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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 [?]
 CODI 05/22/2026 11.46 06/09/2026 10.64 47 -39.56  Close Signal  Minor 
 SBUX 05/22/2026 102.52 06/09/2026 96.85 5 -29.33  Close Signal  Minor 
 EGY 05/22/2026 5.66 06/01/2026 5.38 95 -27.64  Close Signal  Minor 
 GOOG 05/22/2026 378.90 05/26/2026 384.36 1 4.69  Close Signal  Minor 
 EHTH 05/21/2026 1.62 06/01/2026 1.64 331 5.54  Close Signal  Minor 
 GLNG 05/21/2026 51.80 06/01/2026 50.35 10 -15.51  Close Signal  Minor 
 DE 05/21/2026 528.71 05/28/2026 536.32 1 6.54  Close Signal  Minor 
 INTU 05/21/2026 304.25 05/28/2026 310.12 1 5.25  Close Signal  Minor 
 BCRX 05/21/2026 8.37 05/27/2026 9.12 64 46.86  Close Signal  Minor 
 GPRE 05/21/2026 15.07 05/26/2026 15.83 35 25.51  Close Signal  Minor 
 GVA 05/21/2026 127.38 05/26/2026 133.26 4 22.47  Close Signal  Minor 
 HXL 05/21/2026 84.61 05/26/2026 87.81 6 18.16  Close Signal  Minor 
 APD 05/20/2026 285.51 06/03/2026 278.68 1 -7.39  Close Signal  Minor 
 AMP 05/20/2026 455.85 06/01/2026 445.76 1 -10.99  Close Signal  Minor 
 DOW 05/20/2026 35.50 06/01/2026 34.30 14 -17.77  Close Signal  Minor 
 CE 05/20/2026 53.43 05/27/2026 52.86 9 -6.08  Close Signal  Minor 
 ADI 05/20/2026 395.76 05/26/2026 417.53 1 20.95  Close Signal  Minor 
 DAR 05/20/2026 58.98 05/26/2026 59.35 8 2.01  Close Signal  Minor 
 CIA 05/20/2026 4.80 05/22/2026 4.94 110 14.32  Close Signal  Minor 
 CTRN 05/20/2026 36.28 05/22/2026 42.61 14 87.47  Close Signal  Minor 
 ACAD 05/19/2026 20.48 05/21/2026 21.32 25 19.94  Close Signal  Minor 
 AEIS 05/19/2026 302.64 05/21/2026 323.58 1 20.30  Close Signal  Minor 
 AMKR 05/18/2026 65.85 05/26/2026 73.25 8 58.06  Close Signal  Minor 
 CZWI 05/18/2026 20.41 05/26/2026 20.59 26 3.61  Close Signal  Minor 
 ACH 05/18/2026 2.74 05/22/2026 2.83 193 16.29  Close Signal  Minor 
 ALB 05/18/2026 174.71 05/22/2026 170.57 3 -13.45  Close Signal  Minor 
 ACLS 05/18/2026 146.24 05/21/2026 152.51 3 17.90  Close Signal  Minor 
 BMRN 05/18/2026 49.67 05/21/2026 54.10 10 43.24  Close Signal  Minor 
 CMCO 05/18/2026 13.89 05/21/2026 14.61 38 26.26  Close Signal  Minor 
 COHU 05/18/2026 44.20 05/21/2026 45.65 12 16.31  Close Signal  Minor 
 CWCO 05/18/2026 28.38 05/21/2026 28.76 18 5.81  Close Signal  Minor 
 AVD 05/18/2026 2.71 05/20/2026 2.86 195 28.15  Close Signal  Minor 
 CDNS 05/18/2026 345.99 05/20/2026 350.89 1 4.20  Close Signal  Minor 
 CR 05/18/2026 170.32 05/20/2026 172.95 3 6.86  Close Signal  Minor 
 CRL 05/18/2026 149.93 05/20/2026 156.03 3 17.37  Close Signal  Minor 
 DBD 05/18/2026 69.11 05/20/2026 71.41 7 15.11  Close Signal  Minor 
 ABG 05/15/2026 179.17 05/20/2026 182.83 2 6.59  Close Signal  Minor 
 BGS 05/14/2026 4.04 05/21/2026 4.02 132 -3.70  Close Signal  Minor 
 BYD 05/14/2026 79.00 05/20/2026 78.88 6 -1.67  Close Signal  Minor 
 CBK 05/14/2026 27.95 05/19/2026 27.81 19 -3.72  Close Signal  Minor 
 BLKB 05/14/2026 31.21 05/18/2026 32.00 17 12.35  Close Signal  Minor 
 BR 05/14/2026 141.54 05/18/2026 148.69 3 20.57  Close Signal  Minor 
 CHRW 05/14/2026 158.54 05/18/2026 168.41 3 28.61  Close Signal  Minor 
 CPB 05/14/2026 19.54 05/18/2026 19.75 27 4.61  Close Signal  Minor 
 ABCB 05/13/2026 82.48 05/18/2026 83.21 6 3.38  Close Signal  Minor 
 ABM 05/13/2026 38.29 05/14/2026 39.14 14 10.81  Close Signal  Minor 
 ASTE 05/12/2026 49.78 05/20/2026 48.56 10 -13.18  Close Signal  Minor 
 AAP 05/11/2026 51.29 05/18/2026 50.08 10 -13.11  Close Signal  Minor 
 ABR 05/11/2026 6.26 05/18/2026 5.68 85 -50.29  Close Signal  Minor 
 ALG 05/11/2026 154.14 05/18/2026 150.57 3 -11.62  Close Signal  Minor 
