Connors RSI-2

The claim

A 2-period RSI under 10 marks a violent short-term dip that tends to snap back within days. One of the most backtested setups in retail trading.

Where it comes from

Larry Connors and Cesar Alvarez, 'Short Term Trading Strategies That Work' (2008). Originally a daily-bar S&P strategy filtered by the 200-day moving average.

The exact rule we graded

Long while RSI(2) < 10, short while RSI(2) > 90, on 1-hour candles. Exits: 10-bar time exit, 3% stop loss.

• ✕OOS net expectancy > 0
• ✕Clears the cost hurdle
• ✕Robust, not lucky
• ✕Survivable drawdown
• ✓Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

No closed forward trades recorded yet — the record accrues nightly as trades complete their full exit windows.

Honest port notes

• Connors' original exits on a close above the 5-period moving average and only trades with the 200-day trend — both are indicator-vs-price comparisons our spec language can't express, so we graded the raw RSI(2) 10/90 flip with a fast time exit instead.
• The original was built for daily S&P bars, not 1-hour crypto. Same signal, much harsher venue — that's part of what the grade measures.

{
  "name": "Connors RSI-2",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "rsi",
            "period": 2,
            "op": "<",
            "value": 10
          }
        ],
        "short": [
          {
            "indicator": "rsi",
            "period": 2,
            "op": ">",
            "value": 90
          }
        ]
      },
      "exit": {
        "stop_loss_pct": 3,
        "time_exit_bars": 10
      }
    }
  ]
}