RMI Momentum Signals with Higher-Timeframe Supertrend Exits

Summary

This strategy combines a momentum trigger based on the Relative Momentum Index and Money Flow Index with a higher-timeframe trend measure based on Supertrend. The written explanation describes comparing the average of RMI and MFI with positive and negative thresholds, while the code’s momentum logic uses RSI and MFI together and checks the direction of a short exponential moving average. New positive or negative states create long or short entries, subject to a selectable trading direction.

The code also calculates a range-weighted moving average and volatility-based bands, and uses a higher-timeframe ATR and moving-average source in a purported trailing stop. The document provides parameters and BTC/USDT futures backtest settings, but no performance results. It notes that parameter selection is difficult and tight stops may trigger repeatedly during small fluctuations. The prose and code differ in how they describe and implement the momentum calculation, so the exact signal specification should be checked before research or deployment.

Key ideas

• The strategy combines momentum conditions with a higher-timeframe trend and volatility framework.
• The written description uses RMI and MFI thresholds, while the code calculates RSI and MFI and adds a short EMA direction check.
• Trading direction can be set to long, short, or both, with momentum state changes used for entries and exits.
• The code includes ATR-based bands and a purported Supertrend-related trailing stop.
• The document gives BTC/USDT futures test settings but reports no results and flags parameter and stop sensitivity risks.

Tags

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