Dual SMA Trend Filter with Stochastic RSI Crossovers

Summary

This long-only system uses the relationship between a shorter and a longer simple moving average to define the trend, then looks for a Stochastic RSI crossover as a timing signal. It enters when the faster oscillator line crosses above the slower line while in the oversold zone, provided the shorter moving average is above the longer one. It exits when the oscillator crosses down in the overbought zone. The published configuration uses daily BTC futures data and specifies a backtest period, but gives no performance statistics or conclusions from that test.

The document presents the combination as a way to align momentum timing with the broader trend, and identifies sideways markets, indicator lag, false signals, and parameter sensitivity as limitations. It suggests testing changes such as volatility or trend-strength filters, volume confirmation, and revised exits. Those are proposed improvements, not demonstrated results. The rules define entry and exit signals but do not specify a position-sizing method or a full risk-management plan.

Key ideas

• The faster simple moving average must be above the slower one for long entries to qualify.
• A Stochastic RSI bullish crossover in the oversold zone triggers an entry when the trend filter is positive.
• A bearish oscillator crossover in the overbought zone closes the long position.
• The rules are long-only and do not specify position sizing or a comprehensive risk plan.
• The document lists no measured backtest performance and cautions that choppy markets and parameter choices can affect results.

Tags

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