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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: 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: $-841   Total Trades: 925  
Capital Growth:-8%   Profit Trades, % of Total:58%  
Profit Factor: [?] 0.91  Max Drawdown29%($3,573)  
Expected Payoff: [?] $-0.91  Abs Drawdown11%($1,129)  
Payoff Ratio: [?] 0.66  Avg Market Impact [?]
Minor  Minor Market Impact
 
Avg Annual Return, %: -8.41%   
 Equity Graph 
 Performance 
YearTotal JanFeb MarAprMay JunJulAug SepOctNov Dec
2019 -8.41 10.81 11.35 -6.58 -0.51 -10.71 1.08 -0.28 -14.09 2.37 0.90
    Export   
Performed Trades: Top 100
All
 
 Symbol Entry Date Entry Price, $ Exit Date Exit Price, $ Shares Profit, $  Exit On  Market
Impact
[?]
 BGS 10/21/2019 16.16 10/21/2019 16.16 28 -0.32  Period End Minor
 BIG 10/21/2019 20.32 10/21/2019 20.32 23 -0.41  Period End Minor
 CF 10/21/2019 46.46 10/21/2019 46.46 10 -0.93  Period End Minor
 CME 10/21/2019 206.07 10/21/2019 206.07 2 -4.12  Period End Minor
 CRTX 10/21/2019 21.30 10/21/2019 21.30 21 -0.43  Period End Minor
 DNR 10/21/2019 1.00 10/21/2019 1.00 467 -0.02  Period End Minor
 EGHT 10/21/2019 18.62 10/21/2019 18.62 25 -0.37  Period End Minor
 FISV 10/21/2019 104.44 10/21/2019 104.44 4 -2.09  Period End Minor
 HEI 10/21/2019 118.59 10/21/2019 118.59 3 -2.37  Period End Minor
 ADBE 10/18/2019 265.52 10/21/2019 266.84 1 -4.00  Period End Minor
 ADSK 10/18/2019 139.67 10/21/2019 141.49 3 2.65  Period End Minor
 BA 10/18/2019 344.00 10/21/2019 331.06 1 -19.69  Period End Minor
 BLKB 10/18/2019 86.39 10/21/2019 87.38 5 3.21  Period End Minor
 CBS 10/18/2019 36.75 10/21/2019 36.35 12 -5.53  Period End Minor
 GBL 10/17/2019 16.75 10/21/2019 16.80 27 1.01  Close Signal Minor
 NI 10/17/2019 27.95 10/21/2019 28.05 16 1.04  Close Signal Minor
 CB 10/17/2019 153.02 10/21/2019 153.30 3 -2.22  Period End Minor
 IBM 10/17/2019 134.26 10/21/2019 132.58 3 -7.71  Period End Minor
 CNTY 10/17/2019 7.06 10/18/2019 7.32 66 17.02  Close Signal Minor
 DRI 10/17/2019 109.14 10/18/2019 110.45 4 3.04  Close Signal Minor
 CAG 10/16/2019 26.92 10/21/2019 27.46 17 8.64  Close Signal Minor
 CL 10/16/2019 67.85 10/21/2019 68.30 6 1.34  Close Signal Minor
 FLO 10/16/2019 21.70 10/21/2019 21.91 21 3.97  Close Signal Minor
 FSLR 10/16/2019 55.01 10/21/2019 56.34 8 9.53  Close Signal Minor
 EXC 10/16/2019 44.91 10/21/2019 44.71 10 -2.90  Period End Minor
 FDP 10/16/2019 29.06 10/21/2019 28.85 15 -3.73  Period End Minor
 AEE 10/16/2019 75.72 10/18/2019 76.62 6 3.88  Close Signal Minor
 ELS 10/16/2019 67.53 10/18/2019 69.03 6 7.63  Close Signal Minor
 CDZI 10/15/2019 11.61 10/21/2019 11.81 39 7.57  Close Signal Minor
 ACC 10/15/2019 47.83 10/17/2019 48.76 9 7.40  Close Signal Minor
 CDE 10/15/2019 4.33 10/17/2019 4.81 105 50.31  Close Signal Minor
 CHD 10/15/2019 72.80 10/17/2019 73.76 6 4.29  Close Signal Minor
 ARTNA 10/15/2019 35.90 10/16/2019 36.68 12 8.63  Close Signal Minor
 CBRL 10/14/2019 155.10 10/18/2019 158.67 2 4.00  Close Signal Minor
 PBYI 10/11/2019 7.13 10/21/2019 6.93 64 -12.94  Close Signal Minor
 CMRX 10/11/2019 1.55 10/21/2019 1.46 297 -26.76  Close Signal Minor
 HRL 10/11/2019 41.16 10/21/2019 40.64 11 -6.54  Period End Minor
 DENN 10/11/2019 21.89 10/17/2019 21.83 21 -1.70  Close Signal Minor
 EIX 10/11/2019 71.33 10/17/2019 70.56 6 -6.04  Close Signal Minor
 FRGI 10/11/2019 9.08 10/17/2019 8.89 50 -9.68  Close Signal Minor
 ACOR 10/11/2019 2.41 10/16/2019 2.55 191 26.69  Close Signal Minor
 PKE 10/11/2019 16.12 10/16/2019 16.20 28 1.92  Close Signal Minor
 CDXC 10/11/2019 3.16 10/16/2019 3.39 145 33.28  Close Signal Minor
 TBIO 10/11/2019 8.11 10/16/2019 8.54 56 23.91  Close Signal Minor
