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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: 1/1/2020 - 12/31/2020
The report displays results for the current year only. Please sign up to view the full report.
 Results 
Total Profit: $-1.55   Total Trades: 277  
Capital Growth:-0.016%   Profit Trades, % of Total:57%  
Profit Factor: [?] 1.00  Avg Trade Duration, days:4.71  
Payoff Ratio: [?] 0.74   Avg Profit per Trade:1.53%  
Max Drawdown:47%   Avg Profit per Day:0.33%  
Restoration Factor: [?] -0.00   Avg Market Impact: [?]
Minor  
 
Avg Annual Return: -0.016%   Overall Viability Score: [?]
3 / 10
 
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2020 -0.02 -9.61 -7.41 15.29 3.62
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 EHTH 04/08/2020 103.20 04/08/2020 103.20 4 -0.83  Period End Minor
 OMI 04/08/2020 5.68 04/08/2020 5.68 90 -1.02  Period End Minor
 PLPC 04/07/2020 38.43 04/08/2020 43.09 12 54.94  Close Signal Minor
 TWI 04/07/2020 1.26 04/08/2020 1.33 396 26.69  Close Signal Minor
 BGS 04/07/2020 16.06 04/08/2020 16.64 31 16.97  Period End Minor
 TDOC 04/07/2020 141.25 04/08/2020 139.10 3 -7.29  Period End Minor
 UNIT 04/07/2020 5.04 04/08/2020 5.20 99 14.83  Period End Minor
 VAPO 04/07/2020 16.00 04/08/2020 16.24 31 6.44  Period End Minor
 MNLO 04/07/2020 1.03 04/08/2020 1.06 484 13.51  Period End Minor
 CHAP 04/07/2020 0.286 04/08/2020 0.279 1,743 -13.71  Period End Minor
 DAL 04/06/2020 22.32 04/08/2020 23.23 23 19.88  Close Signal Minor
 HLX 04/06/2020 1.00 04/08/2020 1.26 514 132.48  Close Signal Minor
 AXSM 04/06/2020 53.55 04/08/2020 58.20 9 40.84  Close Signal Minor
 LOVE 04/06/2020 4.17 04/08/2020 4.57 123 48.12  Close Signal Minor
 ETM 04/06/2020 0.813 04/08/2020 0.80 632 -9.11  Period End Minor
 GCI 04/06/2020 0.674 04/08/2020 0.742 763 50.65  Period End Minor
 LXU 04/06/2020 1.38 04/08/2020 1.36 372 -8.46  Period End Minor
 HMHC 04/06/2020 1.37 04/08/2020 1.41 375 13.96  Period End Minor
 HFFG 04/06/2020 5.90 04/08/2020 5.36 87 -47.96  Period End Minor
 PDCO 04/06/2020 13.10 04/07/2020 14.05 39 35.99  Close Signal Minor
 RLH 04/06/2020 1.24 04/07/2020 1.30 414 23.79  Close Signal Minor
 AERI 04/06/2020 12.00 04/07/2020 12.71 42 28.78  Close Signal Minor
 AAP 04/03/2020 84.65 04/06/2020 95.81 5 54.90  Close Signal Minor
 ABG 04/02/2020 47.00 04/07/2020 49.04 10 19.44  Close Signal Minor
 AKR 04/02/2020 10.44 04/07/2020 12.28 49 89.05  Close Signal Minor
 ADS 04/02/2020 28.29 04/06/2020 31.16 18 50.59  Close Signal Minor
 AEO 04/02/2020 6.79 04/06/2020 8.18 76 104.50  Close Signal Minor
 ALEX 04/02/2020 9.80 04/06/2020 10.87 52 54.57  Close Signal Minor
 ALGT 04/02/2020 69.50 04/06/2020 74.86 7 36.51  Close Signal Minor
 CVTI 03/31/2020 8.67 04/07/2020 7.87 59 -48.18  Close Signal Minor
 QUAD 03/31/2020 2.52 04/07/2020 2.24 205 -58.38  Close Signal Minor
 PACD 03/31/2020 0.43 04/07/2020 0.385 1,205 -55.45  Close Signal Minor
 BKE 03/31/2020 13.71 04/06/2020 14.87 37 41.86  Close Signal Minor
 MAC 03/31/2020 5.63 04/06/2020 6.08 92 40.32  Close Signal Minor
 SPWR 03/31/2020 5.07 04/06/2020 5.55 102 47.88  Close Signal Minor
 CHS 03/30/2020 1.42 04/06/2020 1.15 344 -93.76  Close Signal Minor
 MDP 03/30/2020 12.09 04/06/2020 11.73 40 -15.35  Close Signal Minor
 DNR 03/30/2020 0.206 04/02/2020 0.22 2,378 32.76  Close Signal Minor
 GPOR 03/30/2020 0.449 04/02/2020 0.47 1,090 21.45  Close Signal Minor
 MLND 03/27/2020 4.80 04/08/2020 1.43 100 -337.62  Period End Minor
 BGG 03/27/2020 1.90 04/07/2020 1.63 254 -69.48  Close Signal Minor
 WLL 03/27/2020 0.799 04/07/2020 0.355 606 -269.40  Close Signal Minor
 HBI 03/27/2020 8.19 04/06/2020 8.05 59 -9.22  Close Signal Minor
