EMA Crossover Trend Following with RSI and Price Confirmation

Summary

This trend-following strategy combines a fast and slow exponential moving average crossover with an RSI filter and a price confirmation. The stated settings use a 6-period EMA and an 82-period EMA, with a 14-period RSI. A bullish crossover can qualify for a long only when RSI is below the overbought threshold and the close exceeds the prior close; a bearish crossover can qualify for a short only when RSI is above the oversold threshold and the close is below the prior close. The listed RSI thresholds are 70 and 22.

These conditions aim to align entries with a trend while avoiding trades when momentum appears stretched. The document identifies choppy-market whipsaws, indicator lag, parameter sensitivity, and fewer signals from multiple filters as limitations. It supplies a daily BTC perpetual-futures backtest interval, but reports no performance figures, trade counts, or risk measures, so it does not establish that the filters improve results. Suggested extensions include stop rules, adaptive settings, market-state classification, and scaling exposure according to signal strength.

Key ideas

• A fast and slow EMA crossover defines the strategy's directional trend signal.
• RSI thresholds filter long entries above the overbought boundary and short entries below the oversold boundary.
• Entry confirmation requires a close above or below the preceding close in the signal direction.
• Multiple filters may reduce trades, while lag and sideways markets can still produce poor signals.
• The document gives backtest settings but no performance results.

Tags

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