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Finaxion Research · 2-day RSI (the Connors rule) · forex pairs · Recomputed 2026-09-10

Does 2-day RSI (the Connors rule) work on USD/JPY?

2-day RSI (the Connors rule) does not beat buy-and-hold on USD/JPY: -0.5 points a year over 30 years.

Total return
19.4%
Buy and hold
40.2%
CAGR
0.6%
Sharpe
-0.41
Max drawdown
-33.0%
Trades
718
Out of sample
overfit
Years
30
0.7×1×1.1×1.4×1997200020032006200920122015201820212024
StrategyUSD/JPY

Findings

  1. 2-day RSI (the Connors rule) does not beat buy-and-hold on USD/JPY: -0.5 points a year over 30 years.
  2. Against the S&P 500 over the same window: -9.6 points a year.
  3. Total return +19.4% versus +40.2% for buy-and-hold, with 718 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -33.0%.
  6. It beat before 2011 and stopped afterwards.
  7. It ranks #146 of 235 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact c0e771fe25fb.

Exactly what was tested

RSI(2) crosses below 10 → entry. RSI(2) crosses above 65 → exit. Next-close execution. No trend filter (we test the rule as it circulates).

How to read it

The verdict compares the strategy with buying and holding USD/JPY over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on USD/JPY → · Full page for 2-day RSI (the Connors rule) →

How to cite

Finaxion Research (2026). Does 2-day RSI (the Connors rule) work on USD/JPY?. Daily backtest 1962-01-01–2026-08-31, artifact c0e771fe25fb. https://finaxion.app/en/research/rsi-2-connors/usdjpy

Not a recommendation. Past performance does not guarantee future results.