| Strategy |
Larry Connors RSI-2 Backtest |
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Developed by Larry Connors, the 2-period Relative Strength Indicator (RSI) strategy 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". |
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| Type of Positions |
Long |
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| Criteria for Opening a Position: |
index(russell3000) and rsi(2) < 5
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| Order Execution Model: |
Close Prices
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| Criteria for Closing a Position: |
price ca sma(5)
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| Order Execution Model: |
Close Prices
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| Initial Capital: |
$10,000 |
| Capital at Risk: |
5%
per trade
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| Portfolio Max Size: |
20 positions |
| Comm. per Trade: |
0.05%
| |
| Avg Bid-Ask Spread: |
0.1% |
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| Period: |
1/1/2026 - 12/31/2026 |
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| Total Profit: |
$435 |
|
Total Trades: |
979 |
|
| Capital Growth: | 4.35% |
|
Profit Trades, % of Total: | 61% |
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| Profit Factor: [?] |
1.04 | |
Avg Trade Duration, days: | 4.25 |
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| Payoff Ratio: [?] |
0.67 |
|
Avg Profit per Trade: | 0.15% |
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| Max Drawdown: | 15% |
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Avg Profit per Day: | 0.035% |
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| Max Drawdown, $: |
1,681 |
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Avg Market Impact: [?] |
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| Restoration Factor: [?] |
0.26 |
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Overall Viability Score: [?] |
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| Avg Annual Return: |
4.35% |
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CAGR: [?] | 4.35% |
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|
| Year |
S&P 500 |
Equity |
Jan | Feb |
Mar | Apr | May |
Jun | Jul | Aug |
Sep | Oct | Nov |
Dec |
| 2026 |
10.73 |
4.35 |
3.44
|
-3.24
|
-3.63
|
8.53
|
4.13
|
-2.84
|
6.98
|
-0.02
|
-4.63
|
-3.40
|
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| Symbol |
Entry Date |
|
Exit Date |
|
Shares |
Profit, $ |
Exit On |
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|
MI
[?] |
| |
07/27/2026 |
3.08 |
07/30/2026 |
3.14 |
186 |
10.00 |
Close Signal |
|
|
|
| |
07/27/2026 |
0.225 |
07/28/2026 |
0.2434 |
2,554 |
45.77 |
Close Signal |
|
|
|
| |
07/24/2026 |
5.32 |
07/31/2026 |
5.22 |
108 |
-11.93 |
Close Signal |
|
|
|
| |
07/24/2026 |
574.08 |
07/31/2026 |
568.91 |
1 |
-6.31 |
Close Signal |
|
|
|
| |
07/24/2026 |
114.46 |
07/30/2026 |
117.36 |
5 |
13.33 |
Close Signal |
|
|
|
| |
07/24/2026 |
232.11 |
07/30/2026 |
235.50 |
2 |
5.84 |
Close Signal |
|
|
|
| |
07/24/2026 |
325.15 |
07/30/2026 |
336.47 |
1 |
10.65 |
Close Signal |
|
|
|
| |
07/24/2026 |
87.51 |
07/29/2026 |
87.61 |
6 |
-0.45 |
Close Signal |
|
|
|
| |
07/23/2026 |
11.13 |
07/29/2026 |
11.91 |
51 |
38.59 |
