CCI Trend Filtering with RSI Crossovers and Price Confirmation

Summary

This strategy combines a CCI trend filter, RSI fast and slow lines, and a price-versus-moving-average check described in the text. It uses 14-period CCI on the midpoint price to define direction, alongside a 14-period RSI compared with a 50-period smoothed RSI. Long conditions require positive CCI and RSI above its slower line; short conditions require negative CCI and RSI below it. The narrative also describes requiring price to be on the matching side of a 14-period midpoint moving average.

The source enters and closes positions using the CCI and RSI conditions, but does not include the price filter in the active order logic; that filter appears only in unused variables. The published backtest settings specify BTC/USDT futures over about a year, but provide no performance statistics. The document itself cautions that the indicator combination may be overfit, that CCI can lag, and that parameters may need instrument-specific evaluation. Results would require rigorous testing before drawing conclusions.

Key ideas

• The strategy uses positive or negative 14-period CCI on midpoint prices to set a broad directional bias.
• A 14-period RSI is compared with a 50-period smoothed RSI to define directional signals.
• The description adds a price-versus-midpoint-average filter, but the source's active entries do not use it.
• The source closes positions when the opposing CCI and RSI conditions arise.
• Published BTC/USDT futures settings contain no performance evidence, and the document warns about lag and overfitting.

Tags

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