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:

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