Mean-Reversion Long Entries After Oversold Range Expansion

Summary

This long-only setup looks for a possible rebound after an extreme decline. It requires a new low over the recent ten bars, the largest high-to-low range within those bars, and a close in the upper quarter of that bar’s range. After this setup, it places a stop entry just above the setup bar’s high within the following two bars. Once in a position, it trails a stop upward using higher lows. The published test uses BTC futures on hourly data, and the sole configurable input is tick size.

The rules combine oversold price behavior, volatility expansion, a strong close within the bar, and breakout confirmation. Despite the title’s RSI reference, the supplied code does not calculate or use an RSI indicator. No backtest outcomes or statistical evidence are reported. The document notes that strict conditions may miss trades, strong trends can trigger stops, and trading costs may matter; it suggests trend and volume filters and volatility-aware stop adjustments, which would require separate testing.

Key ideas

• A setup requires a ten-bar low, the largest range in that window, and a close in the bar’s upper quarter.
• A stop entry above the setup bar’s high seeks confirmation within the next two bars.
• The exit trails the stop upward using higher lows.
• The source code does not implement RSI despite the strategy title.
• The document reports no performance results, and the BTC futures test settings alone do not establish robustness.

Tags

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