 YGYI 03/27/2020 1.03 04/06/2020 0.72 470 -146.52  Close Signal Minor
 RRTS 03/27/2020 4.55 04/03/2020 2.63 106 -204.28  Close Signal Minor
 CBL 03/27/2020 0.243 04/02/2020 0.219 1,993 -48.95  Close Signal Minor
 CRC 03/27/2020 1.32 04/02/2020 1.14 366 -66.78  Close Signal Minor
 TMDX 03/27/2020 11.76 04/02/2020 12.16 41 15.42  Close Signal Minor
 LQDT 03/27/2020 3.06 03/31/2020 3.88 158 128.46  Close Signal Minor
 OAS 03/27/2020 0.30 03/31/2020 0.35 1,614 79.65  Close Signal Minor
 ASIX 03/27/2020 8.94 03/31/2020 9.54 54 31.40  Close Signal Minor
 AMN 03/27/2020 48.28 03/31/2020 57.81 10 94.24  Close Signal Minor
 NESR 03/27/2020 4.30 03/31/2020 5.08 112 86.31  Close Signal Minor
 ALTM 03/27/2020 0.567 03/31/2020 0.75 853 154.89  Close Signal Minor
 ZEUS 03/27/2020 8.70 03/30/2020 9.68 55 52.89  Close Signal Minor
 SWN 03/26/2020 1.67 04/02/2020 1.70 251 6.68  Close Signal Minor
 KR 03/25/2020 27.94 03/30/2020 29.65 12 19.83  Close Signal Minor
 LNDC 03/25/2020 7.69 03/30/2020 8.47 45 34.37  Close Signal Minor
 FELE 03/25/2020 41.43 03/26/2020 46.65 8 41.06  Close Signal Minor
 FLO 03/25/2020 17.74 03/26/2020 19.58 19 34.25  Close Signal Minor
 NEU 03/25/2020 328.89 03/26/2020 362.05 1 32.47  Close Signal Minor
 PWOD 03/25/2020 19.05 03/26/2020 21.00 18 34.38  Close Signal Minor
 QDEL 03/25/2020 80.69 03/26/2020 88.97 4 32.44  Close Signal Minor
 TWNK 03/25/2020 9.44 03/26/2020 10.21 37 27.76  Close Signal Minor
 MFA 03/24/2020 0.36 03/27/2020 1.86 853 1,277.61  Close Signal Minor
 HSII 03/24/2020 20.00 03/26/2020 21.58 15 23.08  Close Signal Minor
 MTW 03/24/2020 8.66 03/26/2020 9.06 35 13.38  Close Signal Minor
 RWT 03/24/2020 2.59 03/26/2020 6.18 118 422.59  Close Signal Minor
 IVR 03/24/2020 2.52 03/26/2020 4.92 121 289.50  Close Signal Minor
 LADR 03/24/2020 3.61 03/26/2020 7.14 85 299.14  Close Signal Minor
 GPMT 03/24/2020 2.51 03/26/2020 6.81 122 523.46  Close Signal Minor
 SRRK 03/24/2020 13.71 03/26/2020 15.06 22 29.07  Close Signal Minor
 RDI 03/24/2020 3.20 03/25/2020 3.72 96 49.26  Close Signal Minor
 CIM 03/24/2020 7.60 03/25/2020 9.32 40 68.12  Close Signal Minor
 TWO 03/24/2020 2.61 03/25/2020 4.68 117 241.34  Close Signal Minor
 ARI 03/24/2020 4.24 03/25/2020 7.42 72 228.12  Close Signal Minor
 STWD 03/24/2020 8.80 03/25/2020 10.24 34 48.31  Close Signal Minor
 BXMT 03/24/2020 13.02 03/25/2020 16.83 23 86.94  Close Signal Minor
 ABT 03/23/2020 62.82 03/25/2020 70.75 5 38.98  Close Signal Minor
 AIV 03/23/2020 25.29 03/25/2020 30.51 12 61.97  Close Signal Minor
 AVY 03/23/2020 78.75 03/24/2020 96.76 4 71.34  Close Signal Minor
 BCO 03/20/2020 45.12 03/25/2020 50.05 8 38.68  Close Signal Minor
 AAP 03/20/2020 75.03 03/24/2020 86.38 4 44.75  Close Signal Minor
 ALK 03/20/2020 23.56 03/24/2020 28.91 15 79.46  Close Signal Minor
 BOCH 03/20/2020 6.32 03/24/2020 6.79 58 26.50  Close Signal Minor
 BA 03/20/2020 95.01 03/23/2020 105.62 3 31.23  Close Signal Minor
 AGEN 03/19/2020 2.05 03/24/2020 2.28 198 44.68  Close Signal Minor
 AGO 03/19/2020 20.38 03/24/2020 23.67 20 64.92  Close Signal Minor
 AKRX 03/19/2020 0.469 03/20/2020 0.541 869 61.86  Close Signal Minor
 ADES 03/17/2020 5.20 03/24/2020 5.44 79 18.12  Close Signal Minor
 ANH 03/13/2020 2.04 03/26/2020 1.26 205 -160.58  Close Signal Minor
 AGM 03/13/2020 56.32 03/24/2020 49.83 7 -46.17  Close Signal Minor
 AGYS 03/13/2020 20.46 03/24/2020 15.30 20 -103.92  Close Signal Minor
 AIR 03/13/2020 19.00 03/20/2020 13.37 22 -124.57  Close Signal Minor
 ABG 03/13/2020 55.11 03/19/2020 48.98 7 -43.64  Close Signal Minor
 AHT 03/13/2020 1.00 03/19/2020 1.25 419 103.81  Close Signal Minor
 ARAY 03/13/2020 1.73 03/19/2020 1.64 242 -22.60  Close Signal Minor



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