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
Virtual Demo Track Record
Forward performance on our internal virtual $1,000 demo account since 8/26/2026. This is not customer capital and not your brokerage account.
Account value
$958.89
As of Nov 7, 2026 UTC
Total return
Cumulative since activation
-4.11%
Today's return
Since midnight UTC
+0.31%
Tracking days
69
Total Return History
Cumulative return since activation — the same metric as the Total Return card above. A rising line means recovery over time; it does not mean today's return is positive.
Hover a date for cumulative and that day's return. For today's move, see Today's Return in the summary.
Illustrative Reference Ranges
Live market backtest unavailable. Showing educational ranges only — not live performance or a forecast.
Passes income dual gate (block P5 Sharpe ≥ 0.5) but not growth gate (≥ 0.9). Suitable for defensive sizing; not promoted for aggressive autopilot.
Expected Return
4–8%
annualized
Volatility
+11.7%–+13.7%
annualized
Net Sharpe
-1.2
after paper fee + slippage
Max Drawdown
-5.9%
historical reference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.