ATR-Gated RSI Entries with Percentage Trailing Stops

Summary

This multi-instrument strategy updates bars from incoming ticks and calculates ATR and RSI for each instrument. It only considers new entries when the latest ATR is above its recent average. RSI levels set around the midpoint then determine direction: a high reading targets a fixed long position, while a low reading targets a fixed short position. When neither threshold is crossed, the target is flat.

For open positions, the strategy tracks the highest price during a long trade or the lowest price during a short trade, then exits when the close crosses a percentage-based trailing stop. It submits orders to reconcile current positions with target positions, using a price offset from the bar close. The supplied code gives no backtest results, transaction-cost assumptions, or performance evidence; order fills and bar construction may also affect outcomes. The method is a rule-based trend and momentum approach, not proof of profitability.

Key ideas

• ATR must exceed its recent average before the strategy can open a position.
• RSI thresholds above or below its midpoint select fixed-size long or short targets.
• Open trades are exited when price closes beyond a trailing stop based on the trade’s extreme.
• Orders aim to bring the current position in line with the target using a price offset.
• The excerpt reports no results or transaction-cost analysis.

Tags

From a private course collection; the original is not published.