ETH Gaussian Channel Breakouts with StochRSI and a 200-Day Regime Gate

Summary

This daily-bar strategy for ETH combines a Gaussian-filtered price channel with a Stochastic RSI entry filter. It enters long when the channel is rising, price closes above the upper band, the oscillator is outside a specified threshold, price is above its 200-day simple moving average, and the entry candle closes higher than it opened. A stop can be placed at the lower channel band; the strategy also exits if price falls below the upper band or the filter turns down.

The document explains that the 200-day regime gate was added to avoid breakout entries during bear-market rallies, citing poor behavior of an earlier slower baseline on ETH and SOL in 2022. It also describes parameter sensitivity checks for the oscillator threshold and breakout buffer, but the supplied text does not provide a complete performance report or enough detail to judge robustness. The strategy is long-only, uses stated commission and slippage assumptions, and is designed for daily ETH data; results may not transfer to other markets or timeframes.

Key ideas

• The Gaussian channel provides a trend direction and upper and lower volatility bands.
• Long entries require an upward channel, an upper-band close, an extreme StochRSI reading, a bullish candle, and a bull regime.
• The 200-day moving average gate is intended to avoid bear-market bounce entries.
• Exits can occur when price falls back under the upper band, the channel turns down, or the lower-band stop is hit.
• The stated parameter observations are not a substitute for a complete out-of-sample performance evaluation.

Tags

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