MR-16 · Mean Reversion

Connors RSI

Connors RSI combines three components: RSI of price, RSI of streak duration, and Percentile Rank of returns. It is designed to be more robust and responsive than standard RSI. Enters long when CRSI is extremely low and exits when it recovers.

Mean ReversionOscillatorConnors RSI

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At a glance

Best onMean reverting ETFs and FX

Signal frequencyDaily

Typical holding periodDays

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 2 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 9 of 10 markets.
Best market by Sharpe ratio: SPY (Sharpe 1.03, CAGR 7.9%).
Weakest market: EURUSD=X (Sharpe -0.47, CAGR -1.5%).

Equity curve

Connors RSI Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 94.8SPY, 5 years

Return quality · 30%88

Drawdown control · 25%96

Consistency · 20%97

Robustness · 15%100

Significance · 10%100

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market12%

Ulcer index2.7%

Longest drawdown656 days

Daily VaR (95%)-0.11%

Probability Sharpe > 0100%

Beta vs buy & hold0.20

Alpha (annual)+5.5%

Positive months63%

CAGR after 10 bp costs4.9%

Deflated Sharpe (luck-adjusted)84%

CAGR, 90% bootstrap range3.5% to 13.3%

Max drawdown, 90% bootstrap range-12.7% to -3.1%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-13.7%	-19.2%
COVID crash (Feb–Mar 2020)	+9.4%	-33.7%
2022 bear market	-3.4%	-24.5%
Market above its 200-day average (annualized) · 81%	+3.4%	+12.5%
Market below its 200-day average (annualized) · 19%	+17.5%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
SPYSPDR S&P 500	7.9%	11.6%	1.03	-7.6%	-24.5%	7.7%	95
USOUnited States Oil Fund	9.1%	20.2%	0.73	-15.7%	-36.2%	13.3%	74
GLDSPDR Gold Shares	1.6%	16.4%	0.27	-12.3%	-28.3%	6.6%	40
DBCInvesco DB Commodity Index	1.6%	10.8%	0.24	-14.4%	-27.3%	7.9%	47
BTC-USDBitcoin	1.3%	2.6%	0.14	-52.5%	-75.9%	18.4%	54
ETH-USDEthereum	-4.6%	-15.1%	0.01	-61.8%	-79.0%	26.8%	49
UNGUnited States Natural Gas	-6.6%	-30.7%	-0.22	-60.0%	-93.3%	21.6%	59
SLViShares Silver Trust	-3.3%	15.2%	-0.23	-30.0%	-57.8%	11.8%	17
DBAInvesco DB Agriculture	-1.7%	8.8%	-0.27	-17.5%	-15.9%	5.7%	22
EURUSD=XEUR/USD	-1.5%	-0.7%	-0.47	-11.0%	-17.2%	3.1%	22

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+13.6%	13.6%	2.48	3.11	-1.6%	9%	36
3 years	+40.4%	12.0%	1.50	1.50	-2.5%	7%	88
5 years	+46.2%	7.9%	1.03	0.72	-7.6%	7%	151
Full history	+165.5%	6.0%	0.80	0.44	-16.8%	6%	450

Rules

Entry

Buy when CRSI < 10

Exit

Exit when CRSI > 50 or holding days >= 10

Indicators

Price RSI(3)
Streak RSI(2)
Percent Rank(100)
CRSI = (Price RSI + Streak RSI + Rank) / 3

Inputs

Price_RSI_Period = 3
Streak_RSI_Period = 2
Rank_Period = 100
Entry_Threshold = 10
Exit_Threshold = 50
Max_Hold = 10

Risk controls

None (time-based exit)

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Short periods make it highly reactive.
Streak RSI handles consecutive up/down days.

Related strategies

MR-01 · SPY 5Y Sharpe 0.77RSI Mean Reversion MR-05 · SPY 5Y Sharpe 0.43CCI Mean Reversion MR-10 · SPY 5Y Sharpe 0.66Stochastic Oscillator Reversion MR-11 · SPY 5Y Sharpe 0.17Williams %R Reversion MR-12 · SPY 5Y Sharpe 0.43Money Flow Index Reversion MR-13 · SPY 5Y Sharpe 0.00TRIX Reversion

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.