Long-Only Bull Trend Strategy with Donchian and StochRSI Filters

Summary

This long-only approach combines a Donchian-style trend filter with StochRSI timing. The trend filter is the highest value of an EMA of highs over a rolling window; the document describes an EMA length of 6 and a 30-bar window. A close above that filter marks the bullish regime. The strategy enters or maintains a long position while StochRSI %K is above a lower threshold, set to 35 by default, and exits when %K crosses below it. The described StochRSI settings also include smoothing and RSI and stochastic lookbacks.

The document presents the combination as a way to restrict trades to bullish conditions and use an oscillator for exits, but it provides no performance evidence. It warns that a sudden reversal may outpace the exit signal, that unsuitable settings can increase false signals, and that the approach is poorly suited to ranging or falling markets. The published backtest configuration uses BTC-USDT futures on a three-hour timeframe over about one month, which does not establish broader results. Stop losses and tests across different assets are suggested improvements.

Key ideas

• A close above the rolling EMA-based high filter defines the bullish regime.
• The strategy enters or holds long when StochRSI %K exceeds its lower threshold and exits on a downward cross.
• The default lower threshold is 35, while the filter uses a 6-period EMA over 30 bars.
• The method is long-only and may struggle in sideways markets or during abrupt reversals.

Tags

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