Polynomially Smoothed RSI Derivative for Momentum Signals
Summary
This strategy smooths an RSI series with local polynomial regression and uses the fitted curve’s first derivative, called Delta-RSI, as a momentum signal. Traders can enter when Delta-RSI crosses zero, crosses its EMA signal line, or changes direction. Long and short entries and exits can be configured separately.
Optional filters compare short and longer ATR readings, require volume to exceed a multiple of its recent average, and restrict RSI to a chosen range. Stop loss, take profit, and trailing stop controls are also available. The document gives parameter examples and a BTC/USDT futures backtest configuration for a short January 2024 period, but provides no performance results or evidence that the strategy was profitable. It warns that tuning can over-smooth signals or filter too aggressively, and that leveraged long or short positions can lose money. Its claims about sensitivity and filtering are not supported with measured results.
Key ideas
- Delta-RSI estimates RSI momentum by differentiating a locally fitted polynomial curve.
- Zero crossings, signal-line crosses, or direction changes can define entries and exits.
- ATR, relative volume, and RSI range conditions are optional signal filters.
- Stop loss, take profit, and trailing stop settings are available for trade management.
- The document provides no backtest performance results, so effectiveness remains unverified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.