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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'.
Position Type Long
 Strategy Definition 
Criteria for Opening a Position: index(russell3000) and rsi(2) < 5
Criteria for Closing a Position: price ca sma(5)
 Backtest Parameters 
Initial Capital: $10,000
Capital at Risk: 5% per trade
Portfolio Max Size: 20 positions
Testing Model: Close prices
Comm. per Trade: 0.1%  
Period: 1/1/2019 - 12/31/2019
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-420   Total Trades: 1113  
Capital Growth:-4%   Profit Trades, % of Total:61%  
Profit Factor: [?] 0.96  Max Drawdown27%($3,304)  
Expected Payoff: [?] $-0.38  Abs Drawdown13%($1,251)  
Payoff Ratio: [?] 0.62  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: -4.20%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2019 -4.20 8.11 10.58 -6.90 -1.41 -9.01 1.13 0.80 -13.66 2.51 4.02 1.29 0.94
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 ABM 12/13/2019 37.09 12/13/2019 37.09 13 -0.96  Period End Minor
 BRT 12/13/2019 17.12 12/13/2019 17.12 28 -0.96  Period End Minor
 BXP 12/13/2019 135.11 12/13/2019 135.11 3 -0.81  Period End Minor
 AKR 12/12/2019 25.41 12/13/2019 25.47 19 0.17  Period End Minor
 ARE 12/12/2019 156.85 12/13/2019 156.47 3 -2.08  Period End Minor
 BDN 12/12/2019 14.70 12/13/2019 14.77 33 1.34  Period End Minor
 BKD 12/12/2019 6.92 12/13/2019 6.79 70 -10.06  Period End Minor
 BLKB 12/12/2019 78.13 12/13/2019 78.37 6 0.50  Period End Minor
 ACC 12/11/2019 46.73 12/13/2019 46.01 10 -8.13  Period End Minor
 ADC 12/11/2019 70.83 12/13/2019 68.41 6 -15.36  Period End Minor
 AEO 12/11/2019 14.13 12/13/2019 14.46 34 10.25  Period End Minor
 AGYS 12/11/2019 24.60 12/13/2019 24.33 19 -6.06  Period End Minor
 AIV 12/11/2019 51.53 12/13/2019 51.15 9 -4.34  Period End Minor
 ANIK 12/11/2019 54.25 12/13/2019 53.15 8 -9.66  Period End Minor
 AVB 12/11/2019 212.07 12/13/2019 208.64 2 -7.70  Period End Minor
 ABMD 12/10/2019 179.75 12/13/2019 181.85 2 3.48  Close Signal Minor
 CASY 12/10/2019 158.72 12/13/2019 153.81 3 -15.67  Period End Minor
 CCK 12/10/2019 72.72 12/13/2019 71.74 6 -6.75  Period End Minor
 CMTL 12/10/2019 34.48 12/12/2019 34.85 13 3.91  Close Signal Minor
 DHX 12/10/2019 3.16 12/12/2019 3.27 152 15.74  Close Signal Minor
 CERS 12/09/2019 3.87 12/12/2019 4.03 124 18.86  Close Signal Minor
 ALTR 12/09/2019 31.52 12/11/2019 32.48 15 13.44  Close Signal Minor
 CCOI 12/09/2019 60.04 12/11/2019 61.49 8 10.63  Close Signal Minor
 ATEC 12/06/2019 6.72 12/13/2019 6.57 71 -11.59  Close Signal Minor
 CLCT 12/06/2019 25.35 12/13/2019 24.27 19 -21.46  Period End Minor
 EGHT 12/06/2019 18.18 12/13/2019 17.17 26 -27.18  Period End Minor
 CTXS 12/06/2019 110.62 12/12/2019 110.30 4 -2.16  Close Signal Minor
 GCI 12/06/2019 6.02 12/12/2019 6.07 80 3.03  Close Signal Minor
 CIEN 12/06/2019 35.00 12/11/2019 35.41 13 4.41  Close Signal Minor
 EE 12/06/2019 67.48 12/11/2019 67.79 7 1.22  Close Signal Minor
 FFIV 12/06/2019 138.00 12/11/2019 140.82 3 7.62  Close Signal Minor
 III 12/06/2019 2.28 12/11/2019 2.29 211 1.15  Close Signal Minor
 BKE 12/06/2019 26.96 12/10/2019 27.26 17 4.18  Close Signal Minor
 CHS 12/06/2019 4.03 12/10/2019 4.15 119 13.31  Close Signal Minor
 CVGI 12/06/2019 6.85 12/10/2019 7.04 70 12.33  Close Signal Minor
 ALEX 12/05/2019 21.02 12/13/2019 20.96 22 -2.24  Period End Minor
 ALOT 12/05/2019 14.00 12/10/2019 14.15 34 4.14  Close Signal Minor
 AMSC 12/05/2019 7.53 12/06/2019 7.87 63 20.45  Close Signal Minor
 BA 12/05/2019 345.68 12/06/2019 354.09 1 7.71  Close Signal Minor
 BGG 12/05/2019 5.12 12/06/2019 5.24 93 10.20  Close Signal Minor
 AGX 12/04/2019 34.90 12/11/2019 35.84 13 11.30  Close Signal Minor
 ADTN 12/04/2019 8.93 12/09/2019 9.13 54 9.82  Close Signal Minor