 ACM 05/08/2026 79.81 05/18/2026 70.80 6 -54.94  Close Signal  Minor 
 AGO 05/08/2026 74.30 05/18/2026 75.17 7 5.04  Close Signal  Minor 
 AMPL 05/07/2026 5.91 05/18/2026 6.35 90 38.48  Close Signal  Minor 
 ARAY 05/07/2026 0.2931 05/18/2026 0.2927 1,829 -1.80  Close Signal  Minor 
 ACTG 05/07/2026 4.71 05/13/2026 4.72 113 0.06  Close Signal  Minor 
 AEE 05/07/2026 107.25 05/11/2026 108.45 4 3.93  Close Signal  Minor 
 DLX 05/06/2026 25.57 05/18/2026 23.27 20 -46.95  Close Signal  Minor 
 FCN 05/06/2026 160.99 05/18/2026 153.72 3 -22.74  Close Signal  Minor 
 BBSI 05/06/2026 29.29 05/15/2026 29.89 18 9.73  Close Signal  Minor 
 CRK 05/06/2026 14.99 05/14/2026 14.88 35 -4.89  Close Signal  Minor 
 ANDE 05/06/2026 67.82 05/13/2026 71.19 7 22.61  Close Signal  Minor 
 ATEC 05/06/2026 6.99 05/12/2026 7.74 76 55.85  Close Signal  Minor 
 CFBK 05/06/2026 26.60 05/08/2026 27.28 20 12.52  Close Signal  Minor 
 CMT 05/06/2026 24.53 05/08/2026 26.00 21 29.79  Close Signal  Minor 
 BGC 05/06/2026 10.85 05/07/2026 11.25 49 18.51  Close Signal  Minor 
 CRVL 05/06/2026 55.37 05/07/2026 58.06 9 23.18  Close Signal  Minor 
 APH 05/05/2026 68.13 05/14/2026 64.39 7 -27.09  Close Signal  Minor 
 BTU 05/05/2026 24.84 05/11/2026 24.52 21 -7.75  Close Signal  Minor 
 BXC 05/05/2026 46.19 05/06/2026 58.70 11 136.39  Close Signal  Minor 
 ABT 05/04/2026 86.40 05/14/2026 83.79 6 -16.67  Close Signal  Minor 
 BSET 05/01/2026 14.06 05/11/2026 13.95 37 -5.10  Close Signal  Minor 
 CBL 05/01/2026 42.46 05/06/2026 43.09 12 6.53  Close Signal  Minor 
 BRO 04/30/2026 59.83 05/07/2026 57.74 8 -17.65  Close Signal  Minor 
 AOS 04/30/2026 61.10 05/06/2026 60.33 8 -7.13  Close Signal  Minor 
 BBT 04/30/2026 27.92 05/06/2026 28.23 18 4.57  Close Signal  Minor 
 BDC 04/30/2026 112.38 05/06/2026 114.55 4 7.77  Close Signal  Minor 
 BLDR 04/30/2026 79.09 05/06/2026 80.03 6 4.68  Close Signal  Minor 
 CHH 04/30/2026 98.54 05/06/2026 104.60 5 29.27  Close Signal  Minor 
 CWT 04/30/2026 41.64 05/06/2026 42.41 12 8.23  Close Signal  Minor 
 AWR 04/30/2026 74.33 05/05/2026 75.23 7 5.25  Close Signal  Minor 
 CWCO 04/30/2026 31.74 05/05/2026 32.48 16 10.81  Close Signal  Minor 
 ALGT 04/29/2026 74.51 05/05/2026 75.75 7 7.62  Close Signal  Minor 
 A 04/29/2026 110.92 04/30/2026 115.16 4 16.05  Close Signal  Minor 
 AAP 04/29/2026 55.18 04/30/2026 58.89 9 32.35  Close Signal  Minor 
 AWI 04/28/2026 169.17 05/14/2026 160.04 3 -28.36  Close Signal  Minor 
 AEO 04/28/2026 17.12 05/06/2026 16.67 30 -14.51  Close Signal  Minor 
 ALGN 04/28/2026 177.28 05/06/2026 173.94 2 -7.38  Close Signal  Minor 
 ARE 04/28/2026 39.29 05/04/2026 40.00 13 8.19  Close Signal  Minor 
 AIR 04/28/2026 108.86 04/30/2026 110.37 4 5.16  Close Signal  Minor 
 ANF 04/27/2026 86.59 05/19/2026 72.14 5 -73.01  Close Signal  Minor 
 AJG 04/27/2026 213.77 05/14/2026 196.50 2 -35.34  Close Signal  Minor 
 BCO 04/27/2026 106.31 05/01/2026 107.03 4 2.03  Close Signal  Minor 
 AIG 04/27/2026 73.16 04/30/2026 73.82 7 3.59  Close Signal  Minor 
 BBY 04/24/2026 59.05 04/30/2026 59.09 8 -0.63  Close Signal  Minor 
 ATLO 04/24/2026 27.60 04/28/2026 28.15 18 8.89  Close Signal  Minor 
 COO 04/23/2026 64.95 05/14/2026 60.38 7 -32.85  Close Signal  Minor 
 CTSH 04/23/2026 54.41 05/07/2026 51.29 9 -29.02  Close Signal  Minor 
 ACU 04/23/2026 43.21 05/01/2026 41.56 11 -19.07  Close Signal  Minor 
 BRKR 04/23/2026 36.16 04/30/2026 36.65 14 5.84  Close Signal  Minor 
 CCC 04/23/2026 4.79 04/30/2026 5.24 107 47.05  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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