CRM RSI(2) Threshold Backtest

HISTORICAL BACKTEST · CRM DAILY

What this backtest found

2004-06-23 to 2026-10-01 · $10,000.00 USD starting capital · costs as specified below

The strategy returned 199.64% over the full test period, compared with 6102.93% for buy and hold. It underperformed that benchmark on total return. Its largest decline from a previous equity high was 65.87%.

CAGR is the equivalent compounded yearly return across these dates, not the return earned in every year. Drawdown measures the largest fall from a previous daily equity high. Ending equity includes any open position marked to the final close.

How this strategy works

CRM is tested on daily bars with one long position at a time. Entry conditions are combined using AND: every condition must match. A close signal executes at the next session’s open.

• Entry: RSI(2) below 10.
• Indicator exit: RSI(2) above 65. It executes at the next open.

RSI: Wilder’s smoothed average gains and losses produce an oscillator from 0 to 100. Each RSI period and threshold comes from the rules above. “Below 30” tests the current reading; “crosses above 30” requires a move from 30 or below to above 30. RSI can remain near extreme readings for extended periods; a threshold does not guarantee a reversal.

5% fixed stop: measured from the raw entry open, before execution slippage and fees. Opening gaps fill at open; otherwise daily high/low touches determine fills. A stop takes priority when both stop and target touch in one daily bar.

Holding limit: queue an exit after 15 invested sessions and execute at the next available open. Entry and exit sessions count toward the displayed holding period.

Strategy versus buy and hold

Both curves start with $10,000.00 USD and use the same historical dates. Buy and hold returned 6102.93% (20.36% annualized), with 70.5% maximum drawdown.

● Strategy ● Buy and hold

Drawdowns over time

● Strategy ● Buy and hold

Annual performance

Annual returns use the previous year’s final equity, or initial capital for the first year. Ongoing drawdown retains the previous all-time peak, including peaks in earlier years.

Execution risk observed in this test

A 5% stop did not cap every loss: the trade exiting on 2024-05-30 lost 17.54% after opening beyond the stop. Daily gaps can bypass the intended exit level.

What these results mean

The strategy’s 5.05% annualized return was 15.31 percentage points below the long buy-and-hold benchmark’s 20.36%. Its worst daily peak-to-trough decline was smaller by 4.63 percentage points. That is a return/drawdown trade-off, not proof of better risk-adjusted performance. It held a position during 25.43% of sessions; cash earned no interest in this simulation.

Across 351 closed trades, 58.4% were profitable. The average winner was 4% and the average loser was -4.59%. Profit factor was 1.2: $1.2 of positive closed-trade P&L for each $1 of losses. The longest losing run was 7 trades. Win rate alone does not capture the size of wins and losses.

The weakest displayed calendar period was 2006 at -20.88%. First and last years may be partial. A full-period average can hide substantial variation.

The longest observed drawdown lasted 3473 calendar days, with 2392 underwater sessions, from 2004-07-26 to 2014-01-28. Equity regained the earlier peak on the ending date.

Best closed trade: 26.36% · 2008-11-20 to 2008-11-25, exiting because of indicator exit.

Worst closed trade: -17.54% · 2024-05-24 to 2024-05-30, exiting because of gap below stop.

Fees and slippage are 0% and 0% per side. This is a zero-cost simulation; adding execution costs can reduce results. This report contains no out-of-sample validation or parameter robustness study, so it does not establish that these rules generalize.

Price, trades and active exit levels

● Daily close ● Fixed stop (5%)

RSI

● RSI(2)

Price circles show executed entries and exits; select a circle to open its trade. Triangles mark individual crossover conditions, not executed orders: other conditions and the existing position can prevent execution. Dashed exit levels apply only while a position is held. All charts share the same date range. Zoom in/out, select a year, or pan on any chart to update them together.

Trade history

Exact rules and methodology

Read the strategy-specific explanation above.

• Signals use completed daily bars; entries and indicator/holding exits execute at the next session open. Indicators warm up using earlier history; no pre-range entry signal is carried in.
• Opening stop/target gaps execute at open. Otherwise a scheduled indicator/holding exit executes at open; within a bar, stop takes priority if both stop and target touch.
• Initial capital $10,000.00 USD; one fully allocated fractional position, no pyramiding or leverage. Fees and adverse slippage apply to entry and exit. Buy-and-hold benchmark is always long.
• Open positions are marked at the last close without an assumed final sale fee. Cash interest and dividends are excluded.

Results are calculated on the supplied daily prices. Dividends and cash interest are excluded.

Calculated: 2026-10-03 22:11:37 UTC. Engine: 3.1. Data: CRM, 2004-06-23–2026-10-01.

Related backtests

These are separate saved tests. Compare dates and costs before comparing results.

Understand the metrics

Educational historical simulation, not investment advice.