Quant Radio: Reviving the Holy Grail of Quant Trading

In this episode of Quant Radio, we explore the evolution of a once-forgotten quant trading concept that some considered a "holy grail"—the two-period RSI strategy popularized by Larry Connors.

We break down how this simple momentum signal, in the right market context, revealed a powerful statistical edge for short-term mean reversion trades. From its roots in the S&P 500 to large-scale backtests across millions of stock signals, we follow the journey through data-driven refinements, risk management techniques, and performance metrics.

Along the way, we uncover why tiny stocks are so tempting yet so dangerous, how to optimize for edge while reducing delisting risk, and what happens when you add guardrails like liquidity filters, position caps, and market trend exits. The result? A compelling, if not perfect, strategy that challenges conventional wisdom.

Whether you’re a seasoned quant or a curious investor, this video offers rich insights into the science—and art—of building robust trading systems.

Find the full research paper here: https://community.quantopian.com/c/community-forums/the-holy-grail-still-works-quantitativo

For more quant-focused content, join us at ⁠⁠⁠⁠https://community.quantopian.com⁠⁠⁠⁠. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.

Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.