Here are the results of the ConnorsRSI Pullback Strategy when run over 5000 equities over a 2 year period ending on Feb 1 2013:
| Variation | Num Trades | P/L | Hold | %Win |
|---|---|---|---|---|
| W=2, X=25,Y=15,Z=4, EXIT:CRSI > 50 | 1850 | 1.73% | 2.6 | 68.00% |
| W=2, X=25,Y=15,Z=4, EXIT:CRSI > 60 | 1849 | 1.94% | 3.1 | 69.23% |
| W=2, X=25,Y=15,Z=4, EXIT:CRSI > 70 | 1843 | 2.19% | 4.4 | 69.89% |
| W=2, X=25,Y=15,Z=4, EXIT:CRSI > 80 | 1839 | 3.90% | 10.4 | 71.29% |
| W=2, X=25,Y=15,Z=10, EXIT:CRSI > 50 | 207 | 1.46% | 2.8 | 68.60% |
| W=2, X=25,Y=15,Z=10, EXIT:CRSI > 60 | 207 | 1.69% | 3.3 | 71.50% |
| W=2, X=25,Y=15,Z=10, EXIT:CRSI > 70 | 207 | 3.08% | 4.7 | 74.40% |
| W=2, X=25,Y=15,Z=10, EXIT:CRSI > 80 | 206 | 5.89% | 10.4 | 70.39% |
| W=2, X=10,Y=15,Z=4, EXIT:CRSI > 50 | 1016 | 1.76% | 2.5 | 67.03% |
| W=2, X=10,Y=15,Z=4, EXIT:CRSI > 60 | 1016 | 2.05% | 3.0 | 68.31% |
| W=2, X=10,Y=15,Z=4, EXIT:CRSI > 70 | 1013 | 2.54% | 4.3 | 69.60% |
| W=2, X=10,Y=15,Z=4, EXIT:CRSI > 80 | 1012 | 4.80% | 10.1 | 71.44% |
| W=2, X=10,Y=15,Z=10, EXIT:CRSI > 50 | 101 | 1.29% | 2.9 | 65.35% |
| W=2, X=10,Y=15,Z=10, EXIT:CRSI > 60 | 101 | 1.91% | 3.4 | 70.30% |
| W=2, X=10,Y=15,Z=10, EXIT:CRSI > 70 | 101 | 3.92% | 5.0 | 71.29% |
| W=2, X=10,Y=15,Z=10, EXIT:CRSI > 80 | 100 | 7.80% | 9.8 | 73.00% |
| W=8, X=25,Y=15,Z=4, EXIT:CRSI > 50 | 603 | 1.94% | 2.4 | 67.16% |
| W=8, X=25,Y=15,Z=4, EXIT:CRSI > 60 | 603 | 2.32% | 3.0 | 67.99% |
| W=8, X=25,Y=15,Z=4, EXIT:CRSI > 70 | 601 | 2.96% | 4.5 | 69.88% |
| W=8, X=25,Y=15,Z=4, EXIT:CRSI > 80 | 600 | 5.22% | 10.5 | 73.17% |
| W=8, X=25,Y=15,Z=10, EXIT:CRSI > 50 | 99 | 1.98% | 2.9 | 67.68% |
| W=8, X=25,Y=15,Z=10, EXIT:CRSI > 60 | 99 | 1.91% | 3.4 | 68.69% |
| W=8, X=25,Y=15,Z=10, EXIT:CRSI > 70 | 99 | 3.63% | 5.1 | 71.72% |
| W=8, X=25,Y=15,Z=10, EXIT:CRSI > 80 | 99 | 6.14% | 10.8 | 68.69% |
| W=8, X=10,Y=15,Z=4, EXIT:CRSI > 50 | 316 | 2.58% | 2.3 | 68.35% |
| W=8, X=10,Y=15,Z=4, EXIT:CRSI > 60 | 316 | 2.81% | 2.9 | 66.46% |
| W=8, X=10,Y=15,Z=4, EXIT:CRSI > 70 | 314 | 4.00% | 4.3 | 71.34% |
| W=8, X=10,Y=15,Z=4, EXIT:CRSI > 80 | 314 | 6.82% | 10.4 | 74.20% |
| W=8, X=10,Y=15,Z=10, EXIT:CRSI > 50 | 51 | 3.17% | 2.9 | 68.63% |
| W=8, X=10,Y=15,Z=10, EXIT:CRSI > 60 | 51 | 3.46% | 3.5 | 70.59% |
| W=8, X=10,Y=15,Z=10, EXIT:CRSI > 70 | 51 | 6.87% | 5.1 | 72.55% |
| W=8, X=10,Y=15,Z=10, EXIT:CRSI > 80 | 51 | 9.99% | 10.5 | 76.47% |
| W=2, X=25,Y=5,Z=4, EXIT:CRSI > 50 | 388 | 0.96% | 2.5 | 59.79% |