 AAP 12/04/2019 152.33 12/06/2019 154.62 3 5.95  Close Signal Minor
 ACIW 12/04/2019 36.15 12/06/2019 36.41 13 2.44  Close Signal Minor
 AIN 12/04/2019 82.16 12/06/2019 82.87 5 2.72  Close Signal Minor
 ADP 12/03/2019 167.13 12/06/2019 169.98 2 5.03  Close Signal Minor
 AIZ 12/03/2019 128.50 12/06/2019 131.58 3 8.46  Close Signal Minor
 AAON 12/03/2019 47.58 12/05/2019 49.13 10 14.53  Close Signal Minor
 AFL 12/02/2019 52.68 12/06/2019 52.99 9 1.84  Close Signal Minor
 AIG 12/02/2019 51.66 12/06/2019 51.86 9 0.87  Close Signal Minor
 AM 12/02/2019 4.43 12/04/2019 4.59 107 16.15  Close Signal Minor
 DELL 11/29/2019 48.49 12/09/2019 47.65 9 -8.43  Close Signal Minor
 DISH 11/29/2019 34.17 12/06/2019 33.59 13 -8.42  Close Signal Minor
 DHIL 11/29/2019 136.55 12/05/2019 137.00 3 0.53  Close Signal Minor
 CNSL 11/29/2019 3.63 12/04/2019 3.78 131 18.68  Close Signal Minor
 DNR 11/29/2019 0.987 12/04/2019 1.01 483 10.39  Close Signal Minor
 CVI 11/27/2019 44.04 12/13/2019 41.60 10 -25.26  Close Signal Minor
 CTO 11/27/2019 62.89 12/09/2019 63.48 7 3.25  Close Signal Minor
 BLX 11/27/2019 21.70 12/05/2019 21.13 21 -12.87  Close Signal Minor
 AYR 11/27/2019 31.90 12/03/2019 32.07 14 1.48  Close Signal Minor
 CENT 11/27/2019 25.88 12/03/2019 27.63 18 30.54  Close Signal Minor
 CME 11/27/2019 200.98 12/03/2019 204.12 2 5.47  Close Signal Minor
 ATHX 11/26/2019 1.33 12/06/2019 1.33 360 -0.96  Close Signal Minor
 BG 11/26/2019 53.28 12/02/2019 53.54 8 1.23  Close Signal Minor
 EXC 11/26/2019 44.01 11/27/2019 44.27 10 1.72  Close Signal Minor
 BECN 11/25/2019 33.37 12/05/2019 29.29 14 -58.00  Close Signal Minor
 GAIA 11/25/2019 8.60 12/05/2019 8.44 55 -9.74  Close Signal Minor
 AEE 11/25/2019 74.17 12/04/2019 74.36 6 0.25  Close Signal Minor
 BXC 11/25/2019 9.55 12/02/2019 10.06 50 24.52  Close Signal Minor
 CVLY 11/25/2019 21.51 12/02/2019 21.88 22 7.19  Close Signal Minor
 APD 11/25/2019 234.74 11/29/2019 236.33 2 2.24  Close Signal Minor
 CERS 11/25/2019 4.17 11/29/2019 4.34 114 18.41  Close Signal Minor
 CLNE 11/25/2019 1.93 11/29/2019 1.95 247 3.98  Close Signal Minor
 FL 11/25/2019 40.17 11/27/2019 41.01 11 8.35  Close Signal Minor
 AVY 11/25/2019 129.25 11/26/2019 130.74 3 3.69  Close Signal Minor
 COST 11/25/2019 299.05 11/26/2019 301.24 1 1.59  Close Signal Minor
 ECL 11/25/2019 182.06 11/26/2019 186.23 2 7.60  Close Signal Minor
 ATO 11/22/2019 107.32 12/04/2019 106.99 4 -2.18  Close Signal Minor
 ANIK 11/22/2019 57.60 11/29/2019 57.80 8 0.68  Close Signal Minor
 AKR 11/22/2019 26.68 11/27/2019 27.02 18 5.15  Close Signal Minor
 ASH 11/22/2019 72.09 11/27/2019 72.34 6 0.63  Close Signal Minor
 AEIS 11/22/2019 60.65 11/25/2019 63.38 7 18.24  Close Signal Minor
 ASGN 11/22/2019 64.68 11/25/2019 66.06 7 8.74  Close Signal Minor
 AVA 11/22/2019 46.41 11/25/2019 46.80 10 2.97  Close Signal Minor
 ACLS 11/21/2019 21.06 11/25/2019 21.77 23 15.34  Close Signal Minor
 ADI 11/20/2019 108.58 11/22/2019 110.65 4 7.40  Close Signal Minor
 AMSWA 11/19/2019 16.27 12/10/2019 15.45 30 -25.55  Close Signal Minor
 AGX 11/19/2019 38.29 11/29/2019 36.64 12 -20.70  Close Signal Minor
 ABMD 11/18/2019 178.09 11/25/2019 187.57 2 18.23  Close Signal Minor
 ARL 11/15/2019 14.34 11/27/2019 13.30 34 -36.30  Close Signal Minor
 AZZ 11/15/2019 38.39 11/25/2019 37.97 12 -5.96  Close Signal Minor
 AVD 11/15/2019 15.16 11/22/2019 14.80 32 -12.48  Close Signal Minor
 B 11/15/2019 59.81 11/22/2019 59.63 8 -2.40  Close Signal Minor
 AMSF 11/15/2019 65.46 11/19/2019 66.96 7 9.57  Close Signal Minor
 AXL 11/15/2019 9.96 11/19/2019 10.16 49 8.81  Close Signal Minor
 AIG 11/14/2019 54.19 11/22/2019 53.30 9 -8.98  Close Signal Minor
 AKS 11/14/2019 2.53 11/22/2019 2.56 195 4.86  Close Signal Minor



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