Strategy Report Card — RSI-2 (Connors-style) (SPY)

VERDICT: BORDERLINE — paper trade first

No real capital yet. Forward-test on a demo/stress account until live Sharpe holds for 60+ days.

A classic RSI-2 mean-reversion strategy that buys when the 2-period RSI drops below 10 (oversold) and sells short when it rises above 90 (overbought). It is designed for short-term counter-trend trading and works best in range-bound or mildly trending markets where price tends to revert quickly.

Family rsi_reversion · direction long_short · params period=2, oversold=10, overbought=90

Translation warnings

The strategy has no explicit exit logic beyond reversing the position when the opposite signal fires; the built-in rsi_reversion template mirrors this behaviour.
No stop-loss or take-profit is defined in the original script, so drawdowns can be large in trending markets.

Metric	Original ★	Improved +low_vol+flat
OOS Sharpe	0.261	0.221
Stress Sharpe (3x cost)	-0.405	-0.570
Ann return	3.2%	1.2%
Max drawdown	-17.7%	-11.8%
Ann turnover	81.8	43.3
PSR (P[Sharpe>0])	0.753	0.717
Bootstrap p(mean<=0)	0.166	0.248

Recommended: original — OOS Sharpe 0.261, PSR 0.753, bootstrap p 0.166.

Breadth — does the same edge hold elsewhere?

MIXED — works in some places; likely regime/asset specific

Across assets: 6/8 positive (3/8 under stress), median Sharpe 0.209

Asset	Sharpe	Stress
SPY	0.26	-0.41
QQQ	0.66	0.06
IWM	0.02	-0.56
EEM	-0.16	-0.83
EWZ	0.16	-0.26
GLD	-0.27	-1.36
AAPL	0.89	0.44
MSFT	1.17	0.68

Timeframe	Sharpe	Stress
D	0.26	-0.41
W	0.05	-0.06
M	0.54	0.52

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Out-of-sample, net of cost. PSR / bootstrap / stress-test robustness is what a TradingView backtest cannot show. Not investment advice.