Connors Double 7s Backtest

Strategy summary

Connors Double 7s is a short-term SPY mean-reversion strategy that buys seven-day closing lows when SPY is above its 200-day simple moving average, then exits after a seven-day closing high, seeking pullback rebounds within an established uptrend.

The strategy is intentionally narrow. It trades only SPY, holds at most one long position, and otherwise sits in cash. The 200-day simple moving average is an entry filter only: it permits new long entries when SPY is above its long-term trend line, but it does not force an exit from an already open trade.

The strategy’s active decision is timing. It is not changing the underlying asset, ranking ETFs, using leverage, or shorting the market. The backtest therefore asks whether this specific pullback-and-rebound overlay improved the experience of owning SPY compared with simply holding SPY continuously.

What this strategy is not

• Not Connors RSI(2) or any other RSI-threshold strategy; no RSI indicator is used.
• Not a generic “buy any 7-day low” pullback model; new entries require SPY to be above its 200-day simple moving average.
• Not a 200-day-SMA market-timing or breakout strategy; the SMA filter controls entries only, and the 7-day closing high is an exit condition.
• Instead: a single-ETF mean-reversion strategy that buys 7-day closing lows in SPY during an uptrend and exits on a 7-day closing high.

Report summary

Item	Value
Strategy	Connors Double 7s
Category	Mean reversion
Universe	SPY
Trade Direction	Long-only / cash
Free Preview Window	2021–2025 (5 years); BTS uses the five most recent whole calendar years for free previews.
Full Backtest Period	1994–2025 (32 years); BTS uses the longest supported whole-calendar-year window available under the strategy universe, required instrument history, indicator warm-up, and methodology rules.
Window Start Rule	Headline reporting begins once SPY has valid strategy and benchmark equity observations after the required strategy warm-up. Pre-window data establish indicator readiness; headline metrics use the 1994–2025 full-calendar-year window.
Starting Capital	$10,000
Primary Benchmark	Buy-and-hold SPY
Methodology Version	BTS-3377
Publication Date	May 6, 2026
Source / Credit	Larry Connors and Cesar Alvarez, Short-Term Trading Strategies That Work; Cesar Alvarez, Double 7’s Strategy

Benchmark summary

The primary benchmark is buy-and-hold SPY. This is the correct control portfolio because Connors Double 7s trades only SPY and the active overlay is the timing rule that moves the portfolio between SPY and cash.

The benchmark preserves the same underlying ETF exposure and removes the active entry and exit process. That makes the comparison interpretable: the remaining gap shows what the 200-day entry filter, 7-day closing-low entry, 7-day closing-high exit, and cash periods changed relative to simply owning SPY continuously.

For the benchmark-selection framework, see How to Choose the Right Benchmark.

• Primary Benchmark: buy-and-hold SPY.
• Preserves: the same SPY opportunity set.
• Removes: the Connors Double 7s timing overlay.
• Excludes: cash, Treasury bills, or an SMA-only timing model.

Key metrics: 2021–2025 free preview

• The free preview is a recent-window orientation tool, not the complete evidence set.
• A five-year free-preview window can be useful, but it can also overstate or understate the full historical tradeoff.
• The full report expands the scorecard across the complete report window and adds the path-level interpretation behind the headline numbers.

In this five-year free preview, Connors Double 7s had lower volatility and a smaller drawdown than buy-and-hold SPY, but SPY had higher CAGR, higher ending capital, and slightly higher Sharpe and Calmar ratios. The full report is needed to evaluate how that defensive tradeoff holds across the complete backtest period.

	Metric	Strategy	Benchmark
Activity	Time in Market	28.9%	100.0%
Activity	Trades per Year	19.2	—
Activity	Win Rate	77.1%	—
Risk	Volatility	8.9%	17.1%
Risk	Max Drawdown	-12.9%	-24.5%
Risk	Sharpe Ratio	0.8	0.9
Risk	Calmar Ratio	0.5	0.6
Result	CAGR	7.0%	14.7%
Result	Ending Capital	$13,994	$19,791

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