Connors Double 7s Backtest

Connors Double 7s is designed to buy short-term weakness in the SPDR S&P 500 ETF Trust (SPY) when the longer-term trend is still positive, then exit after a quick rebound.

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Strategy summary

Connors Double 7s is a short-term mean-reversion strategy built to pursue pullback rebounds from the premise that oversold conditions within an uptrend can create temporary dislocations, using seven-day closing extremes and a 200-day trend filter on SPY.

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

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.

Further research

• BTS Methodology
• What Makes a Backtest Reliable?
• Why a Standardized Methodology Matters in Backtesting
• How to Choose the Right Benchmark
• Strategy Library