Overnight EMA-RSI Strategy with Daily Trade and Loss Limits

Summary

This intraday strategy trades during a configurable overnight window in Eastern Time, with weekday selection and a forced close at the session end. It uses fast and slow EMA crossovers for direction, then filters entries with RSI. A short preference can reduce long signals unless RSI is below its midpoint. The script also limits trades per day and blocks new entries after a daily loss threshold is reached.

Exits use fixed dollar-based profit and loss distances converted into instrument ticks, with an optional trailing stop. The document reports backtest win-rate figures favoring shorts and says the setup was tuned for a one-minute Nasdaq micro futures chart, but it supplies no sample size, date range, or broader performance analysis. The narrow session, specific instrument assumptions, thin overnight liquidity, and risk of overfitting make those reported figures insufficient evidence of a durable edge.

Key ideas

• EMA crossovers generate directional signals, while RSI thresholds filter long and short entries.
• The strategy restricts trading by Eastern Time session, selected weekdays, and a daily trade cap.
• Fixed dollar profit and loss limits are translated into tick distances, with an optional trailing stop.
• A daily loss guard halts new entries once the configured loss limit is breached.
• Reported backtest win rates lack enough context to establish robustness or generalizability.

Tags

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