Dual SMI and RSI Signals with a Candle-Body Filter and Optional Martingale

Summary

This strategy combines the Stochastic Momentum Index (SMI) and a fast RSI to generate long and short signals. It enters long when SMI is below its negative threshold or RSI is below its oversold level, with a bearish candle; short entries use the corresponding upper thresholds with a bullish candle. A candle-body filter compares the current body with one third of its 10-period average to screen signals. Opposite-color candles that pass the filter can close an existing position, and an optional martingale setting doubles size after a losing exit and resets after a profitable one.

The document provides the indicator rules, configurable parameters, and a BTC/USDT futures backtest window from September 2022 to October 2023, but reports no performance results. It warns that lagging indicators can produce delayed or false signals, especially in ranging markets, and that martingale sizing can accelerate losses. The body filter may also discard valid trades. Stop-loss rules and parameter or sizing choices are suggested as areas to refine.

Key ideas

• SMI and RSI thresholds provide alternative long and short entry triggers, paired with candle direction.
• A 10-period average candle body sets a filter that requires the current body to exceed one third of that average.
• An optional martingale doubles position size after a losing exit and resets after a winning exit.
• The strategy can close positions on a filtered candle in the opposite direction or at the end of the selected date window.
• Lagging signals, range-bound conditions, and escalating martingale size create substantial risks.

Tags

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