Adaptive SMI Crossovers with Overbought and Oversold Filters
Summary
This document describes a short-term strategy using two differently sized momentum series and an exponential moving average signal line. It enters long or short when the faster series crosses the signal line, with overbought and oversold thresholds intended to filter entries. The published example uses BTC/USDT futures data over a brief one-week backtest window, but reports no performance results, so it does not establish profitability.
The article presents the oscillator as an ergodic form of the Stochastic Momentum Index and says it may reduce noise and lag. However, the included implementation calculates the True Strength Index, and its entry comparisons do not fully match the prose description of requiring both lines beyond the same threshold. These discrepancies make the exact intended rules uncertain.
The document flags parameter sensitivity and poor behavior in choppy markets or sharp reversals. It suggests testing alternative lengths, adding stops or other indicators, and considering automated parameter tuning. Those are proposed extensions, not validated improvements.
Key ideas
- The strategy uses crossovers between a short-period momentum series and an exponential moving average signal line.
- Overbought and oversold thresholds are intended to filter long and short entries.
- The text describes an ergodic SMI, while the example implementation calculates the True Strength Index.
- The stated rules and the implementation's threshold comparisons do not fully agree.
- Parameter sensitivity, choppy markets, and sharp reversals are identified as risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.