Moving-Average Crossovers with RSI and a Price Filter

Summary

This document describes a crossover approach using 12- and 26-period EMAs alongside 100- and 200-period SMAs. Its accompanying source code, however, generates orders from EMA crosses filtered by whether price is above or below the 100-period SMA: it buys on a downward EMA cross when price is above that average, and sells short on an upward cross when price is below it. The 100/200 SMA crossover is plotted but does not control orders in the code. RSI is discussed as an additional overbought/oversold filter, but it is absent from the source rules.

The published setup specifies BTC/USDT futures with daily bars from December 2022 to December 2023, but supplies no performance results. The prose’s descriptions of EMA direction and RSI use do not align cleanly with the code, so the executable rules are more specific than the narrative overview. The document notes the lag in moving averages, potential false signals, and the need to test parameters across markets; it suggests added risk controls and filters.

Key ideas

• The source code trades EMA crossovers only when price is on the corresponding side of the 100-period SMA.
• The code plots the 100- and 200-period SMAs, but their crossover does not trigger orders.
• RSI thresholds are discussed in the prose but are not implemented in the supplied rules.
• Moving-average lag, false signals, and instrument-specific parameter sensitivity are stated limitations.

Tags

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