Gaussian Channel Breakouts Confirmed by Stochastic RSI

Summary

This long-only strategy combines an N-pole Gaussian filter with a channel based on filtered true range and a Stochastic RSI momentum check. It enters when the Gaussian filter is rising, price crosses above the upper channel, and the Stochastic RSI %K is above %D, subject to a configurable date window. It closes the position when price crosses back below the upper band. The filter includes optional reduced-lag and faster-response modes, while its pole count, sampling period, and range multiplier shape the channel.

The script sets commission and slippage assumptions and exposes indicator settings, but the document supplies no strategy-report results or evidence that the rules are profitable. Its explanatory text describes the exit as a midline exit, while the code actually checks a crossunder of the upper band; the code’s condition is the operative rule. The strategy takes only long trades, and its behavior will depend on market, timeframe, costs, and parameter choices.

Key ideas

• The Gaussian filter smooths price and true range to form an adaptive upper and lower channel.
• A long entry requires a rising filter, a close above the upper band, and Stochastic RSI %K above %D.
• Optional reduced-lag and fast-response settings change the filter’s responsiveness.
• The code exits on a close crossing below the upper band, despite prose describing a midline exit.
• The document includes trading-cost assumptions but provides no performance evidence.

Tags

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