Gaussian Filter Breakouts with Stochastic RSI and Slope Exhaustion

Summary

This work-in-progress strategy uses a multi-pole Gaussian filter on price and true range to form a smoothed trend line and an upper volatility band. It enters long when the filter is rising, price closes above that band, and smoothed Stochastic RSI has its fast line above its signal line. The exit combines a close back below the band with a slope-based exhaustion condition that applies when the position is profitable and price is weakening relative to the band.

The script includes a date window, commission and slippage assumptions, chart plots, and alert conditions. The accompanying overview is incomplete, and no backtest report or performance evidence is included in the document. The code's actual entry rule uses the Stochastic RSI line relationship; the prose fragment mentioning extreme readings is cut off and does not establish an additional threshold rule. As a work in progress, it needs testing across markets and regimes, including evaluation of costs and the sensitivity of its filter and exit parameters.

Key ideas

• A multi-pole Gaussian filter smooths price and true range to define a trend line and volatility band.
• Long entries require an upward filter slope, a close above the upper band, and bullish Stochastic RSI alignment.
• Exits can trigger on a band crossunder or on slope exhaustion while a position is profitable and weakening.
• The script specifies commission, slippage, and date-window settings, but the document provides no performance results.
• The prose description is truncated, so the code provides the clearest account of the entry rule.

Tags

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