Gaussian Channel Breakout Strategy with Stochastic RSI and Slope Exits

Summary

This long-only strategy combines a multi-pole Gaussian filter with a volatility band and Stochastic RSI. It enters when the filtered baseline rises, price closes above the upper band, and the Stochastic RSI %K is above %D. The script applies a date window and specifies commission and slippage assumptions. Despite the accompanying description claiming extreme oscillator readings, the code only checks the relative ordering of %K and %D; it does not impose an overbought or oversold threshold.

For exits, it closes on a price cross below the upper band, or when a sharp decline in the filter slope signals possible exhaustion while the position is profitable and price is near or below the band. The page reports backtest figures and describes use on crypto assets and longer intraday or daily charts, but supplies no chart-by-chart breakdown or independent validation. Results are sensitive to the chosen market, timeframe, test period, and execution assumptions, and the source is explicitly a work in progress.

Key ideas

• Long entries require an upward Gaussian filter, a close above its true-range-based upper band, and Stochastic RSI %K above %D.
• The code does not use the extreme Stochastic RSI thresholds described in the accompanying prose.
• Exits combine a band crossunder with a slope-exhaustion condition that applies only when the position is profitable.
• The strategy specifies a date window, percent-of-equity sizing, commission, and slippage assumptions.
• Reported backtest results lack independent validation and may not generalize across assets or timeframes.

Tags

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