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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: $688   Total Trades: 85  
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:0%   Avg Profit per Day:0.67%  
Max Drawdown, $: 51   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 13.58   Overall Viability Score: [?]
10 / 10
 
Avg Annual Return: 6.88%  
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2021 6.88 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 Minor
 BOCH 01/20/2021 10.04 01/20/2021 10.04 53 -1.06  Period End Minor
 CAH 01/20/2021 54.59 01/20/2021 54.59 9 -0.98  Period End Minor
 CBAN 01/20/2021 14.26 01/20/2021 14.26 37 -1.06  Period End Minor
 CL 01/20/2021 80.20 01/20/2021 80.20 6 -0.96  Period End Minor
 CNC 01/20/2021 62.42 01/20/2021 62.42 8 -1.00  Period End Minor
 CRK 01/20/2021 4.68 01/20/2021 4.68 115 -1.08  Period End Minor
 AME 01/19/2021 118.95 01/20/2021 120.11 4 3.68  Close Signal Minor
 BFS 01/19/2021 31.63 01/20/2021 31.94 16 3.94  Close Signal Minor
 AIMC 01/19/2021 56.52 01/20/2021 55.77 9 -7.76  Period End Minor
 BCPC 01/19/2021 118.60 01/20/2021 118.32 4 -2.07  Period End Minor
 BR 01/19/2021 151.56 01/20/2021 152.49 3 1.88  Period End Minor
 BRC 01/19/2021 50.95 01/20/2021 50.62 10 -4.31  Period End Minor
 CALM 01/19/2021 36.38 01/20/2021 36.67 14 3.04  Period End Minor
 ACN 01/15/2021 253.65 01/20/2021 261.67 2 15.00  Close Signal Minor
 ADBE 01/15/2021 458.08 01/20/2021 469.73 1 10.72  Close Signal Minor
 ACGL 01/15/2021 34.69 01/20/2021 34.59 15 -2.54  Period End Minor
 AMSC 01/14/2021 24.49 01/20/2021 26.28 21 36.51  Close Signal Minor
 CTAS 01/14/2021 327.14 01/20/2021 332.19 1 4.39  Close Signal Minor
 CCK 01/14/2021 95.75 01/20/2021 95.72 5 -1.11  Period End Minor
 COKE 01/14/2021 258.57 01/20/2021 256.21 2 -5.75  Period End Minor
 AJG 01/14/2021 116.01 01/19/2021 117.40 4 4.62  Close Signal Minor
 ANH 01/14/2021 2.53 01/19/2021 2.54 210 1.03  Close Signal Minor
 BRO 01/14/2021 45.75 01/19/2021 46.73 11 9.76  Close Signal Minor
 CSGS 01/14/2021 43.60 01/19/2021 44.40 12 8.54  Close Signal Minor
 ABMD 01/14/2021 318.31 01/15/2021 329.69 1 10.73  Close Signal Minor
 CDE 01/13/2021 9.07 01/20/2021 8.93 58 -9.16  Close Signal Minor
 CIZN 01/13/2021 20.66 01/20/2021 20.20 25 -12.52  Period End Minor
 EZPW 01/13/2021 4.69 01/20/2021 4.66 112 -4.41  Period End Minor
 CHE 01/13/2021 522.52 01/19/2021 531.95 1 8.37  Close Signal Minor
 CWST 01/13/2021 55.97 01/19/2021 56.93 9 7.62  Close Signal Minor
 K 01/12/2021 58.56 01/20/2021 57.64 9 -9.32  Period End Minor
 BKI 01/12/2021 85.50 01/19/2021 85.79 6 0.71  Close Signal Minor
 CPB 01/12/2021 45.49 01/15/2021 46.42 11 9.21  Close Signal Minor
 HRL 01/12/2021 44.07 01/15/2021 44.87 11 7.82  Close Signal Minor
 AEP 01/12/2021 77.84 01/14/2021 78.83 6 5.00  Close Signal Minor
 AIV 01/12/2021 4.78 01/13/2021 4.88 110 9.93  Close Signal Minor
 KMB 01/12/2021 130.32 01/13/2021 131.67 4 4.35  Close Signal Minor
 AWH 01/11/2021 6.03 01/14/2021 6.51 87 40.65  Close Signal Minor
 ECPG 01/08/2021 33.64 01/14/2021 33.25 15 -6.85  Close Signal Minor
