ConnorsRSI_Composite — Performance
Window 3.2 years (2023-07-11 → 2026-09-10, 27,760 bars of 60m) · Markets ADA, BTC, DOGE, ETH, LINK, SOL, XRP Costs 0.10% taker fee + 2 bps slippage on every fill Timeframe declares 60m — tested at its own timeframe Capital 1,000 quote Sizing all-in
How this was measured
Every decision is taken on a bar that has closed, and the resulting market order fills at the next bar's open plus slippage. Resting stop and target orders fill intrabar, and when one bar's range covers both the stop and the target the stop is taken first — the pessimistic reading wherever candle data cannot resolve the order of events inside a bar.
The engine is validated separately by 53 known-answer tests covering accounting, fee arithmetic, determinism and the no-look-ahead boundary. Nothing below means anything unless those pass, so the pipeline aborts if they do not.
Result by market
| Market | Orders | Round trips | Return | Buy & hold | Edge | Max DD | Sharpe | Win rate | Profit factor | Time in market |
|---|---|---|---|---|---|---|---|---|---|---|
ADA |
86 | 42 | 4.2% | -26.6% | 30.8% | 2.1% | 0.82 | 79% | 1.84 | 0.5% |
BTC |
143 | 71 | -6.2% | 130.8% | -137.0% | 6.4% | -2.10 | 49% | 0.30 | 0.8% |
DOGE |
82 | 41 | -1.4% | 24.0% | -25.4% | 3.7% | -0.18 | 66% | 0.85 | 0.4% |
ETH |
94 | 47 | -0.9% | 39.2% | -40.1% | 3.2% | -0.26 | 51% | 0.81 | 0.5% |
LINK |
98 | 49 | -0.9% | 7.1% | -8.0% | 2.7% | -0.19 | 61% | 0.89 | 0.5% |
SOL |
86 | 43 | -3.7% | 216.7% | -220.5% | 6.0% | -0.83 | 60% | 0.61 | 0.4% |
XRP |
58 | 29 | -2.5% | 152.1% | -154.6% | 3.0% | -0.73 | 62% | 0.59 | 0.3% |
Median across markets: -1.4% return, 3.2% max drawdown, Sharpe -0.26.
The median is the honest number, not the best market. Ranking a strategy on its best pair measures which pair was picked, not what the strategy does.
Reading these numbers
- Profitable on 1 of 7 markets, beat buy-and-hold on 1.
- Best-to-worst spread is 10.3% (ADA 4.2% vs BTC -6.2%). That is reasonably tight across very different assets.
- Time in market is 0.5%. The equity curve is mostly flat cash, so the result rests on a small fraction of the bars however long the window. The 3.2% drawdown is incurred inside that 0.5%, not spread across the window — being out of the market most of the time does not make the committed time any safer.
- Fees cost 2.26% of starting capital at the median, across 322 round trips.
One year vs three
The pack was originally ranked on a single year (2025-07 → 2026-07). Three years tells a different story, and the difference is worth more than either number alone.
| 1 year | 3 years | |
|---|---|---|
| Median return | -0.8% | -1.4% |
| Median buy-and-hold | -52.1% | 39.2% |
| Median edge vs buy-and-hold | 50.8% | -40.1% |
| Median max drawdown | 1.0% | 3.2% |
| Profitable on | 2 / 7 | 1 / 7 |
| Beat buy-and-hold on | 7 / 7 | 1 / 7 |
What happened. In the one-year window buy-and-hold returned a median -52.1% — every market fell. A strategy in cash 99% of the time beats that almost by construction, so the 50.8% edge was substantially a measure of absence, not skill.
Three years includes the advance as well as the fall. Buy-and-hold returns a median 39.2% over it, and the same staying-in-cash behaviour now costs the strategy instead of flattering it: the edge moves from 50.8% to -40.1%.
The strategy did not change. The window did.
