Connors-Style RSI Pullback Entries with Moving Average Exits

Summary

This long-only strategy uses a very short-period RSI to identify pullbacks while a long moving average filters for the broader trend. It opens a position when price is above the long average and RSI falls below its oversold threshold. The standard described settings use a two-period RSI, a 200-period trend average, and a five-period short average; an optional RSI average filter can further restrict entries. The position exits when price rises above the short average, with an optional percentage stop.

The document presents this as a Connors-inspired approach and discusses tuning parameters, adding filters, and testing across markets and timeframes. The published backtest configuration covers only about one month of BTC/USDT futures at hourly bars, and no performance statistics are included. The rules are long-only and depend on mean-reversion after pullbacks within an uptrend, while the short-average exit captures a rebound. The text cautions that parameter sensitivity, false signals, missing stop protection, and backtest overfitting may undermine live performance; it recommends position control and broader robustness checks.

Key ideas

• The strategy enters long when a short-period RSI is oversold and price remains above a long-term moving average.
• A rise above the short moving average triggers a full exit.
• An RSI moving average filter and an optional stop-loss are configurable.
• The published BTC/USDT futures backtest spans a short period and provides no performance statistics.
• Parameter sensitivity, false signals, and overfitting are stated limitations.

Tags

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