| W=2, X=25,Y=5,Z=4, EXIT:CRSI > 60 | 388 | 0.95% | 3.0 | 59.54% |
| W=2, X=25,Y=5,Z=4, EXIT:CRSI > 70 | 388 | 1.12% | 4.2 | 62.37% |
| W=2, X=25,Y=5,Z=4, EXIT:CRSI > 80 | 388 | 3.06% | 10.8 | 67.53% |
| W=2, X=25,Y=5,Z=10, EXIT:CRSI > 50 | 72 | 1.23% | 2.8 | 62.50% |
| W=2, X=25,Y=5,Z=10, EXIT:CRSI > 60 | 72 | 1.17% | 3.4 | 63.89% |
| W=2, X=25,Y=5,Z=10, EXIT:CRSI > 70 | 72 | 2.37% | 4.9 | 66.67% |
| W=2, X=25,Y=5,Z=10, EXIT:CRSI > 80 | 72 | 5.55% | 9.8 | 63.89% |
| W=2, X=10,Y=5,Z=4, EXIT:CRSI > 50 | 231 | 0.74% | 2.5 | 58.44% |
| W=2, X=10,Y=5,Z=4, EXIT:CRSI > 60 | 231 | 0.79% | 3.0 | 58.01% |
| W=2, X=10,Y=5,Z=4, EXIT:CRSI > 70 | 231 | 1.37% | 4.1 | 62.77% |
| W=2, X=10,Y=5,Z=4, EXIT:CRSI > 80 | 231 | 3.99% | 10.2 | 67.97% |
| W=2, X=10,Y=5,Z=10, EXIT:CRSI > 50 | 34 | -0.59% | 3.2 | 52.94% |
| W=2, X=10,Y=5,Z=10, EXIT:CRSI > 60 | 34 | -0.19% | 4.1 | 55.88% |
| W=2, X=10,Y=5,Z=10, EXIT:CRSI > 70 | 34 | 2.13% | 5.6 | 55.88% |
| W=2, X=10,Y=5,Z=10, EXIT:CRSI > 80 | 34 | 6.00% | 8.5 | 61.76% |
| W=8, X=25,Y=5,Z=4, EXIT:CRSI > 50 | 388 | 0.96% | 2.5 | 59.79% |
| W=8, X=25,Y=5,Z=4, EXIT:CRSI > 60 | 177 | 1.36% | 3.0 | 58.76% |
| W=8, X=25,Y=5,Z=4, EXIT:CRSI > 70 | 177 | 1.68% | 4.4 | 62.15% |
| W=8, X=25,Y=5,Z=4, EXIT:CRSI > 80 | 177 | 3.31% | 10.9 | 64.41% |
| W=8, X=25,Y=5,Z=10, EXIT:CRSI > 50 | 47 | 0.47% | 3.0 | 57.45% |
| W=8, X=25,Y=5,Z=10, EXIT:CRSI > 60 | 47 | 0.43% | 3.7 | 61.70% |
| W=8, X=25,Y=5,Z=10, EXIT:CRSI > 70 | 47 | 2.05% | 5.3 | 61.70% |
| W=8, X=25,Y=5,Z=10, EXIT:CRSI > 80 | 47 | 5.63% | 10.0 | 61.70% |
| W=8, X=10,Y=5,Z=4, EXIT:CRSI > 50 | 106 | 1.31% | 2.3 | 61.32% |
| W=8, X=10,Y=5,Z=4, EXIT:CRSI > 60 | 106 | 1.43% | 2.9 | 58.49% |
| W=8, X=10,Y=5,Z=4, EXIT:CRSI > 70 | 106 | 2.49% | 4.1 | 64.15% |
| W=8, X=10,Y=5,Z=4, EXIT:CRSI > 80 | 106 | 5.42% | 9.6 | 67.92% |
| W=8, X=10,Y=5,Z=10, EXIT:CRSI > 50 | 24 | -0.05% | 3.2 | 58.33% |
| W=8, X=10,Y=5,Z=10, EXIT:CRSI > 60 | 24 | 0.24% | 4.3 | 62.50% |
| W=8, X=10,Y=5,Z=10, EXIT:CRSI > 70 | 24 | 3.75% | 5.4 | 58.33% |
| W=8, X=10,Y=5,Z=10, EXIT:CRSI > 80 | 24 | 7.90% | 8.8 | 66.67% |
64 variations of the strategy were run, identified by different values of W, X, Y, Z and N where:
W= Sell-Off %
X= Closing Range%
Y= ConnorsRSI(3,2,100)
Z=Entry Limit Order %
N= Value of ConnorsRSI(3,2,100) for exit
Results were obtained using the ConnorsRSI Pullback Trading category within the EdgeClub Trading Software.