MACD Crossovers Filtered by Recent RSI Extremes

Summary

This strategy combines MACD crossovers with RSI thresholds to seek turning points after an overbought or oversold reading. A bullish MACD crossover opens a long position when RSI has been at or below the oversold threshold during the current or one of the prior five bars. A bearish crossover closes the long when RSI has recently reached the overbought threshold. The example parameters set MACD averages to 12 and 26 periods, a 9-period signal, and RSI thresholds of 35 and 80 with a 14-period RSI.

The document explains the intended roles of MACD as a trend and momentum measure and RSI as an extreme-condition filter. It includes a BTC/USDT futures backtest configuration spanning roughly a year, but provides no performance statistics or comparison. The implementation only enters long and has no explicit short entry or separate stop-loss. Requiring recent extremes may filter some crossovers but can also delay or omit trades; sudden market moves and parameter choice remain risks.

Key ideas

• A bullish MACD crossover triggers a long entry only when RSI has recently reached the oversold threshold.
• A bearish MACD crossover exits the long only when RSI has recently reached the overbought threshold.
• The RSI filter checks the current bar and the previous five bars.
• The example lists MACD periods of 12 and 26, a 9-period signal, and RSI thresholds of 35 and 80.
• The provided backtest setup has no reported performance results, and the code contains no short-entry rule.

Tags

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