Ergotic TSI Crossover Strategy for Momentum Signals

Summary

This strategy uses the Ergotic True Strength Index (TSI), attributed to William Blau’s work on momentum and direction. It smooths price changes and their absolute values through three successive exponential moving averages, then divides the signed changes by the smoothed absolute changes. A further EMA of the resulting TSI serves as the signal line.

The strategy enters long when TSI is above its signal line and short when it is below; the published implementation maintains the corresponding position until the relationship changes. Inputs include three smoothing periods, a signal-line period, and an option to reverse the direction of trades. The document gives no performance results, though it lists BTC/USDT futures backtest settings spanning about a year.

The notes identify false signals near reversals and sensitivity to parameter choices, and suggest testing different price inputs, adding confirmation indicators, and using stops and exit rules. Despite references to divergence, the described entry logic is based on the TSI and signal-line relationship; no separate divergence rule or evidence of profitability is provided.

Key ideas

• The TSI divides a triple-smoothed series of signed price changes by a triple-smoothed series of absolute price changes.
• An EMA of TSI provides a signal line for crossover-based position changes.
• The implementation supports long and short positions, with an option to reverse the signals.
• Reversal errors and parameter sensitivity are listed as risks, with no performance evidence supplied.

Tags

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