Long-Only RSI Entries Using VWAP as the Indicator Source

Summary

This short-term strategy calculates RSI from VWAP rather than the closing price. It treats RSI below 20 as oversold and above 80 as overbought, opens a long position when RSI crosses upward through the oversold threshold, and closes that position when RSI crosses downward through the overbought threshold. The published parameters specify an RSI length of 17 and an oversold threshold of 19, so the configured entry level differs slightly from the general description.

The document provides BTC/USDT futures backtest settings covering December 2023 to January 2024, but no performance metrics or comparative evidence. It presents VWAP as a way to reflect average traded price and suggests that this may reduce misleading signals, though it does not substantiate that claim with results. The approach is long-only, so it cannot take short positions during declines. The document also notes that RSI thresholds may not suit every market, that technical signals can fail, and that backtest results may overfit. Suggested improvements include testing parameters, adding stop rules, and filtering signals with other indicators.

Key ideas

• RSI is calculated using VWAP as its input series rather than the closing price.
• The strategy buys when RSI crosses upward through its oversold threshold and closes longs when RSI crosses downward through its overbought threshold.
• The listed RSI length is 17, with an oversold setting of 19 and an overbought setting of 80.
• The method only takes long positions and therefore has no short-side participation.
• The document provides backtest settings but no performance results, and it warns about overfitting and market-specific thresholds.

Tags

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