Connors RSI(2) Pullback: does it still work? Replicated through 2026
We re-ran it on S&P 500 from 2010-10-18 to 2026-11-10 (16.1 years, before costs): +4.3% a year, Sharpe 0.68, worst drawdown -14.7%. The benchmark, S&P 500 buy-and-hold, did +14.2% a year (Sharpe 0.87, worst drawdown -33.7%).
Verdict: Worse risk-adjusted return than its benchmark over this period. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This replica applies the published rule as written, on the instrument we have. It is still a backtest on ETF data, before costs.
What is lost
- Only SPY: the book tests several ETFs and stocks.
- Entry thresholds differ between editions (RSI below 5 or below 10); we use 10.
Where it comes from
The best-known short-term mean-reversion recipe in retail trading, repeatedly cited in books and tested widely.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Buy an index ETF at the close when it is above its 200-day moving average and the 2-period RSI is below 10 (some versions 5); exit at the close when it closes above its 5-day moving average.
How we replicate it
What we changed
Applied to SPY only, long-only, as in the book's main index tests. Uses the standard Wilder RSI; thresholds follow the 10/5 version.
The exact rule we run
Signal on the SPY daily close. Enter 100% SPY when the close is above its 200-day average and Wilder RSI(2) is below 10. Exit to cash when the close is above its 5-day average. Otherwise hold the current state.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-10-18, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: S&P 500 buy-and-hold, same period. Bought on the first day and held.
Drawdown from the previous peak
Key numbers
Sample: 2010-10-18 to 2026-11-10, 16.1 years, 4041 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | +1.4% | -3.7% |
| Last year | +12.9% | +11.2% |
| Last 5 years | +35.0% | +72.9% |
| Whole period (cumulative) | +96.2% | +739.7% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +10.5% | +10.8% | -0.3% |
| 2025 | +6.3% | +17.7% | -11.4% |
| 2024 | +14.1% | +24.9% | -10.8% |
| 2023 | +3.8% | +26.2% | -22.4% |
| 2022 | -2.9% | -18.2% | +15.3% |
| 2021 | +12.4% | +28.7% | -16.4% |
| 2020 | +7.2% | +18.3% | -11.1% |
| 2019 | +1.8% | +31.2% | -29.4% |
| 2018 | -5.8% | -4.6% | -1.2% |
| 2017 | +5.8% | +21.7% | -16.0% |
| 2016 | +3.0% | +12.0% | -9.0% |
| 2015 | +6.0% | +1.2% | +4.8% |
| 2014 | +1.5% | +13.5% | -11.9% |
| 2013 | +4.5% | +32.3% | -27.8% |
| 2012 | +12.0% | +16.0% | -4.0% |
| 2011 | -8.2% | +1.9% | -10.1% |
| 2010* | -0.2% | +6.9% | -7.1% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| Cash (0%) | 100.0% |
Currently entirely in cash. Last change of position: 2026-11-04. Drawdown from its peak today: 0.0%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -4.1% | -33.7% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -2.9% | -24.5% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 280 position changes over 16.1 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Close to the book rule, but entry thresholds vary between editions and are given here as commonly cited.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500
Historical, hypothetical results before costs, taxes and fees. Not investment advice.