Testing Intraday RSI2 Mean-Reversion Strategies on the S&P 500
Summary
The article adapts three Larry Connors RSI2 strategies for intraday trading, implementing them on a 30-minute US500 CFD chart. It explains the premise: a two-period RSI flags sharp short-term moves, while a moving average helps align trades with the broader trend. The classic version enters at extreme RSI readings; a pullback variant requires three consecutive extreme readings and exits after price crosses the prior candle’s high or low. The third strategy is introduced as using trend-dependent exit levels, but the supplied text omits most of its description.
Backtests cover January 2024 through March 2025. The first strategy trades frequently, with average wins roughly matching average losses; the author notes a difference between long and short win rates during a bullish market. The second trades less often and has weaker long-side results. These findings are limited to one instrument and a short, specific period, and the article itself recommends broader testing and in-sample discovery followed by out-of-sample validation. The results do not establish that the strategies generalize or remain profitable after costs.
Key ideas
- A two-period RSI can identify brief pullbacks, while a longer moving average provides a trend filter.
- The classic strategy enters on extreme RSI readings and uses a tight percentage stop.
- The pullback variant demands several consecutive extreme readings and exits on a prior-candle price break.
- The reported backtests use a 30-minute US500 CFD chart over a limited period.
- The author recommends testing across other assets and timeframes and guarding against look-ahead bias.
Tags
Cited by
- Strategies Double 7s (Connors/Alvarez via pinkfish, Farrell Aultman) - SPY Daily Close-at-7-Day-Low Buy / Close-at-7-Day-High Sell, SMA200-or-SMA70 Regime Filter, 15% Stop, 2x Reg-T - Faithful Port on USEQ
- Hypotheses Double 7s (Connors/Alvarez via pinkfish, Farrell Aultman) - SPY Daily Close-at-7-Day-Low Buy / Close-at-7-Day-High Sell, SMA200-or-SMA70 Regime Filter, 15% Stop, 2x Reg-T - Faithful Port on USEQ
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.