Larry Connors’ R3 Strategy

It's said that publicly known strategies sooner or later are arbitraged out of the market. I can't say it's true or not, but what I can say is that some of these strategies just seem to never stop working. One of those is the Larry Connors' R3 Strategy.

The center of the strategy is the 2 period RSI.

Here are the detailed conditions, results and code:

The rules are quite simple

1. RSI2 must be decreasing 2 periods in a row (starting from below 60)

2. RSI2 the current bar is below 10

3. The price is over MA200

4. Exit the trade when RSI2 is above 70

I tested this strategy on the daily timeframe on the France CAC40 index and here are the results.

The equity curve from January 1988 until today

Statistics (January 1988 until today)

• Gain of 11549 points

• 80.41% winrate (total 194 trades)

• Time in Market: 10.05%

• Gain/Loss ratio: 3.81

• Max consecutive wins: 16

• Max consecutive losses: 4

• Max Drawdown / Gain: 17.16%

What we are seeing is a smooth equity curve managing both bull and bear markets well. With a total gain of 11549 points, we have a simple strategy that overperforms a buy & hold strategy with 77,76% with only 10% time in market.

Backtest report

The ProRealTime™ code

RSI2 = RSI[2](close)

if RSI2[2] > RSI2[1] and RSI2[1] > RSI2[0] and RSI2[2] < 60 and RSI2 < 10 and close > average[200] then
BUY 1 SHARES AT MARKET
endif

if RSI2 > 70 then
SELL AT MARKET
endif