Long-Only Index Pullbacks with RSI and Moving Average Filters

Summary

This long-only pullback strategy seeks entries when an index remains above its 200-day simple moving average, closes below its 10-day average, and has a three-period RSI below 30. The long-term average is intended to restrict trades to an upward regime, while the short-term average and low RSI identify a possible oversold correction. After entry, the rules describe exits at a percentage stop or profit target, and an additional close condition based on price recovering above the short moving average.

The document presents the method as suitable for daily index trading and discusses its simplicity and low data requirements. It also includes source code and published test settings for BTC_USDT futures, although those settings do not align neatly with the stated index focus. The code uses adjustable stop and take-profit percentages, but no backtest performance figures are supplied. The text cautions that prolonged bear markets and failed reversals can cause losses, and that the strategy may trade infrequently. Parameter tuning, extra filters, and walk-forward analysis are proposed, but no evidence is provided that these changes improve results.

Key ideas

• The strategy only enters long when price is above its long-term average but below its short-term average.
• A three-period RSI below 30 is used to identify a possible short-term oversold reversal.
• Exits combine percentage-based stop and profit levels with a short-term moving average condition.
• The provided BTC_USDT futures test settings do not report performance and differ from the index focus.
• Bear markets, failed reversals, low trading frequency, and parameter sensitivity are identified as limitations.

Tags

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