CCI or Momentum Entries with RSI and Bollinger Mean Filters
Summary
This strategy description combines a zero-line cross from either the Commodity Channel Index or a momentum measure with recent RSI extremes. It adds a mean filter based on an exponential moving average and standard-deviation bands: long signals require recent oversold RSI and the previous high and low above the mean, while short signals require recent overbought RSI and both below it. Optional RSI divergence checks are described. Positions are closed when price reaches or exceeds an outer band, which the text frames as profit-taking or loss control.
The example settings include RSI thresholds of 65 and 35, a 14-period RSI, and a 200-period mean with an outer-band multiplier of 1.6. The listed backtest uses daily BTC-USDT futures bars from October 2022 to October 2023, with hourly base data. Although the prose claims strong backtest results, it reports no metrics, so that claim cannot be assessed. The title’s reference to price gaps is not clearly supported by the described entry rules. The logic depends on parameter choices, liquidity, trading sessions, and adequate out-of-sample checks; no evidence establishes consistent returns.
Key ideas
- Entries use a CCI or momentum zero-line cross together with a recent RSI extreme.
- A long requires the prior high and low above the exponential mean; a short requires both below it.
- RSI divergence filtering is optional, and the described exits trigger at an outer band.
- The example lists RSI thresholds of 65 and 35 and a 200-period mean with a 1.6 band multiplier.
- A one-year daily futures backtest is specified, but no metrics substantiate the performance claim.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.