EXP-004 — connors_rsi2_etf_reference
- Generated: 2026-08-26
Status: reference. An engine-validation result for a single ETF, daily bars and next-day open fills; not a live-trading adoption conclusion.
Input and execution contract
- Strategy:
connors_rsi2_etf_reference/0.1.0-week3 - Input:
[original local path withheld] - Symbol:
A069500 - Range: 2010-01-04~2026-08-26
- Entry: next trading day's open after a signal where the close is above SMA(200) and RSI(2) < 5
- Exit: next trading day's open after a signal where RSI(2) > 70
- Ledger: records actual quantity, remaining cash, buy commission, sell costs and tax, and whether a gap stop occurred
Results
| Metric | Value |
|---|---|
| Completed trades | 54 |
| Total return | 15.39% |
| Max drawdown | -22.42% |
| Win rate | 57.41% |
| Base cash | 100,000,000 |
Interpretation limits
- Data quality, adjusted prices, dividends, trading halts and quote gaps must be checked separately together with the input audit.
- This result is for one symbol and does not include universe expansion, Turtle ATR/N or a regime filter.
- Risk limits are rules that block new entries; they do not force-close existing positions.
Source and migration evidence
Source: reports/experiments/EXP-004-connors-rsi2-etf-reference.md
Original SHA-256: 67852bcd8dbfc03f470b2336b7fc29e02b3e1dc36c37a9bce2bf320754ce500e
Raw data and account information are not part of the public package. The original results do not replace statistical or scientific revalidation. The English text is a translation; numbers, tables and charts are carried over unchanged.