 ROSE 10/11/2019 1.47 10/15/2019 1.48 313 3.10  Close Signal Minor
 OVLY 10/11/2019 16.46 10/15/2019 16.74 27 7.23  Close Signal Minor
 ADTN 10/10/2019 8.81 10/16/2019 9.60 52 40.90  Close Signal Minor
 ALEX 10/10/2019 24.08 10/16/2019 24.31 19 3.89  Close Signal Minor
 AXS 10/10/2019 62.12 10/15/2019 62.72 7 2.95  Close Signal Minor
 AHT 10/09/2019 2.89 10/16/2019 2.90 159 1.53  Close Signal Minor
 ALB 10/09/2019 63.60 10/10/2019 65.46 7 11.73  Close Signal Minor
 ALXN 10/09/2019 94.84 10/10/2019 98.35 4 12.11  Close Signal Minor
 AAP 10/08/2019 154.33 10/11/2019 158.56 2 5.33  Close Signal Minor
 AEO 10/07/2019 14.46 10/11/2019 15.04 31 17.68  Close Signal Minor
 APA 10/07/2019 21.40 10/11/2019 21.42 21 -0.01  Close Signal Minor
 CNSL 10/04/2019 4.08 10/15/2019 3.50 112 -65.04  Close Signal Minor
 CRY 10/04/2019 24.38 10/15/2019 23.10 18 -23.51  Close Signal Minor
 ANGO 10/04/2019 14.60 10/14/2019 14.73 31 3.74  Close Signal Minor
 BIG 10/04/2019 21.53 10/11/2019 22.20 21 13.63  Close Signal Minor
 CAKE 10/04/2019 39.64 10/11/2019 39.07 11 -7.06  Close Signal Minor
 CAMP 10/04/2019 9.81 10/11/2019 10.16 46 15.90  Close Signal Minor
 CHS 10/04/2019 3.44 10/11/2019 3.51 133 9.24  Close Signal Minor
 DBD 10/04/2019 9.90 10/11/2019 9.33 46 -26.41  Close Signal Minor
 CRC 10/04/2019 8.70 10/10/2019 8.55 52 -7.97  Close Signal Minor
 AXTI 10/04/2019 2.80 10/09/2019 2.99 163 30.91  Close Signal Minor
 COWN 10/04/2019 13.98 10/09/2019 14.03 32 1.32  Close Signal Minor
 CTRN 10/04/2019 17.45 10/09/2019 18.08 26 16.02  Close Signal Minor
 CRZO 10/04/2019 7.45 10/08/2019 7.52 61 4.12  Close Signal Minor
 AA 10/03/2019 19.05 10/11/2019 19.28 24 5.14  Close Signal Minor
 AIN 10/03/2019 84.36 10/07/2019 85.72 5 5.10  Close Signal Minor
 AEE 10/03/2019 78.50 10/04/2019 79.53 5 3.57  Close Signal Minor
 AEL 10/03/2019 22.18 10/04/2019 23.12 20 18.35  Close Signal Minor
 AGM 10/03/2019 79.48 10/04/2019 80.96 5 5.80  Close Signal Minor
 AGX 10/03/2019 37.69 10/04/2019 38.23 12 5.72  Close Signal Minor
 ALE 10/03/2019 85.99 10/04/2019 87.12 5 3.92  Close Signal Minor
 A 10/02/2019 73.35 10/04/2019 75.88 6 13.69  Close Signal Minor
 AGO 10/01/2019 43.96 10/07/2019 44.14 10 0.92  Close Signal Minor
 ARAY 09/30/2019 2.77 10/11/2019 2.67 171 -17.15  Close Signal Minor
 AMGN 09/30/2019 193.51 10/04/2019 195.59 2 0.27  Close Signal Minor
 ACOR 09/30/2019 2.87 10/03/2019 2.84 165 -5.01  Close Signal Minor
 ABMD 09/27/2019 175.89 10/11/2019 169.64 2 -15.96  Close Signal Minor
 AIG 09/26/2019 55.88 10/04/2019 54.43 8 -12.70  Close Signal Minor
 ATEC 09/26/2019 5.15 10/03/2019 4.98 92 -15.74  Close Signal Minor
 ARQL 09/26/2019 7.23 10/02/2019 7.49 65 16.75  Close Signal Minor
 ALKS 09/25/2019 19.92 10/11/2019 18.02 23 -44.08  Close Signal Minor
 ADSK 09/25/2019 147.43 10/04/2019 146.89 3 -4.56  Close Signal Minor
 ARNA 09/25/2019 48.37 10/04/2019 45.94 9 -22.81  Close Signal Minor
 ATRO 09/25/2019 29.65 10/04/2019 29.41 16 -4.43  Close Signal Minor
 BMRN 09/25/2019 71.78 10/04/2019 65.91 6 -36.60  Close Signal Minor
 AGEN 09/25/2019 2.83 10/03/2019 2.58 168 -42.05  Close Signal Minor
 ATHX 09/25/2019 1.34 10/03/2019 1.34 355 -0.03  Close Signal Minor
 AVAV 09/25/2019 55.51 10/03/2019 53.26 8 -19.09  Close Signal Minor
 ALGT 09/25/2019 148.50 09/30/2019 149.66 3 0.50  Close Signal Minor
 ANDE 09/23/2019 25.72 10/21/2019 17.90 18 -141.20  Period End Minor
 AMG 09/23/2019 85.32 09/30/2019 83.35 5 -11.54  Close Signal Minor
 ADM 09/23/2019 40.40 09/26/2019 40.86 11 4.25  Close Signal Minor
 ACIW 09/23/2019 31.31 09/25/2019 31.47 15 1.77  Close Signal Minor



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