Ehlers Fisher Stochastic Relative Vigor Index Trading Rules

Summary

This strategy combines a Relative Vigor Index with an Ehlers Fisher stochastic transformation to create directional signals. It smooths candle body changes and ranges, sums them over a configurable length, and divides the body measure by the range measure to form the RVI. A Fisher stochastic signal is then compared with its prior value as a trigger. Crossovers and a threshold on the signal determine entries; an opposite-trade setting reverses which crossing corresponds to long or short exposure.

The source also closes all positions if open profit is negative after a specified number of bars. Although the accompanying prose mentions fixed and trailing stops, the displayed implementation instead uses this time-based loss exit and does not show those stop mechanisms. The document gives a BTC-USDT futures backtest setup but no performance results. It flags parameter sensitivity and curve-fitting risk, and proposes volatility-adjusted stops and other filters as future ideas, not tested features.

Key ideas

• The RVI is calculated by comparing smoothed candle body movement with smoothed high-low ranges.
• A Fisher stochastic transformation of the RVI is compared with its previous value to generate crossings.
• A configurable option can reverse the direction assigned to crossover and crossunder signals.
• The shown implementation exits losing positions after a bar-count condition, rather than implementing the described fixed and trailing stops.
• The published BTC-USDT futures setup contains no reported performance evidence, and the text notes parameter and curve-fitting risks.

Tags

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