Cumulative RSI Strategy with Trend Filters and Protective Stops

Summary

This automated strategy combines a short-period cumulative RSI signal with moving-average filters. It enters long when price is above a long-term average and the cumulative RSI is low, and enters short when price is below a separate average and the cumulative RSI is high. The described implementation adds short-side trading, trailing stops, and Donchian channel stops to an earlier long-only example. Entry thresholds, averaging periods, trailing distances, and Donchian lookbacks are presented as variables that may be adapted to market volatility and timeframe.

The document identifies a daily DAX CFD setup and says a ten-year tick-by-tick backtest was run, with spread and position-opening assumptions noted. It refers to an equity graph but supplies no readable performance statistics or detailed validation. The example is instrument-specific, and its broad claim of applicability across asset classes is not substantiated here. Optimization and backtest assumptions may limit how well results transfer to live trading.

Key ideas

• The strategy uses cumulative values of a short-period RSI to identify entry and exit conditions.
• Moving-average filters distinguish long and short market regimes.
• Trailing and Donchian channel stops are included as adjustable risk controls.
• The example is described for daily DAX CFDs and includes a ten-year tick-by-tick backtest setup.
• The document provides no detailed performance statistics, and its portability claims are unverified.

Tags

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