Dual-Smoothed TSI Momentum Signals from Price Changes

Summary

This strategy calculates the True Strength Index (TSI) by applying two exponential smoothing stages to price changes and to their absolute values. Dividing the smoothed signed changes by the smoothed absolute changes normalizes the result, so it reflects the direction and relative strength of momentum. A TSI crossover above its signal average triggers a long entry, while a crossover below triggers a short entry.

The document describes adjustable long, short, and signal lengths and includes a BTC/USDT futures backtest configuration covering a stated period. It reports no performance statistics, comparison, or evidence that the approach is profitable. The discussion identifies false signals in sideways markets, sensitivity to parameter choices, and lag from widely separated smoothing windows. It suggests parameter testing, alternative averages, added filters, and stop losses, but provides no tested results for these changes.

Key ideas

• The TSI divides double-smoothed signed price changes by double-smoothed absolute price changes.
• A TSI cross above its signal average produces a long signal, and a cross below produces a short signal.
• Longer and shorter EMA windows control smoothing and influence the indicator's responsiveness.
• The document warns that ranging conditions can generate false signals and smoothing can introduce lag.
• The supplied backtest configuration does not include reported performance results.

Tags

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