Mean-Reversion Signals from an Average of Multiple RSI Inputs

Summary

This strategy calculates six RSI series from different price inputs, including close, open, high, and composite prices, then averages them. The RSI readings are scaled to a zero-to-one range. A move of the average across the 0.5 midpoint creates a long or short entry: crossing upward opens long, while crossing downward opens short. The described exits close longs at or above 0.65 and shorts at or below 0.35, or when an opposite signal appears. Either direction can be enabled independently.

The document presents multiple price inputs as a way to smooth the signal, but supplies no comparison or performance evidence. Its published backtest settings specify BTC/USDT futures with daily bars and a one-hour base period over about a year, without reporting results. The main stated limitations are false reversals, sensitivity to RSI and threshold choices, and losses in persistent trends. Suggested refinements include trend filters, other confirming factors, and dynamic stops; those additions are proposals, not tested outcomes.

Key ideas

• The strategy averages six 50-period RSI readings derived from different price inputs.
• Crossing above or below the 0.5 midpoint triggers long or short entries.
• The stated exit thresholds are 0.65 for longs and 0.35 for shorts, with opposite signals also closing positions.
• The document warns that false reversals and persistent trends can hurt results.
• The BTC/USDT futures backtest settings include no reported performance evidence.

Tags

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