 FLO 01/08/2021 22.13 01/14/2021 22.14 23 -0.79  Close Signal Minor
 GIS 01/08/2021 56.40 01/14/2021 55.75 9 -6.86  Close Signal Minor
 REV 01/08/2021 10.33 01/14/2021 10.82 51 23.90  Close Signal Minor
 FCFS 01/07/2021 63.53 01/20/2021 59.04 8 -36.88  Period End Minor
 KO 01/07/2021 49.96 01/20/2021 48.68 10 -13.78  Period End Minor
 CAG 01/07/2021 33.78 01/14/2021 34.05 15 3.03  Close Signal Minor
 PNRG 01/07/2021 38.47 01/13/2021 40.24 13 21.98  Close Signal Minor
 AAWW 01/07/2021 51.20 01/12/2021 52.29 10 9.86  Close Signal Minor
 ATEC 01/07/2021 13.36 01/12/2021 13.73 39 13.37  Close Signal Minor
 FDX 01/07/2021 246.03 01/12/2021 249.04 2 5.03  Close Signal Minor
 UPS 01/07/2021 159.00 01/11/2021 161.86 3 7.61  Close Signal Minor
 AKAM 01/06/2021 101.53 01/14/2021 102.85 5 5.57  Close Signal Minor
 CLX 01/06/2021 197.41 01/14/2021 195.55 2 -4.50  Close Signal Minor
 ARE 01/06/2021 163.25 01/13/2021 168.90 3 15.95  Close Signal Minor
 FIZZ 01/06/2021 83.08 01/13/2021 82.90 6 -2.08  Close Signal Minor
 INFN 01/06/2021 9.74 01/12/2021 9.66 53 -5.27  Close Signal Minor
 ADBE 01/06/2021 466.31 01/08/2021 485.10 1 17.83  Close Signal Minor
 CPRT 01/06/2021 117.80 01/08/2021 122.18 4 16.55  Close Signal Minor
 INTU 01/06/2021 361.00 01/08/2021 374.46 1 12.72  Close Signal Minor
 EXAS 01/06/2021 124.28 01/07/2021 130.70 4 24.65  Close Signal Minor
 GEO 01/06/2021 8.63 01/07/2021 8.91 59 15.48  Close Signal Minor
 INCY 01/06/2021 84.31 01/07/2021 90.05 6 33.38  Close Signal Minor
 DHI 01/05/2021 66.41 01/07/2021 68.69 7 15.01  Close Signal Minor
 ACAD 01/05/2021 52.03 01/06/2021 53.79 9 14.88  Close Signal Minor
 CSL 01/05/2021 151.35 01/06/2021 155.08 3 10.27  Close Signal Minor
 AE 01/04/2021 23.88 01/12/2021 24.45 20 10.43  Close Signal Minor
 ARL 01/04/2021 10.27 01/12/2021 9.48 48 -38.85  Close Signal High
 CUZ 01/04/2021 32.62 01/12/2021 32.37 15 -4.72  Close Signal Minor
 CRM 01/04/2021 220.31 01/08/2021 222.04 2 2.57  Close Signal Minor
 ALKS 01/04/2021 19.74 01/07/2021 20.59 25 20.23  Close Signal Minor
 ALNY 01/04/2021 128.10 01/07/2021 139.40 3 33.08  Close Signal Minor
 BA 01/04/2021 202.72 01/07/2021 212.71 2 19.14  Close Signal Minor
 BGS 01/04/2021 27.70 01/07/2021 27.93 18 3.14  Close Signal Minor
 AGYS 01/04/2021 37.12 01/06/2021 39.87 13 34.73  Close Signal Minor
 BFS 01/04/2021 31.24 01/06/2021 33.16 16 29.67  Close Signal Minor
 BIG 01/04/2021 42.30 01/06/2021 45.54 11 34.66  Close Signal Minor
 BZH 01/04/2021 14.65 01/06/2021 15.27 34 20.05  Close Signal Minor
 CBRL 01/04/2021 126.53 01/06/2021 133.97 3 21.53  Close Signal Minor
 CBZ 01/04/2021 25.71 01/06/2021 26.78 19 19.32  Close Signal Minor
 CIA 01/04/2021 5.59 01/06/2021 6.02 89 37.22  Close Signal Minor
 CNO 01/04/2021 21.66 01/06/2021 23.23 23 35.06  Close Signal Minor
 CVLY 01/04/2021 16.80 01/06/2021 17.77 29 27.11  Close Signal Minor
 ACTG 01/04/2021 3.80 01/05/2021 3.99 131 23.86  Close Signal Minor
 APOG 01/04/2021 30.66 01/05/2021 31.77 16 16.75  Close Signal Minor
 AVAV 01/04/2021 85.93 01/05/2021 88.45 5 11.72  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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