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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".

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: 1/1/2026 - 12/31/2026
 Results 
Total Profit: $435   Total Trades: 979  
Capital Growth:4.35%   Profit Trades, % of Total:61%  
Profit Factor: [?] 1.04  Avg Trade Duration, days:4.25  
Payoff Ratio: [?] 0.67   Avg Profit per Trade:0.15%  
Max Drawdown:15%   Avg Profit per Day:0.035%  
Max Drawdown, $: 1,681   Avg Market Impact: [?]
Minor  
 
Restoration Factor: [?] 0.26   Overall Viability Score: [?]
4 / 10
 
Avg Annual Return: 4.35%   CAGR: [?]4.35%  
 Equity Graph 
 Performance 
Year S&P 500 Equity JanFeb MarAprMay JunJulAug SepOctNov 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
        
Performed Trades  
 Symbol Entry Date
Entry
Price, $
Exit Date
Exit
Price, $
Shares Profit, $  Exit On
Stop
Loss, $
Take
Profit, $
 MI [?]
 CLF 06/29/2026 9.38 07/02/2026 9.86 57 26.25  Close Signal  Minor 
 AMP 06/29/2026 445.40 06/30/2026 457.34 1 11.03  Close Signal  Minor 
 APD 06/29/2026 267.90 06/30/2026 289.45 2 41.96  Close Signal  Minor 
 COCO 06/26/2026 73.71 07/08/2026 68.43 7 -37.94  Close Signal  Minor 
 ARAY 06/26/2026 0.2646 07/06/2026 0.271 2,090 12.25  Close Signal  Minor 
 CME 06/26/2026 219.97 07/01/2026 229.92 2 18.99  Close Signal  Minor 
 AAPL 06/25/2026 274.91 06/30/2026 289.11 2 27.26  Close Signal  Minor 
 BOOM 06/24/2026 6.20 07/01/2026 6.26 90 4.28  Close Signal  Minor 
 AVAV 06/24/2026 142.18 06/30/2026 165.07 3 67.71  Close Signal  Minor 
 BAM 06/24/2026 44.46 06/30/2026 44.41 12 -1.67  Close Signal  Minor 
 BCO 06/24/2026 96.04 06/30/2026 94.29 5 -9.70  Close Signal  Minor 
 BX 06/24/2026 111.86 06/30/2026 116.50 5 22.05  Close Signal  Minor 
 AU 06/24/2026 78.12 06/29/2026 81.30 7 21.13  Close Signal  Minor 
 CDE 06/24/2026 15.47 06/29/2026 16.33 36 29.80  Close Signal  Minor 
 ALB 06/23/2026 149.47 07/01/2026 135.62 3 -42.38  Close Signal  Minor 
 AKAM 06/23/2026 119.87 06/30/2026 118.21 4 -7.59  Close Signal  Minor 
 CE 06/23/2026 48.07 06/26/2026 49.36 11 13.11  Close Signal  Minor 
 BG 06/23/2026 110.17 06/25/2026 110.86 5 2.34  Close Signal  Minor 
 BIO 06/23/2026 270.32 06/24/2026 280.05 2 18.35  Close Signal  Minor 
 AGYS 06/22/2026 84.44 06/24/2026 92.31 6 46.14  Close Signal  Minor 
 ADP 06/22/2026 213.24 06/23/2026 219.10 2 10.85  Close Signal  Minor 
 AJG 06/22/2026 208.51 06/23/2026 215.20 2 12.53  Close Signal  Minor 
 AA 06/18/2026 59.11 07/14/2026 48.84 9 -93.36  Close Signal  Minor 
 ACI 06/18/2026 13.09 06/24/2026 13.75 43 27.21  Close Signal  Minor 
 A 06/17/2026 123.91 06/23/2026 126.24 4 8.31  Close Signal  Minor 
 CERS 06/16/2026 2.47 06/17/2026 2.57 229 21.73  Close Signal  Minor 
