Multi-Timeframe RSI Entries with Moving-Average Trend Filters

Summary

This strategy combines a slower trend signal with faster entry and exit rules. It builds 15-minute bars and compares a fast simple moving average with a slow one; their ordering sets the directional trend. On 5-minute bars, it calculates RSI and opens a long when the trend is positive and RSI reaches an upper threshold, or a short when the trend is negative and RSI reaches a lower threshold. The thresholds are centered around the midpoint of the RSI scale and can be adjusted through strategy parameters.

Positions close when the moving-average trend reverses or RSI crosses back through the midpoint against the position. The example uses a fixed trade size and submits limit orders a fixed price offset from the latest bar close, while canceling existing orders at each five-minute update. It describes implementation logic only: there is no performance evidence, transaction-cost analysis, stop-loss rule, or guidance on instrument selection. Bar initialization also delays signals until sufficient data is available.

Key ideas

• A 15-minute fast-versus-slow moving-average comparison determines the permitted trade direction.
• A 5-minute RSI threshold triggers entries only when aligned with the slower trend.
• Long and short positions exit when the trend flips or RSI crosses back through its midpoint.
• Trade size and indicator windows are parameters, while order prices use a fixed offset from the bar close.
• The example provides no backtest results or explicit protective stop rules.

Tags

From a private course collection; the original is not published.