Combining 123 Reversals with the Commodity Selection Index
Summary
This hybrid strategy combines a 123 reversal system with the Commodity Selection Index (CSI). The reversal component uses consecutive daily closes and a Stochastic condition to signal a possible turn. CSI combines volatility information from Average True Range with trend strength from the Average Directional Index; its movement relative to a moving average supplies confirmation. The strategy takes a trade only when both components agree, and it can also run either component alone.
The document describes this dual confirmation as a way to filter signals, but supplies no evidence that it improves accuracy or returns. Requiring agreement may reduce the number of trades or leave the strategy inactive when parameters do not align. The reversal component remains vulnerable to strong moves that continue in one direction. The authors suggest parameter testing, market-state filters, adaptive settings, and stop losses. Published backtest settings cover a short BTC/USDT futures period, with no performance statistics or cost analysis reported.
Key ideas
- The 123 component combines consecutive closing-price changes with a Stochastic condition.
- CSI uses ATR and ADX information to reflect volatility and trend strength.
- Trades require agreement between the reversal signal and CSI relative to its moving average.
- Dual confirmation may reduce activity as well as filter some signals.
- Countertrend trades remain exposed to persistent moves, and the document reports no backtest outcomes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.