Intraday RSI Threshold Cross Strategy with Paired Entry and Exit Filters

Summary

The TAM strategy uses separate pairs of RSI calculations for entering and closing long positions. A buy signal occurs when either the fast or slower entry RSI crosses above 50, provided both entry RSIs are above that threshold. A close signal occurs when either exit RSI crosses below 50, provided both exit RSIs are below it. The document gives default RSI lengths of 2 and 14 for entry, and 7 and 50 for exit; it describes the method as intraday and counter-trend.

The supplied implementation only opens and closes long positions, despite broader language about trading in both directions. Its inputs include a date filter, but the shown trade-window variable is always true and does not apply that date filter. A BTC/USDT futures test configuration is included for a one-month period, but no results are reported. The document warns about RSI divergence, volatility, gaps, overfitting, and the limits of backtests, and suggests adding confirmation and risk controls. Those ideas are recommendations rather than tested enhancements.

Key ideas

• Entry and close signals use distinct RSI pairs and a shared threshold of 50.
• A signal requires at least one RSI crossover and both relevant RSI values to be on the corresponding side of the threshold.
• The supplied rules implement long entries and closes, not short trades.
• A BTC/USDT futures backtest configuration is shown without performance results.
• The document highlights divergence, parameter overfitting, and risk-control limitations.

Tags

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