CCI, RSI, and Keltner Channel Entries with Trend Filtering

Summary

This two-sided strategy combines CCI and RSI extremes with Keltner Channel boundaries, a volume filter, and an optional moving-average trend filter. Long entries require CCI and RSI below their oversold thresholds, price below the lower channel, sufficient volume, and no existing long position; short entries reverse those conditions. Positions close when CCI crosses back through zero. The moving-average type and trend-filter direction can be selected, and the rules can be enabled separately for long and short trades.

The document reports a five-year historical test and describes its results as stable, but gives no statistics to assess that claim. Its published backtest configuration instead names BTC/USDT futures over April 2024, while the narrative describes AUDNZD and GBPNZD, creating a mismatch in instrument and evidence. The stated defaults include an oversold RSI threshold equal to the overbought threshold, and the strategy lacks conventional stop-loss and take-profit rules. It also warns of noisy signals, churn in sideways markets, fixed sizing, and limited filter effectiveness in volatile or unclear trends.

Key ideas

• CCI and RSI extremes combined with Keltner Channel breaks define long and short entry conditions.
• An optional moving-average filter can require trades to align with or oppose the indicated trend.
• The stated exit condition closes longs when CCI rises above zero and shorts when it falls below zero.
• The narrative claims five years of stable results, but the published test settings specify a different instrument and a much shorter period.
• The strategy lacks conventional stop-loss and take-profit rules and may incur noise and trading costs.

Tags

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