Since 2022 Sort Finance

Connors RSI 2

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute a very short 2-bar RSI (a dip detector), a 200-bar SMA (the long-term trend filter), and a 5-bar SMA (the exit line).
  2. Buy when the 2-bar RSI drops below 10 while the close is still above the 200-bar average — a sharp two-bar sell-off inside a market that is in a long-term uptrend.
  3. Sell as soon as the close rises back above its 5-bar average — the dip has bounced; the trade never waits for a big move.
Score
Total Score Mean Of Real And Resampled 38 / 100
Real Data 38 / 100
Resampled Data 37 / 100
Overall Rank Top 64% 33 of 52
Rank In Mean Reversion Top 23% 2 of 9
Score By Metric
Beats Hold Real 9 · Resampled 21 15 / 100
Risk Adjusted Real 42 · Resampled 35 39 / 100
Profitability Real 27 · Resampled 21 24 / 100
Win Rate Real 99 · Resampled 100 99 / 100
Fee Efficiency Real 55 · Resampled 56 56 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.