Dual RSI Moving Average Crossovers with a Long-Term Trend Filter

Summary

This strategy smooths two RSI series and uses their moving average crossover to time long entries and exits. It calculates RSI with lengths of 100 and 40, then applies 21-period simple moving averages; a crossover of the faster RSI average above the slower one signals a long only when price is above its 200-period simple moving average. The stated intent is to catch reversals while filtering trades against a longer-term price trend.

The document gives published backtest settings for BTC-USDT futures over roughly one month in late 2023, but provides no performance results. It also describes possible short signals, although the supplied source implements long entries and exits only. The source’s exit call is activated after a crossover or a drop below the long-term average and specifies profit and loss levels relative to close, so its actual behavior merits verification. The discussion flags whipsaws, choppy-market stop-outs, parameter sensitivity, and exposure to larger trend shifts.

Key ideas

• The strategy smooths RSI series of lengths 100 and 40 with 21-period simple moving averages.
• A bullish crossover permits a long entry only when price is above its 200-period moving average.
• The document describes bearish crossovers as sell signals, but the supplied source implements long positions only.
• Published backtest settings use BTC-USDT futures from late October to late November 2023 and include no reported performance results.
• Crossovers can whipsaw, especially in sideways markets, and parameter choices affect signals.

Tags

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