Combining Stochastic RSI, a Gaussian Channel, and Slope Exhaustion

Summary

This work-in-progress strategy combines a smoothed stochastic RSI signal with a multi-pole Gaussian price filter and a channel built from filtered true range. A long entry requires the Gaussian filter to be rising, price to close above the upper channel, the stochastic RSI K value to exceed its D value, and the bar to fall within the chosen date range. The script sets defaults for four Gaussian poles, a 144-bar sampling period, and a channel multiplier of 1.414; it also specifies commission and slippage assumptions.

For exits, the strategy closes a long when price crosses below the upper channel, or when a negative filter-slope exhaustion signal occurs while the position is profitable and price is near or below the channel. The document includes code and a brief overview, but no reported backtest results or evidence that the method is profitable. Its rules are long-only, and the slope-based exit is conditioned on being in profit. The unfinished label and limited explanatory text leave implementation choices and practical performance uncertain.

Key ideas

• Long entries require a rising Gaussian filter, a close above its upper range band, and bullish stochastic RSI alignment.
• The channel adds filtered true range to a Gaussian-smoothed price baseline.
• An upper-band crossunder can close a long position.
• A slope-exhaustion condition can also trigger an exit when the trade is profitable and price is near the band.
• The document provides implementation settings but no backtest performance evidence.

Tags

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