Inverted RSI Strategy Using Smoothed RSI Crossovers

Summary

The document presents a two-sided trading strategy based on crossovers between short and long moving averages of RSI. A downward crossover opens a long position and closes a short; an upward crossover closes a long and opens a short. The example uses a 14-period RSI smoothed over short and longer windows, trades at market, and disables order accumulation. Position size is based on a cash amount divided by price, with a separate smaller size mentioned for the CAC 40 index.

The author says preliminary results vary by instrument: the CAC 40 disappointed, while several individual shares appeared more promising. No numerical performance, test period, transaction costs, or risk-adjusted evaluation is given, so those impressions are not enough to establish an edge. A five-percent loss stop appears only as a commented setting, rather than an active rule. The post characterizes the idea as experimental and invites further testing, but offers no tested improvements or detailed safeguards for live trading.

Key ideas

• The strategy trades crossovers between short and long moving averages of RSI.
• A downward crossover opens a long position, while an upward crossover opens a short position.
• The example uses market orders and sizes positions from a cash amount divided by price.
• The author reports mixed impressions across instruments but supplies no detailed performance evidence.
• The mentioned loss stop is commented out and is not active in the example.

Tags

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