CCI, Dual RSI, and EMA Signals with Trailing Stops

Summary

This strategy combines CCI, two RSI series, and two exponential moving averages to generate directional signals. A long entry requires CCI above a positive cutoff, a crossover of the faster RSI above the slower RSI, and price above the slower EMA. A short entry uses CCI below the negative cutoff, a downward RSI crossover, and price below the slower EMA. Exits compare the close with a trailing level based on the slow EMA and a configurable dollar offset.

The description says trades are limited to the regular session and closed shortly before its end, but those session rules are not active in the included source; the source's session conditions are commented out. The published setup is a BTC/USDT futures backtest from January to May 2022, using hourly bars and 15-minute base data, but no performance results are supplied. The rules therefore need testing with session handling clarified, along with realistic costs and stop behavior. The fixed dollar offset may also behave differently across instruments and price scales.

Key ideas

• Long and short entries combine CCI thresholds, fast-versus-slow RSI crossovers, and price relative to the slow EMA.
• The faster RSI must cross the slower RSI in the trade direction.
• Exits use a trailing threshold anchored to the slow EMA with a configurable dollar offset.
• Although the description mentions regular-session limits, the source has those conditions commented out.
• The BTC/USDT futures backtest configuration reports no performance statistics.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.