Filtering 50/200 SMA Crossovers with RSI Thresholds

Summary

This document describes a long-only strategy that combines 50-period and 200-period simple moving average crossovers with a 14-period RSI filter. It opens a long position when the shorter average crosses above the longer one and RSI is below 70, then closes the position on a downward crossover when RSI is above 30. The parameters can be adjusted, and the script plots the averages, RSI levels, and signals.

The document gives no performance results. Its published backtest settings specify daily BTC/USDT futures data from late 2019 to late 2024, but no outcome statistics are provided. It notes that moving averages lag, crossover signals can be unreliable in sideways markets, and results may depend on parameter choices. Suggested extensions include trend-strength filtering, stop losses, alternative exits, and volume confirmation; these are proposals rather than tested improvements.

Key ideas

• The strategy uses a 50-period and 200-period SMA crossover to signal trend direction.
• A long entry requires an upward crossover while RSI remains below its overbought threshold of 70.
• A downward crossover closes the long position when RSI is above its oversold threshold of 30.
• The document warns that lag and sideways markets can produce delayed or false signals.
• Published backtest settings describe daily BTC/USDT futures data, but provide no performance results.

Tags

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