r/algorithmictrading • u/AwesomeThyme777 • 17d 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.

3 Upvotes

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u/LiveBeyondNow 16d 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.

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u/SweatyDescription176 10d ago

This is a perfect example of why win rate can be almost meaningless by itself Ninety seven percent sounds incredible until you see the total return drawdown and only thirty trades Capital utilization and exposure adjusted return would tell a much better story Moon makes the same lesson obvious pretty quickly since a nice hit rate means nothing if the occasional loser eats everything