EXP-005 — connors_rsi2_etf_reference
- Generated: 2026-08-28
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:
data/raw/creon/bulk/all_research/A069500/D/A069500-D-creon-20260826T104553Z.csv - Input SHA-256:
4964c32990e70b3aff09a7d895be7bf81b5d90ea31230e061b3e30f28c7e1a95 - Symbol:
A069500 - Range: 2002-10-14~2026-08-26
- 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 | 87 |
| Total return | 32.33% |
| Max drawdown | -20.83% |
| Win rate | 63.22% |
| 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-005-connors-rsi2-creon-reference.md
Original SHA-256: abf1d0a51186b2a919695c60beb2cc1e87e2db7a4066ea5ad1ddd8e6b5f9358a
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.