Hourly RSI Threshold-Crossing Strategy with Initial Stops

Summary

This two-direction strategy trades hourly RSI threshold crossings. It enters long when RSI rises through 60 and closes the long when RSI falls back through that level; it enters short when RSI falls through 40 and closes the short when RSI rises back through it. The default RSI length is 14. An initial stop is described as 6% of entry price, intended to cap risk on each position.

The document includes a published one-hour BTC/USDT futures test period for February 2024, but reports no performance results. In the supplied source, stop prices are recalculated from the current close on each bar, rather than clearly being fixed at the entry price, so the implementation may behave differently from the stated initial-stop description. RSI crossings can whipsaw in sideways conditions, and the document highlights sensitivity to parameters, slippage, and stop placement. It suggests testing filters, alternative stop methods, and position sizing, but offers no evidence that these changes improve results.

Key ideas

• A long opens when hourly RSI crosses above 60 and closes when it crosses back below.
• A short opens when hourly RSI crosses below 40 and closes when it crosses back above.
• The default RSI period is 14, and the stated initial stop distance is 6% of price.
• The source recalculates stop levels using the current close, which may differ from a fixed entry-based stop.
• The published BTC/USDT futures test period has no accompanying performance results.

Tags

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