RSI(2) Pullback Entries Above a 200-Day Moving Average

Summary

This mean-reversion approach seeks short rebounds after oversold readings, but only when price is above its 200-day simple moving average. It enters when the two-period RSI falls below the stated threshold and exits if price reaches the highest high from the prior two bars or the holding period expires. The strategy has no fixed stop-loss, relying instead on its trend filter, target, and time-based exit.

The document outlines risks including sharp losses during reversals, sensitivity to parameters, liquidity, slippage, and trading costs. It provides published test settings for ETH/USDT futures over roughly a year, but no performance statistics. The code’s target is calculated from the previous two bars, while the accompanying explanation describes them as trading days; the test uses three-day bars, so those descriptions do not align. Results would also depend on implementation details and costs, and the absence of a protective stop leaves downside open until an exit condition occurs.

Key ideas

• The entry combines a two-period RSI oversold reading with price above the 200-day simple moving average.
• The exit uses the highest high of the previous two bars as a target or closes after the stated holding period.
• There is no fixed stop-loss, leaving the position exposed to large adverse moves before an exit condition.
• The published ETH/USDT futures settings contain no reported performance results, and the three-day bars complicate the trading-day interpretation.

Tags

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