Combining RSI Mean Reversion with a 200-Period SMA Trend Filter

Summary

This long-only strategy combines short-term RSI mean reversion with a 200-period simple moving average trend mode. When price is below the average, RSI below 20 can trigger a countertrend entry, sized with a configurable mean-reversion factor. When price is above the average, the strategy can enter in the trend direction; the source uses price above the average as its trend entry condition and applies a separate position factor. The trade origin determines the exit: RSI above 80 for mean-reversion trades, or price below 95% of the average for trend trades.

The document presents the two modes as a way to adapt to different market conditions and flags false signals, delayed switching, and drawdowns as risks. The listed BTC/USDT futures backtest covers roughly seven months, but no performance figures or comparison are given. The source also makes mode selection depend on whether either strategy is disabled, so behavior can change with those settings. The rules are a strategy proposal, not evidence that either mode is profitable.

Key ideas

• The strategy uses a 200-period simple moving average to distinguish its mean-reversion and trend-following modes.
• An RSI reading below 20 can trigger a countertrend long entry below the average.
• Price above the average can trigger a trend-following long entry with its own position-size factor.
• Mean-reversion trades exit when RSI exceeds 80, while trend trades exit below 95% of the average.
• The published backtest lists BTC/USDT futures but provides no performance results.

Tags

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