 EPM 06/15/2026 3.76 07/08/2026 3.64 150 -19.10  Close Signal  Minor 
 HAL 06/15/2026 38.00 07/07/2026 33.63 14 -62.15  Close Signal  Minor 
 DAR 06/15/2026 56.12 06/29/2026 53.15 10 -30.78  Close Signal  Minor 
 BSX 06/15/2026 46.76 06/23/2026 45.60 12 -15.02  Close Signal  Minor 
 IMKTA 06/15/2026 87.99 06/22/2026 89.41 6 7.45  Close Signal  Minor 
 SSP 06/15/2026 2.89 06/22/2026 2.82 196 -14.83  Close Signal  Minor 
 IDT 06/15/2026 52.71 06/18/2026 55.37 10 25.51  Close Signal  Minor 
 STAA 06/15/2026 28.37 06/16/2026 28.92 19 9.36  Close Signal  Minor 
 IT 06/12/2026 148.17 06/24/2026 130.47 3 -53.91  Close Signal  Minor 
 CTSH 06/11/2026 50.88 07/01/2026 40.83 11 -111.50  Close Signal  Minor 
 CVI 06/11/2026 30.29 06/29/2026 28.01 18 -42.07  Close Signal  Minor 
 ACN 06/11/2026 164.16 06/26/2026 126.39 3 -114.13  Close Signal  Minor 
 ADSK 06/11/2026 205.57 06/24/2026 192.61 2 -26.70  Close Signal  Minor 
 EQT 06/11/2026 51.04 06/22/2026 51.68 11 5.91  Close Signal  Minor 
 HAIN 06/11/2026 0.6302 06/18/2026 0.6059 900 -22.97  Close Signal  Minor 
 EFX 06/11/2026 159.11 06/15/2026 164.65 3 15.64  Close Signal  Minor 
 GPOR 06/11/2026 162.48 06/12/2026 166.41 3 10.80  Close Signal  Minor 
 AAON 06/10/2026 120.96 06/15/2026 131.09 4 39.49  Close Signal  Minor 
 DMRC 06/09/2026 11.67 06/29/2026 7.88 48 -182.77  Close Signal  Minor 
 DOX 06/09/2026 56.77 06/26/2026 50.89 10 -59.85  Close Signal  Minor 
 ADBE 06/09/2026 237.88 06/24/2026 196.57 2 -83.45  Close Signal  Minor 
 CRM 06/09/2026 174.58 06/24/2026 152.49 3 -67.22  Close Signal  Minor 
 AMPL 06/09/2026 6.96 06/23/2026 6.66 81 -25.39  Close Signal  Minor 
 AAPL 06/09/2026 290.29 06/15/2026 296.16 1 5.28  Close Signal  Minor 
 CIEN 06/09/2026 439.34 06/15/2026 463.41 1 23.16  Close Signal  Minor 
 CSPI 06/09/2026 8.18 06/11/2026 9.05 69 58.81  Close Signal  Minor 
 AKAM 06/08/2026 141.87 06/15/2026 134.20 3 -23.83  Close Signal  Minor 
 DLB 06/05/2026 53.47 06/15/2026 53.13 10 -4.46  Close Signal  Minor 
 CGNX 06/05/2026 60.73 06/11/2026 62.02 9 10.50  Close Signal  Minor 
 CMP 06/05/2026 29.63 06/11/2026 30.21 18 9.36  Close Signal  Minor 
 FMC 06/05/2026 11.46 06/11/2026 11.09 49 -19.23  Close Signal  Minor 
 GPN 06/05/2026 65.88 06/11/2026 65.01 8 -8.00  Close Signal  Minor 
 EE 06/05/2026 32.15 06/10/2026 32.69 17 8.07  Close Signal  Minor 
 ARL 06/05/2026 13.81 06/09/2026 15.00 40 46.42  Close Signal  Minor 
 CBT 06/05/2026 80.43 06/09/2026 83.92 6 19.94  Close Signal  Minor 
 EXP 06/05/2026 212.19 06/09/2026 216.84 2 8.44  Close Signal  Minor 
 HELE 06/05/2026 24.34 06/09/2026 26.97 23 59.28  Close Signal  Minor 
 ALB 06/04/2026 164.68 06/11/2026 158.13 3 -20.61  Close Signal  Minor 
