EXP-005 — Connors RSI(2) variants
- Generated: 2026-08-28
A reference result comparing only preregistered exit variants on the same KODEX 200 daily bars and cost model.
Data
- Input:
data/raw/creon/bulk/all_research/A069500/D/A069500-D-creon-20260826T104553Z.csv - Symbol:
A069500 - Range: 2002-10-14~2026-08-26 (5,891 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 | 87 | 32.33% | -20.83% | 63.22% | 1.499 | 1.70% | -1.95% |
hard_stop_7pct | 87 | 15.89% | -17.85% | 62.07% | 1.248 | 1.68% | -2.21% |
time_exit_5_bars | 82 | -10.66% | -21.68% | 56.10% | 0.888 | 1.51% | -2.18% |
hard_stop_7pct_and_time_exit_5_bars | 82 | -10.68% | -21.70% | 56.10% | 0.888 | 1.51% | -2.18% |
Items on which judgment is reserved
- A single-ETF result, so not a conclusion to adopt or discard the strategy.
- Data gaps must be audited separately, distinguishing KRX holidays, trading halts and collection failures.
- 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-005-connors-rsi2-creon-variants.md
Original SHA-256: afc9bfcb6306a015dd98a50c7989de4ea1a878dd2963e0f895d7887b53675920
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.