Close Signal |
|
|
|
| |
07/23/2026 |
94.48 |
07/27/2026 |
99.14 |
6 |
26.78 |
Close Signal |
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|
|
| |
07/23/2026 |
8.05 |
07/27/2026 |
8.67 |
71 |
42.81 |
Close Signal |
|
|
|
| |
07/23/2026 |
212.17 |
07/24/2026 |
225.11 |
2 |
24.99 |
Close Signal |
|
|
|
| |
07/22/2026 |
97.04 |
07/27/2026 |
103.24 |
5 |
29.98 |
Close Signal |
|
|
|
| |
07/22/2026 |
45.78 |
07/23/2026 |
52.32 |
12 |
77.26 |
Close Signal |
|
|
|
| |
07/21/2026 |
39.94 |
08/03/2026 |
38.05 |
14 |
-27.54 |
Close Signal |
|
|
|
| |
07/21/2026 |
5.23 |
07/28/2026 |
5.08 |
107 |
-17.15 |
Close Signal |
|
|
|
| |
07/21/2026 |
60.15 |
07/27/2026 |
60.40 |
9 |
1.16 |
Close Signal |
|
|
|
| |
07/21/2026 |
340.57 |
07/24/2026 |
358.28 |
1 |
17.00 |
Close Signal |
|
|
|
| |
07/21/2026 |
204.80 |
07/24/2026 |
209.52 |
2 |
8.61 |
Close Signal |
|
|
|
| |
07/21/2026 |
7.80 |
07/24/2026 |
7.92 |
72 |
7.50 |
Close Signal |
|
|
|
| |
07/21/2026 |
219.40 |
07/23/2026 |
229.29 |
2 |
18.87 |
Close Signal |
|
|
|
| |
07/21/2026 |
178.69 |
07/23/2026 |
192.16 |
3 |
39.28 |
Close Signal |
|
|
|
| |
07/21/2026 |
236.27 |
07/22/2026 |
248.07 |
2 |
22.62 |
Close Signal |
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|
|
| |
07/20/2026 |
10.26 |
07/24/2026 |
10.38 |
54 |
5.36 |
Close Signal |
|
|
|
| |
07/20/2026 |
103.75 |
07/23/2026 |
107.54 |
5 |
17.88 |
Close Signal |
|
|
|
| |
07/17/2026 |
6.62 |
07/27/2026 |
7.07 |
84 |
36.63 |
Close Signal |
|
|
|
| |
07/16/2026 |
1.49 |
07/30/2026 |
1.38 |
376 |
-42.42 |
Close Signal |
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|
|
| |
07/16/2026 |
44.07 |
07/28/2026 |
42.06 |
12 |
-25.14 |
Close Signal |
|
|
|
| |
07/16/2026 |
46.23 |
07/27/2026 |
44.06 |
12 |
-27.11 |
Close Signal |
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|
|
| |
07/16/2026 |
364.65 |
07/27/2026 |
338.61 |
1 |
-26.73 |
Close Signal |
|
|
|
| |
07/16/2026 |
46.64 |
07/22/2026 |
45.97 |
12 |
-9.15 |
Close Signal |
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|
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| |
07/16/2026 |
66.04 |
07/21/2026 |
69.00 |
8 |
22.59 |
Close Signal |
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|
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| |
07/16/2026 |
388.81 |
07/21/2026 |
408.73 |
1 |
19.11 |
Close Signal |
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|
|
| |
07/16/2026 |
276.96 |
07/21/2026 |
317.22 |
2 |
79.29 |
Close Signal |
|
|
|
| |
07/16/2026 |
60.97 |
07/21/2026 |
63.63 |
9 |
22.81 |
Close Signal |
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|
|
| |
07/15/2026 |
87.27 |
07/28/2026 |
83.68 |
6 |
-22.55 |
Close Signal |
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|
|
| |
07/15/2026 |
9.41 |
07/21/2026 |
9.42 |
59 |
-0.52 |
Close Signal |
|
|
|
| |
07/15/2026 |
224.43 |
07/21/2026 |
226.58 |
2 |
3.40 |
Close Signal |
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|
|
| |
07/15/2026 |
12.99 |
07/21/2026 |
12.47 |
42 |
-22.90 |
Close Signal |
|
|
|
| |
07/15/2026 |
363.86 |
07/20/2026 |
368.81 |
1 |
4.21 |
Close Signal |
|
|
|
| |
07/15/2026 |
206.93 |
07/16/2026 |
214.85 |
2 |
14.99 |
Close Signal |
|
|
|
| |
07/14/2026 |
18.15 |
07/27/2026 |
15.00 |
30 |
-95.45 |
Close Signal |
|
|
|
| |
07/14/2026 |
281.26 |
07/24/2026 |
