RMI Thresholds and Momentum Signals with Cost-Aware Exits

Summary

This strategy combines several Relative Momentum Index (RMI) readings with a Chance Momentum signal. Its basic entry and exit logic uses four RMI signals relative to thresholds, while a fifth RMI is intended to work in reverse and help guide the overall trend when pyramiding. The document describes the setup but does not provide enough detail to reconstruct all signal parameters from the text alone.

A later update adds hard, soft, and conditional stop losses, plus take-profit logic. Some exits depend on price relative to the entry and account for commission, aiming to avoid ordinary sell signals that close a trade at a loss. The author presents a sample backtest, calls its performance poor, and says it mainly demonstrates the stop and profit controls together. No quantified results or comparative testing are supplied, so the description supports understanding the design choices but not judging profitability or robustness.

Key ideas

• The strategy combines multiple RMI readings with a momentum signal to generate trades.
• Four RMI readings use threshold conditions, while a fifth is intended to work in reverse for trend guidance.
• The updated design offers hard, soft, and condition-based stop losses.
• Take-profit rules can account for entry price and commission when deciding whether to exit.
• The author says the shown backtest is weak and offers it primarily to illustrate the exit controls.

Tags

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