Hull Moving Average Trend Filter with RSI Entries and Risk-Based Targets
Summary
This strategy uses the direction of a Hull moving average to define the prevailing trend, then looks for RSI crossings as entry triggers. In an upward Hull direction, it seeks a long after RSI crosses below its chosen threshold; in a downward direction, it seeks a short after RSI crosses above its threshold. A state flag limits the system to one entry per trend cycle, resetting when the Hull direction changes.
Stops are placed at the recent low for longs or recent high for shorts over a configurable lookback, and targets are set using a risk-reward multiple. Positions also close if the Hull direction flips. Despite the description’s reference to trailing stops, the code calculates a fixed stop at entry rather than updating it as the trade progresses. The document provides implementation details but no backtest evidence; the RSI triggers and risk distances need market-specific evaluation.
Key ideas
- Hull moving average slope determines whether the strategy favors long or short trades.
- RSI crossings against the prevailing trend direction trigger entries.
- A state flag permits one trade per Hull trend cycle.
- Recent price extremes define the stop, and a risk-reward multiple sets the target.
- A Hull direction reversal closes an open position, while the stated stop remains fixed after entry.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.