Multi-Timeframe RSI Entries with Averaging and a Fixed Stop

Summary

This BTC/USDT futures strategy uses a short-period RSI for entries and a daily RSI as a trend filter. It opens a long position when the short RSI rises after being below 40 while daily RSI is above 55. If price falls below the first entry price, another long entry may be added; the position closes when RSI turns down after exceeding 60. A fixed five-percent stop is placed relative to the first entry.

The document describes risk-based sizing, capital and commission inputs, but the supplied code enters fixed quantities and does not apply its calculated order size or commission to strategy orders. It also requests the daily RSI with lookahead enabled, which can introduce forward-looking information in historical tests. The backtest configuration covers roughly one month of hourly BTC/USDT Binance futures data, but no results are reported. The authors identify false RSI signals, losses from adding into sustained declines, trading costs, and liquidity as key concerns; the method therefore needs careful implementation checks and out-of-sample evaluation.

Key ideas

• A short-period RSI rising from below 40 triggers a long only when daily RSI is above 55.
• The strategy adds to a position when price falls below the initial entry price.
• It closes on a downward turn after RSI has been above 60 and sets a stop five percent below the first entry.
• The prose describes risk-based sizing and commission, but the code uses fixed order quantities and does not apply commission to orders.
• The daily RSI uses lookahead in the source, and the brief backtest reports no performance results.

Tags

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