Trading books: 8 Backtests
Data last updated
Rules taken from published trading books, such as Connors and Livermore.
0 of 8 strategies finished ahead of the benchmark on the raw number, and 0 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Raschke Holy Grail pullback-to-20ma (wide US stocks) receipt Source: Linda Raschke Holy Grail setup | US stocks | −14.2 pts/yr | 181 trades | 1.000 | 1.000 | On-site receipt |
| Livermore pivotal point breakout with pyramiding (wide US stocks) receipt Source: Jesse Livermore, Edwin Lefevre's Reminiscences of a Stock Operator | US stocks | −14.7 pts/yr | 15,996 trades | 1.000 | 1.000 | On-site receipt |
| Connors 3-day high/low pullback receipt Source: Larry Connors 3-day high/low | US stocks | −16.1 pts/yr | 5,121 trades | 1.000 | 1.000 | On-site receipt |
| Connors 3-day high/low pullback (wide US stocks) receipt Source: Larry Connors 3-day high/low | US stocks | −16.1 pts/yr | 5,121 trades | 1.000 | 1.000 | On-site receipt |
| Connors RSI(2) mean reversion receipt Source: Larry Connors RSI2 | US stocks | −16.6 pts/yr | 5,937 trades | 1.000 | 1.000 | On-site receipt Full test: RSI(2) Mean Reversion |
| Connors RSI(2) mean reversion (wide US stocks) receipt Source: Larry Connors RSI2 | US stocks | −16.6 pts/yr | 5,937 trades | 1.000 | 1.000 | On-site receipt |
| Livermore pivotal point breakout with pyramiding receipt Source: Jesse Livermore, Edwin Lefevre's Reminiscences of a Stock Operator | US stocks | −17.0 pts/yr | 4,093 trades | 1.000 | 1.000 | On-site receipt |
| Raschke Holy Grail pullback-to-20ma receipt Source: Linda Raschke Holy Grail setup | US stocks | −18.0 pts/yr | 29 trades | 1.000 | 1.000 | On-site receipt |
- Raschke Holy Grail pullback-to-20ma (wide US stocks)
US stocks · −14.2 pts/yr · 181 trades · corrected q 1.000
Source, p-value and result file
- Source
- Linda Raschke Holy Grail setup
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Livermore pivotal point breakout with pyramiding (wide US stocks)
US stocks · −14.7 pts/yr · 15,996 trades · corrected q 1.000
Source, p-value and result file
- Source
- Jesse Livermore, Edwin Lefevre's Reminiscences of a Stock Operator
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Connors 3-day high/low pullback
US stocks · −16.1 pts/yr · 5,121 trades · corrected q 1.000
Source, p-value and result file
- Source
- Larry Connors 3-day high/low
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Connors 3-day high/low pullback (wide US stocks)
US stocks · −16.1 pts/yr · 5,121 trades · corrected q 1.000
Source, p-value and result file
- Source
- Larry Connors 3-day high/low
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Connors RSI(2) mean reversion
US stocks · −16.6 pts/yr · 5,937 trades · corrected q 1.000
Full test: RSI(2) Mean Reversion
Source, p-value and result file
- Source
- Larry Connors RSI2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Connors RSI(2) mean reversion (wide US stocks)
US stocks · −16.6 pts/yr · 5,937 trades · corrected q 1.000
Source, p-value and result file
- Source
- Larry Connors RSI2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Livermore pivotal point breakout with pyramiding
US stocks · −17.0 pts/yr · 4,093 trades · corrected q 1.000
Source, p-value and result file
- Source
- Jesse Livermore, Edwin Lefevre's Reminiscences of a Stock Operator
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Raschke Holy Grail pullback-to-20ma
US stocks · −18.0 pts/yr · 29 trades · corrected q 1.000
Source, p-value and result file
- Source
- Linda Raschke Holy Grail setup
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.