Price-Range Breakouts, RSI Divergence, and Dynamic Position Management

Summary

This strategy combines rolling price-range boundaries with RSI divergence and moving-average trend filters. It looks for a long setup when price reaches or passes the lower range boundary alongside bullish divergence and a downtrend filter. It seeks to reduce a long position near the upper boundary when bearish divergence coincides with an uptrend filter. Position adjustments are described as depending on the distance between price and the average entry price, with minimum and maximum bounds.

The document provides rules and code excerpts, but no reported performance evidence. The excerpts include moving averages across several periods and divergence detection based on local price and RSI extrema. Risks include false range breaks, trading too frequently as positions adjust, lagging averages, and sensitivity to parameter choices. The document recommends testing across markets and timeframes, considering volume and volatility filters, and capping exposure; these are proposed improvements, not demonstrated results.

Key ideas

• The strategy combines price-range boundaries, RSI divergence, and moving-average trend conditions.
• Bullish divergence near the lower boundary can trigger long entries when the downtrend filter is met.
• Bearish divergence near the upper boundary can trigger partial long exits when the uptrend filter is met.
• Position adjustments depend on price relative to average entry price and use bounded sizing rules.
• The document reports no performance results and identifies false breakouts, parameter sensitivity, and overtrading as risks.

Tags

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