271.77 |
1 |
-10.04 |
Close Signal |
|
|
|
| |
07/14/2026 |
137.36 |
07/21/2026 |
139.42 |
4 |
7.13 |
Close Signal |
|
|
|
| |
07/14/2026 |
7.50 |
07/20/2026 |
7.69 |
74 |
12.93 |
Close Signal |
|
|
|
| |
07/14/2026 |
51.60 |
07/16/2026 |
51.94 |
10 |
2.36 |
Close Signal |
|
|
|
| |
07/14/2026 |
353.19 |
07/16/2026 |
369.42 |
1 |
15.50 |
Close Signal |
|
|
|
| |
07/14/2026 |
42.63 |
07/16/2026 |
44.62 |
13 |
24.72 |
Close Signal |
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|
|
| |
07/13/2026 |
90.91 |
07/16/2026 |
98.24 |
6 |
42.82 |
Close Signal |
|
|
|
| |
07/10/2026 |
24.09 |
07/21/2026 |
21.11 |
23 |
-69.55 |
Close Signal |
|
|
|
| |
07/10/2026 |
27.52 |
07/16/2026 |
28.29 |
20 |
14.28 |
Close Signal |
|
|
|
| |
07/10/2026 |
206.67 |
07/16/2026 |
208.63 |
2 |
3.09 |
Close Signal |
|
|
|
| |
07/10/2026 |
152.10 |
07/16/2026 |
153.38 |
3 |
2.92 |
Close Signal |
|
|
|
| |
07/10/2026 |
125.62 |
07/14/2026 |
128.32 |
4 |
9.78 |
Close Signal |
|
|
|
| |
07/10/2026 |
165.05 |
07/14/2026 |
168.75 |
3 |
10.09 |
Close Signal |
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|
|
| |
07/09/2026 |
49.99 |
07/17/2026 |
49.41 |
11 |
-7.47 |
Close Signal |
|
|
|
| |
07/09/2026 |
13.69 |
07/16/2026 |
13.10 |
40 |
-24.66 |
Close Signal |
|
|
|
| |
07/09/2026 |
32.64 |
07/15/2026 |
33.25 |
16 |
8.70 |
Close Signal |
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|
|
| |
07/09/2026 |
125.44 |
07/15/2026 |
124.42 |
4 |
-5.08 |
Close Signal |
|
|
|
| |
07/09/2026 |
161.14 |
07/15/2026 |
160.93 |
3 |
-1.60 |
Close Signal |
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|
|
| |
07/09/2026 |
58.31 |
07/14/2026 |
60.14 |
9 |
15.40 |
Close Signal |
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|
|
| |
07/09/2026 |
328.85 |
07/14/2026 |
337.18 |
1 |
7.66 |
Close Signal |
|
|
|
| |
07/09/2026 |
265.67 |
07/14/2026 |
264.88 |
2 |
-2.64 |
Close Signal |
|
|
|
| |
07/09/2026 |
146.31 |
07/14/2026 |
148.96 |
3 |
7.06 |
Close Signal |
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|
|
| |
07/09/2026 |
174.43 |
07/13/2026 |
181.63 |
3 |
20.52 |
Close Signal |
|
|
|
| |
07/09/2026 |
3.75 |
07/10/2026 |
3.81 |
147 |
7.70 |
Close Signal |
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|
|
| |
07/09/2026 |
90.66 |
07/10/2026 |
94.06 |
6 |
19.28 |
Close Signal |
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|
| |
07/09/2026 |
535.48 |
07/10/2026 |
549.96 |
1 |
13.39 |
Close Signal |
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| |
07/08/2026 |
54.52 |
07/10/2026 |
57.61 |
10 |
29.76 |
Close Signal |
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| |
07/08/2026 |
108.26 |
07/09/2026 |
114.65 |
5 |
30.82 |
Close Signal |
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| |
07/08/2026 |
47.53 |
07/09/2026 |
50.14 |
11 |
27.62 |
Close Signal |
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|
| |
07/07/2026 |
4.45 |
07/15/2026 |
4.45 |
124 |
-1.10 |
Close Signal |
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| |
07/07/2026 |
4.78 |
07/10/2026 |
4.89 |
115 |
11.53 |
Close Signal |
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| |
07/07/2026 |
131.54 |
07/09/2026 |
142.93 |
4 |
44.44 |
Close Signal |
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| |
07/06/2026 |
49.13 |
07/15/2026 |
