Multi-Timeframe RSI and Moving-Average Reversal Strategy

Summary

This document describes a BTC futures strategy that combines RSI readings from several timeframes with a moving-average price condition. It proposes buying when the short, medium, and hourly RSI readings are all below an oversold threshold, and selling when they are all above an overbought threshold. Price relative to a 21-period moving average is also described as a signal, though the text's wording about breaking the average does not align clearly with the code's separate entry conditions.

The notes mention an initial position, adding to positions, and percentage-based stop-loss and take-profit levels. However, the stated sizing rules conflict: they describe adding one contract until reaching the initial two-contract size, while the source uses a different sizing expression and adds only after a position-size and price-movement condition. The code also uses a five-minute EMA distance trigger and closes positions on EMA crossings, details not fully reflected in the prose. Published backtest settings identify a one-month BTC futures period, but no performance results are supplied. RSI can remain extreme during sustained moves, and the document offers no evidence that the strategy is profitable.

Key ideas

• The proposed entry signal combines RSI thresholds across short, medium, and hourly timeframes.
• The description also uses price relative to a moving average, while the source code implements additional EMA-distance triggers.
• The prose and code give inconsistent descriptions of position sizing and adding to positions.
• Percentage-based stop and profit levels are described, but the supplied code closes trades on EMA crossings instead.
• The published backtest window has no accompanying performance results.

Tags

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