EXP-004 — Connors RSI(2) variants
- Generated: 2026-08-26
A reference result comparing only preregistered exit variants on the same KODEX 200 daily bars and cost model.
Data
- Input:
[original local path withheld] - Symbol:
A069500 - Range: 2010-01-04~2026-08-26 (4,066 daily bars)
- Costs: buy commission 20bp + sell tax 20bp, slippage 0bp
- Risk limits: block new entries on reaching -3% daily, -8% monthly or -20% from peak
Comparison results
| Variant | Trades | Total return | MDD | Win rate | Profit factor | Average gain | Average loss |
|---|---|---|---|---|---|---|---|
baseline | 54 | 15.39% | -22.42% | 57.41% | 1.459 | 1.61% | -1.49% |
hard_stop_7pct | 51 | -20.88% | -24.94% | 52.94% | 0.588 | 1.15% | -2.19% |
time_exit_5_bars | 48 | -20.70% | -20.96% | 50.00% | 0.562 | 1.17% | -2.07% |
hard_stop_7pct_and_time_exit_5_bars | 48 | -20.72% | -20.98% | 50.00% | 0.562 | 1.17% | -2.07% |
Items on which judgment is reserved
- A single-ETF result, so not a conclusion to adopt or discard the strategy.
- Empty Yahoo rows before 2010 were excluded; 277 weekday gaps need separate checks for market holidays or trading halts.
- The next gates are 20 independent recalculations, cross-checking data sources, and a same-engine comparison with the Turtle candidate.
Source and migration evidence
Source: reports/experiments/EXP-004-connors-rsi2-variants.md
Original SHA-256: c464bf65556075e359ee1c73ff46d4eb74ffc641721c6ab2f26864f760d03694
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.