Gaussian Channel Breakout Strategy with Stochastic RSI and Slope Exits

Summary

This long-only strategy combines a multi-pole Gaussian filter and filtered true-range band with Stochastic RSI. It enters when the filter is rising, price closes above the upper band, and the oscillator’s K line is above its D line. The script uses a time window and specifies commission and slippage assumptions for its strategy simulation.

The initial overview also describes an oscillator extreme threshold and a midline exit, but those rules do not appear in the supplied source logic. In the code, exit signals come from price crossing below the upper band, or from unusually weak filter slope when the trade is profitable and price is below the current or prior upper band. The document reports improved backtest figures for an update over a stated period, but provides no instrument, timeframe, independent validation, or detailed test methodology. The results therefore do not establish performance outside those tested settings.

Key ideas

• Long entries require a rising Gaussian filter, a close above its filtered true-range band, and Stochastic RSI K above D.
• The supplied source does not implement the overview’s claimed Stochastic RSI extreme threshold.
• Exits use an upper-band crossunder or a slope-exhaustion condition gated by profitability and price relative to the band.
• The document reports backtest comparisons, but gives limited information for judging generalizability or robustness.

Tags

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