EMA Trend Filters with RSI-Based Position Exits

Summary

This strategy uses 21-, 55-, and 200-period exponential moving averages to filter trend direction, with a 14-period RSI to close positions. A long entry occurs when the shorter EMA crosses above the middle EMA while both are above the 200-period EMA and price is also above it. A short entry uses the inverse alignment and crossover. Longs close when RSI crosses down from its overbought threshold while above its midpoint; shorts close when RSI crosses up from its oversold threshold while below the midpoint.

The document publishes backtest settings covering daily bars from August 2021 to August 2022, with a one-hour base period, but does not report returns, drawdowns, trade counts, or other results. The rules therefore describe a testable trend-following method rather than evidence of effectiveness. EMA signals lag price, and the RSI exits may not protect against sharp reversals; the document also specifies no explicit stop loss or risk-sizing method.

Key ideas

• The 21- and 55-period EMA crossover is filtered by price and moving-average position relative to the 200-period EMA.
• The strategy opens long positions on bullish alignment and short positions on bearish alignment.
• RSI threshold crossings provide position exits rather than entry confirmation.
• Published settings describe daily bars with a one-hour base period over roughly one year, but no performance results are included.
• The rules specify no explicit stop loss or position-risk controls.

Tags

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