Ehlers-Style Smoothed RSI Momentum Signals

Summary

The strategy describes a smoothed RSI-style oscillator intended to reduce short-term noise while limiting lag. Its source first forms a weighted price from the current close and three prior closes, then sums upward and downward changes over a configurable length and normalizes upward movement by total movement. The source takes long or short positions when that normalized value reaches an extreme, with an option to reverse direction. The published settings specify a length of 10 and a BTC/USDT futures backtest interval, but give no performance statistics.

There is an important difference between the explanation and implementation: the prose says values above or below 0.5 drive direction, while the source's position logic changes only when the normalized value equals 1 or 0, retaining the prior position otherwise. The claimed reduction in lag and improved reliability is not supported by comparative results here. As with other oscillator signals, the method may behave poorly in choppy conditions; the text recommends filters, risk controls, and testing across periods, but does not evaluate those changes.

Key ideas

• A weighted average of recent closes is used to smooth price before measuring momentum.
• The source normalizes summed upward movement by total upward and downward movement over a chosen length.
• The prose describes a 0.5 threshold, while the source changes positions at the normalized extremes of 0 and 1.
• The reverse setting swaps the direction of the source's long and short signals.
• The document reports no strategy performance or evidence that smoothing improves returns.

Tags

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