Moving Average Trend Following with RSI Confirmation and ATR Stops

Summary

This proposed strategy identifies direction from a short and a long simple moving average, with crossovers used to open positions. RSI is presented as a stand-in for machine-learning confidence: the code scales and rounds the indicator, then applies a threshold to confirm long or short entries. An ATR multiple sets a stop distance, while moving-average signals and a separate trailing-stop routine manage exits.

The document describes a BTC/USDT futures example and lists default parameters, but offers no measured backtest results. It explicitly notes risks from whipsaws in ranging markets, lagging averages, RSI's limitations as a machine-learning proxy, volatility-dependent stop behavior, and parameter sensitivity. The implementation also differs from parts of its description: its exit checks repeat the entry-side crossover conditions, and the trailing stop variables are initialized at entry price and updated in ways that do not implement a conventional favorable-direction trailing stop. The example should therefore be treated as a sketch requiring careful code and risk-rule review.

Key ideas

• Simple moving average crossovers define the proposed trend direction and entry events.
• RSI is used as a thresholded proxy for model confidence, although no machine-learning model is present.
• ATR determines a stop distance, and the code adds crossover-based exits and a trailing-stop routine.
• The document identifies whipsaws, indicator lag, volatility effects, and parameter sensitivity as risks.
• No performance evidence is reported, and the exit logic warrants careful review against the stated intent.

Tags

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