 ALTI 06/04/2026 3.04 06/11/2026 2.94 184 -19.49  Close Signal  Minor 
 CMCO 06/04/2026 14.03 06/11/2026 13.32 40 -29.48  Close Signal  Minor 
 CMCSA 06/04/2026 22.66 06/09/2026 23.17 24 11.13  Close Signal  Minor 
 BJRI 06/04/2026 42.90 06/08/2026 44.17 13 15.37  Close Signal  Minor 
 CMG 06/04/2026 28.18 06/05/2026 29.34 19 20.94  Close Signal  Minor 
 DRI 06/04/2026 190.36 06/05/2026 194.95 2 8.40  Close Signal  Minor 
 AMSC 06/03/2026 46.67 06/15/2026 41.07 11 -62.53  Close Signal  Minor 
 AMZN 06/03/2026 250.02 06/15/2026 246.02 2 -8.99  Close Signal  Minor 
 ATNI 06/03/2026 25.37 06/09/2026 25.77 21 7.32  Close Signal  Minor 
 ABX 06/03/2026 8.30 06/04/2026 8.87 67 37.02  Close Signal  Minor 
 AWI 06/02/2026 152.56 06/05/2026 154.86 3 5.97  Close Signal  Minor 
 BKD 06/02/2026 12.05 06/05/2026 12.34 46 12.21  Close Signal  Minor 
 AMGN 06/02/2026 326.36 06/03/2026 336.26 1 9.23  Close Signal  Minor 
 AIG 06/01/2026 72.49 06/05/2026 74.50 7 13.03  Close Signal  Minor 
 ATO 06/01/2026 166.15 06/05/2026 169.22 3 8.20  Close Signal  Minor 
 AEE 06/01/2026 103.62 06/04/2026 105.49 5 8.30  Close Signal  Minor 
 ANGO 06/01/2026 10.91 06/04/2026 12.03 50 54.82  Close Signal  Minor 
 ATEC 06/01/2026 7.48 06/03/2026 7.68 74 13.67  Close Signal  Minor 
 AEP 06/01/2026 122.86 06/02/2026 126.15 4 12.16  Close Signal  Minor 
 AM 06/01/2026 20.40 06/02/2026 20.77 27 8.87  Close Signal  Minor 
 ADC 05/28/2026 72.92 06/05/2026 72.06 7 -7.03  Close Signal  Minor 
 AGO 05/28/2026 73.81 06/04/2026 73.50 7 -3.20  Close Signal  Minor 
 BGC 05/28/2026 10.46 06/04/2026 10.54 53 3.12  Close Signal  Minor 
 AIZ 05/28/2026 245.79 06/03/2026 246.80 2 1.03  Close Signal  Minor 
 ACGL 05/27/2026 91.40 06/05/2026 91.19 6 -2.35  Close Signal  Minor 
 AFG 05/27/2026 131.86 06/05/2026 130.76 4 -5.45  Close Signal  Minor 
 AXS 05/27/2026 94.78 06/04/2026 94.51 5 -2.30  Close Signal  Minor 
 AFL 05/27/2026 114.27 06/02/2026 113.06 4 -5.75  Close Signal  Minor 
 GLRE 05/26/2026 16.75 06/05/2026 15.53 32 -40.05  Close Signal  Minor 
 GPOR 05/26/2026 172.24 06/04/2026 171.06 3 -4.57  Close Signal  Minor 
 COP 05/26/2026 115.80 06/01/2026 114.82 4 -4.84  Close Signal  Minor 
 DVN 05/26/2026 44.52 06/01/2026 45.68 12 12.83  Close Signal  Minor 
 CRK 05/26/2026 13.18 05/28/2026 13.65 41 18.16  Close Signal  Minor 
 CVS 05/26/2026 89.53 05/28/2026 91.74 6 12.17  Close Signal  Minor 
 ALTI 05/26/2026 3.13 05/27/2026 3.45 175 54.82  Close Signal  Minor 
 CHDN 05/26/2026 83.07 05/27/2026 86.88 6 21.83  Close Signal  Minor 
979 trades
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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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