Combining Stochastic RSI with a Gaussian Price and Range Filter

Summary

This partial strategy source combines Stochastic RSI with a multi-pole Gaussian-style filter applied to price and true range. It calculates RSI, transforms it through a stochastic calculation, and smooths the resulting K and D series. Separately, the filter uses configurable source data, pole count, sampling period, and a true-range multiplier to form upper and lower bands around filtered price. Optional modes adjust lag and response speed.

The strategy declaration specifies percentage-of-equity sizing, commission, slippage, and a date window, while the visible inputs set default lengths for the RSI and stochastic calculations. However, the excerpt stops before showing plots, signal conditions, order placement, or any reported test results. It therefore reveals the indicator construction and some simulation assumptions, but not how the indicators are combined into trades or what outcomes they produce. The title suggests an RSI and Gaussian-filter strategy, yet the available text is insufficient to evaluate its entry, exit, or risk rules.

Key ideas

• The source computes Stochastic RSI and smooths its K and D lines.
• A configurable multi-pole filter is applied to price and true range to create bands.
• Lag-reduction and faster-response modes are available as filter options.
• The strategy specifies position sizing, commission, slippage, and a date range.
• The provided excerpt omits trade signals, exits, and performance evidence.

Tags

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