Multi-EMA and RSI Rules for Trend Following

Summary

This document outlines a long-only trend system that combines several exponential moving averages with an RSI filter. Its narrative describes entry on selected EMA crossovers when RSI is elevated, and exit on a bearish crossover, a profit target, a stop loss, or a lower RSI reading. The source calculates EMA periods of 9, 21, 51, 100, and 200, and derives RSI from a smoothed close series. It also gives a BTC/USDT futures backtest configuration using three-hour bars over a one-month period in early 2024.

The rule description and implementation are not fully aligned: the code enters on 9/21 or 21/51 crossovers, rather than every crossover listed in the narrative, and it includes an additional RSI entry check. The document claims good backtest results but presents no statistics, trades, benchmark, or validation across other periods and markets. EMA signals can lag reversals, while fixed RSI and price thresholds may behave differently across instruments and regimes.

Key ideas

• The strategy combines multiple EMA periods with an RSI entry filter.
• The implementation enters long on specified EMA crossovers and checks RSI strength.
• Exits can follow a bearish EMA crossover, RSI decline, profit threshold, or loss threshold.
• The written entry rules differ in places from the conditions in the source.
• The supplied backtest configuration has no accompanying performance statistics.

Tags

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