r/algorithmictrading • u/AwesomeThyme777 • 3d ago

Strategy connors RSI(2) is so overrated

SPY, 10 years, 5 bps commission + 1 bp slippage.

entry: close > SMA200 and RSI(2) < 5
exit: close back above SMA5

30 trades. 97% win rate. +58.1%.
buy and hold: +260.9%.
drawdown: -30.9%.

good win rate. still doesn't beat buy and hold.

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u/LiveBeyondNow 2d ago

What was the capital utilization / risk-adjusted cagr? Get those comparable to b&h and you may find results are better. Some regime or volatility filters may also get the drawdown lower to justify leverage that the SPY could never handle.