Futures Trend Pullbacks Using EMA Direction and RSI Thresholds

Summary

This futures strategy defines direction using the relationship between closing price and a configurable exponential moving average. It enters long when price is above the average while RSI is sufficiently low, treating weakness as a pullback within an uptrend; it enters short when price is below the average and RSI is sufficiently high. A session filter can restrict signals to selected exchange hours, and the script prevents adding to an existing position.

Trade exits use bracket orders with either fixed tick distances or distances based on average true range, with an optional trailing stop. Contract quantity is an input, and chart plots show the average and potential entry signals. The document specifies default parameters and implementation choices but gives no backtest results, market-specific evaluation, or evidence that the thresholds generalize. Its examples also set commission to zero, so any strategy assessment would need realistic costs and execution assumptions.

Key ideas

• The EMA sets the trend direction, while RSI identifies a counter-move used as a pullback entry.
• Long and short signals apply mirrored price and RSI conditions.
• Stops and profit targets can use fixed ticks or ATR multiples, with an optional trailing stop.
• The script offers session filtering and adjustable contract quantity but supplies no performance evidence.

Tags

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