Connors RSI(2)
Short-term SPY mean reversion — buy shallow oversold dips in long uptrends, exit on SMA bounce. MC-validated Aug 2026.
Diversification
45
Volatility Profile
Low
Horizon
1–3 years
House Account Track Record
Forward performance on a separate virtual $1,000 research account since 8/26/2026. This is not your connected exchange account.
Returns appear after 7 daily snapshots (1 of 7 so far).
Account value
$1,728.98
As of Aug 26, 2026 UTC
Total return
Cumulative since activation
—
Today's return
Since midnight UTC
—
Tracking days
1 / 7
Illustrative Reference Ranges
Live market backtest unavailable. Showing educational ranges only — not live performance or a forecast.
Expected Return
8–10%
annualized
Volatility
5–8%
annualized
Sharpe Ratio
1.7–1.8
risk-adjusted
Max Drawdown
-3% to -4%
historical reference
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Daily (business days)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
None
Buy-and-hold weights
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Champion (Aug 2026 fine sweep): SPY RSI(2)<6, SMA280 uptrend, dip below SMA5, exit above SMA5. Composite Sharpe 1.86, CAGR +9.4%, max DD −3.1%, block P5 Sharpe 1.18.
Bull Case
High win-rate dip buying with very shallow drawdowns when the long trend holds.
Bear Case
Mostly in cash; underperforms buy-and-hold in uninterrupted bull runs.
Behavior During Downturns
SMA280 trend filter keeps the strategy in cash during sustained bear markets.
Holdings
Template allocation using real ETF and stock tickers.