT 08/18/2022 92.38 08/25/2022 86.78 6 -34.66  Close Signal Minor
 ATHX 08/16/2022 6.00 09/08/2022 2.52 99 -345.19  Close Signal Minor
 RVP 08/16/2022 3.74 09/06/2022 2.38 160 -218.47  Close Signal Minor
 DVAX 08/16/2022 14.24 08/31/2022 11.47 42 -117.36  Close Signal Minor
 GNK 08/16/2022 15.88 08/23/2022 15.82 37 -3.39  Close Signal Minor
 XOMA 08/16/2022 18.00 08/19/2022 18.70 33 21.88  Close Signal Minor
 PBH 08/16/2022 56.25 08/18/2022 56.46 10 0.97  Close Signal Minor
 TAST 08/16/2022 2.19 08/18/2022 2.40 273 56.05  Close Signal Minor
 FOSL 08/15/2022 5.66 09/12/2022 4.07 105 -167.89  Close Signal Minor
 MPLN 08/15/2022 4.05 09/12/2022 3.37 146 -100.31  Close Signal Minor
 APYX 08/15/2022 7.47 09/06/2022 5.84 79 -129.76  Close Signal Minor
 XGN 08/15/2022 5.05 08/24/2022 4.54 117 -60.76  Close Signal Minor
 FDMT 08/15/2022 9.55 08/23/2022 9.01 62 -34.61  Close Signal Minor
 GO 08/15/2022 40.45 08/16/2022 41.75 14 17.04  Close Signal Minor
 IIIV 08/12/2022 25.48 08/25/2022 24.60 22 -20.45  Close Signal Minor
 SGEN 08/12/2022 170.14 08/19/2022 171.67 3 3.56  Close Signal Minor
 KELYA 08/12/2022 18.41 08/18/2022 18.31 31 -4.24  Close Signal Minor
 LRN 08/12/2022 35.96 08/18/2022 35.76 15 -4.07  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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