Any strategy whose edge comes from not participating looks excellent in a bear window and poor across a full cycle. This is the reason the 3-year data set was built, and the reason single-window rankings in this pack should be read with the buy-and-hold column next to them.
Variant B — no stop loss, never sells below the position average
The same strategy on the same data, with one rule added: no exit may be priced below the position's average cost. That also removes every stop-loss, since a stop sits below the entry by definition. It is the "never realise a loss" version.
| A — as shipped | B — no-loss exits | |
|---|---|---|
| Median return | -1.4% | 9.7% |
| Median max drawdown | 3.2% | 7.9% |
| Profitable markets | 1 / 7 | 6 / 7 |
| Ends still holding | — | 6 / 7 |
| Exits refused by the rule | 0 | 42,585 |
| Market | A return | B return | A max DD | B max DD | B ends holding |
|---|---|---|---|---|---|
ADA |
4.2% | 9.8% | 2.1% | 4.4% | yes |
BTC |
-6.2% | -5.4% | 6.4% | 12.8% | yes |
DOGE |
-1.4% | 12.3% | 3.7% | 5.4% | yes |
ETH |
-0.9% | 5.5% | 3.2% | 9.1% | yes |
LINK |
-0.9% | 10.5% | 2.7% | 8.0% | yes |
SOL |
-3.7% | 9.7% | 6.0% | 7.4% | yes |
XRP |
-2.5% | 5.5% | 3.0% | 7.9% | no |
How to read this. Variant B reports the higher return — 9.7% against -1.4% — and that is mostly not an improvement. A loss that is never closed does not disappear, it sits in inventory. That is why max drawdown rises from 3.2% to 7.9%, and why the strategy ends still holding on 6 of 7 markets: B's reported return leaves out the positions it never resolved. The rule refused 42,585 exits over the window.
Read the two together rather than picking one. A is what the strategy does; B is what it looks like with its losses deferred instead of taken, and the gap between them measures how much of A's result comes from cutting.
Why it exited
Every exit the engine executed, attributed to the message the strategy emitted on that bar. One bar is one decision, so an event announced on both the console and the side panel is counted once.
| Exit | Count | Share | Mean gain | Worst |
|---|---|---|---|---|
EXIT |
261 | 81.1% | — | — |
CLOSED OUTSIDE STRATEGY |
58 | 18.0% | — | — |
STOP |
3 | 0.9% | — | — |
Cost sensitivity
The strategy places the same number of orders at 0% fees as at 0.10%. That is a correctness property rather than a performance one: it proves no balance gate becomes unsatisfiable once costs leave the wallet. A strategy that fails this check stops trading silently the moment it meets a real fee schedule.
| Market | Orders at 0.10% fee | Orders at 0% fee | Ratio |
|---|---|---|---|
ADA |
44 | 44 | 1.00 |
BTC |
72 | 72 | 1.00 |
DOGE |
41 | 41 | 1.00 |
ETH |
47 | 47 | 1.00 |
LINK |
49 | 49 | 1.00 |
SOL |
43 | 43 | 1.00 |
XRP |
29 | 29 | 1.00 |
Correctness invariants
| Invariant | Result |
|---|---|
| runs clean on every market | PASS |
| no phantom chart marks | PASS |
| no negative balances | PASS |
| cost independent (fees change P&L, not the ability to act) | PASS |
| places orders somewhere | PASS |
Outstanding notes
- holds a position only 0.5% of the time — it commits properly (peak 32.3%) but the result rests on very few bars, so treat it as a small sample
What this window cannot tell you
Three years covers a full cycle — the 2023 recovery, the 2024-25 advance and the drawdown after it. It is still one history, and a strategy tuned on it can be fitted to it.
The engine models spot, long-only, one price per bar. It carries no order book, so it cannot see spread, queue position or depth, and a strategy whose edge is the spread cannot be measured here at all.
Every number on this page is read from the run record that produced it — the audit pipeline writes the page and the record together, so the two cannot drift apart.