47.98 |
11 |
-13.71 |
Close Signal |
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| |
07/06/2026 |
167.01 |
07/15/2026 |
162.70 |
3 |
-13.91 |
Close Signal |
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| |
07/06/2026 |
76.68 |
07/09/2026 |
78.21 |
7 |
9.62 |
Close Signal |
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| |
07/02/2026 |
40.33 |
07/10/2026 |
39.87 |
13 |
-7.02 |
Close Signal |
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| |
07/02/2026 |
107.48 |
07/09/2026 |
110.11 |
5 |
12.06 |
Close Signal |
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| |
07/02/2026 |
69.96 |
07/09/2026 |
76.21 |
7 |
42.70 |
Close Signal |
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| |
07/02/2026 |
70.83 |
07/09/2026 |
71.86 |
7 |
6.21 |
Close Signal |
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| |
07/02/2026 |
78.66 |
07/09/2026 |
77.56 |
7 |
-8.79 |
Close Signal |
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| |
07/02/2026 |
58.54 |
07/09/2026 |
57.40 |
9 |
-11.30 |
Close Signal |
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| |
07/02/2026 |
60.46 |
07/09/2026 |
60.92 |
9 |
3.05 |
Close Signal |
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| |
07/02/2026 |
52.59 |
07/07/2026 |
54.27 |
10 |
15.72 |
Close Signal |
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| |
07/01/2026 |
209.61 |
07/09/2026 |
205.29 |
2 |
-9.47 |
Close Signal |
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| |
07/01/2026 |
192.17 |
07/09/2026 |
188.36 |
2 |
-8.38 |
Close Signal |
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| |
07/01/2026 |
67.16 |
07/07/2026 |
67.79 |
8 |
3.96 |
Close Signal |
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| |
07/01/2026 |
184.33 |
07/06/2026 |
190.72 |
2 |
12.02 |
Close Signal |
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|
| |
07/01/2026 |
31.49 |
07/06/2026 |
32.08 |
17 |
8.94 |
Close Signal |
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| |
06/30/2026 |
178.36 |
07/08/2026 |
175.10 |
3 |
-10.84 |
Close Signal |
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| |
06/30/2026 |
42.68 |
07/02/2026 |
45.14 |
12 |
28.45 |
Close Signal |
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|
|
| |
06/30/2026 |
147.83 |
07/02/2026 |
163.44 |
3 |
45.87 |
Close Signal |
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|
|
| |
06/30/2026 |
103.27 |
07/02/2026 |
104.04 |
5 |
2.81 |
Close Signal |
|
|
|
| |
06/30/2026 |
164.33 |
07/02/2026 |
167.74 |
3 |
9.23 |
Close Signal |
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|
|
| |
06/30/2026 |
528.19 |
07/02/2026 |
546.97 |
1 |
17.70 |
Close Signal |
|
|
|
| |
06/30/2026 |
15.50 |
07/02/2026 |
16.11 |
35 |
20.23 |
Close Signal |
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|
|
| |
06/30/2026 |
135.05 |
07/01/2026 |
137.86 |
4 |
10.14 |
Close Signal |
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|
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| |
06/29/2026 |
90.07 |
07/09/2026 |
84.32 |
6 |
-35.53 |
Close Signal |
|
|
|
| |
06/29/2026 |
10.43 |
07/02/2026 |
11.00 |
52 |
28.51 |
Close Signal |
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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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