RSI(2) on SPY, daily closes, Connors' rules (spec rsy_spec.md). Run 2026-11-06T13:14:03.959Z; 500 control runs per variant. Results in net % per trade, 0.04% cost per round trip, fills at the close.
data: 8489 days, 1993-01-29 .. 2026-10-20; signals from 1994-01-24; 136 dividends

=== RS2-10: buy at the close when close > SMA200 and RSI(2) < 10; sell at the first close above SMA5 ===
  DEV      n=  92 net 86.69 %  avg 0.942 %  PF 5.97 t 6.74
  VAL      n=  71 net 21.62 %  avg 0.304 %  PF 1.63 t 1.37
  HOLDOUT  n=  94 net 50.00 %  avg 0.532 %  PF 2.61 t 3.79
  ALL      n=257 net 158.31 % avg 0.616 % (gross 0.656 %); PF 2.91 t 6.45; with 0.10% cost avg 0.556 %
  win rate 195/257 = 75.9% (95% Wilson 70.3%-80.7%); trading days held median 3 max 11; open at the end: 0
  the 10 best trades 33.33 %; net without the 10 best 124.98 %, without the 20 best 100.04 %
  worst open loss at a close (open positions included): -14.04 % (trade entered 2011-07-27, exited 2011-08-11)
  next-open fills (descriptive): n=257 avg 0.543 % PF 2.55 t 5.32; by period avg 0.843 / 0.343 / 0.399 %
  whole strategy from 1994-01-24 with T-bill interest while out: growth x9.76 (7.2% a year), max drawdown -14.8% (2011-06-02 to 2011-08-08), volatility 6.3%, invested 10.5% of days; buy and hold x29.06 (10.8% a year), max drawdown -55.2%, volatility 18.7%
  crashes (strategy / buy and hold): 2000-02 dot-com 13.7% / -47.5%; 2008-09 financial crisis 3.4% / -55.2%; 2020 Covid -4.1% / -33.7%; 2022 rate hikes -1.9% / -24.5%
  by year (n, net %): 1994 4 -0.54 | 1995 6 7.54 | 1996 12 4.73 | 1997 14 25.74 | 1998 8 11.43 | 1999 13 13.75 | 2000 7 8.49 | 2003 6 5.91 | 2004 10 5.28 | 2005 12 4.36 | 2006 7 1.56 | 2007 8 -1.35 | 2009 6 8.83 | 2010 5 2.86 | 2011 7 -6.64 | 2012 12 4.95 | 2013 6 4.20 | 2014 10 1.91 | 2015 10 5.30 | 2016 7 3.44 | 2017 8 5.81 | 2018 9 -6.12 | 2019 7 1.57 | 2020 7 2.85 | 2021 11 13.64 | 2022 2 -2.97 | 2023 10 3.39 | 2024 14 13.73 | 2025 8 5.69 | 2026 11 8.96
  control (random entries on dips in an uptrend: close > SMA200 and < SMA5; p 1.324e-1; 500 runs, 0 s): mean trades 252.97, median avg 0.316 %, 5-95% 0.206 .. 0.432 %; real avg 0.616 % at percentile 100.00
  [PASS] 1 PF >= 1.2 in validation: VAL PF 1.63
  [PASS] 2 >= 50 trades in each period: 92 / 71 / 94
  [PASS] 3 t >= 2.5 on development: DEV t 6.74
  [PASS] 4 above 95th pct of the control: percentile 100.00
  [PASS] 5 positive without top-10 trades: 124.98 %
  [PASS] 6 holdout net positive (flagged used): HOLDOUT net 50.00 % PF 2.61
  VERDICT Survivor (6/6 gates)

=== RS2-5: buy at the close when close > SMA200 and RSI(2) < 5; sell at the first close above SMA5 ===
  DEV      n=  38 net 45.40 %  avg 1.195 %  PF 11.04 t 4.87
  VAL      n=  39 net 20.70 %  avg 0.531 %  PF 2.18 t 1.53
  HOLDOUT  n=  49 net 28.86 %  avg 0.589 %  PF 2.49 t 2.66
  ALL      n=126 net 94.96 % avg 0.754 % (gross 0.794 %); PF 3.29 t 4.80; with 0.10% cost avg 0.694 %
  win rate 102/126 = 81.0% (95% Wilson 73.2%-86.9%); trading days held median 3 max 11; open at the end: 0
  the 10 best trades 34.52 %; net without the 10 best 60.44 %, without the 20 best 38.98 %
  worst open loss at a close (open positions included): -14.04 % (trade entered 2011-07-27, exited 2011-08-11)
  next-open fills (descriptive): n=126 avg 0.721 % PF 2.91 t 4.08; by period avg 1.305 / 0.457 / 0.478 %
  whole strategy from 1994-01-24 with T-bill interest while out: growth x5.52 (5.4% a year), max drawdown -14.1% (2011-07-26 to 2011-08-08), volatility 4.9%, invested 5.0% of days; buy and hold x29.06 (10.8% a year), max drawdown -55.2%, volatility 18.7%
  crashes (strategy / buy and hold): 2000-02 dot-com 8.4% / -47.5%; 2008-09 financial crisis 3.4% / -55.2%; 2020 Covid -4.1% / -33.7%; 2022 rate hikes -1.4% / -24.5%
  by year (n, net %): 1995 3 3.12 | 1996 7 3.06 | 1997 5 14.84 | 1998 4 7.52 | 1999 6 7.06 | 2000 3 3.36 | 2003 3 3.59 | 2004 2 1.32 | 2005 5 1.54 | 2006 4 1.09 | 2007 4 4.78 | 2009 2 3.92 | 2010 3 4.12 | 2011 5 -5.55 | 2012 8 2.18 | 2013 3 2.77 | 2014 4 0.05 | 2015 6 7.34 | 2016 3 2.26 | 2017 4 3.40 | 2018 6 -6.10 | 2019 3 1.02 | 2020 5 1.12 | 2021 6 9.83 | 2022 2 -2.48 | 2023 5 1.66 | 2024 6 6.39 | 2025 5 5.32 | 2026 4 6.42
  control (random entries on dips in an uptrend: close > SMA200 and < SMA5; p 5.603e-2; 500 runs, 0 s): mean trades 119.37, median avg 0.333 %, 5-95% 0.145 .. 0.514 %; real avg 0.754 % at percentile 100.00
  [PASS] 1 PF >= 1.2 in validation: VAL PF 2.18
  [FAIL] 2 >= 50 trades in each period: 38 / 39 / 49
  [PASS] 3 t >= 2.5 on development: DEV t 4.87
  [PASS] 4 above 95th pct of the control: percentile 100.00
  [PASS] 5 positive without top-10 trades: 60.44 %
  [PASS] 6 holdout net positive (flagged used): HOLDOUT net 28.86 % PF 2.49
  VERDICT Buried (5/6 gates)

buy and hold from 1994-01-24: x29.06, 10.8% a year, max drawdown -55.2% (2007-10-09 to 2009-03-09)