RSI-Adaptive T3 with Squeeze Momentum for Trend Entries
Summary
This strategy combines an RSI-adjusted T3 moving average with a squeeze and momentum filter. RSI determines the T3 smoothing length: lower RSI produces a longer, smoother average, while higher RSI shortens it. Bollinger Bands and Keltner Channels identify compressed volatility; a squeeze release marks expansion. A linear-regression momentum value supplies direction, and entries require the T3 to turn up or down, momentum to agree, and a squeeze release. Opposite conditions can reverse the position.
The document reports a backtest on BTC/USD at a 30-minute interval with a profit factor of 2.01, a 47.8% win rate, net profit of 173.16 units, and maximum drawdown of 5.77%. These figures are a single historical example, not evidence of robustness across markets or periods. The strategy has many tunable inputs, may whipsaw in ranges, can lag, and may trade frequently enough for costs to matter. The note recommends broader validation and risk controls; the published code excerpt and results do not establish future performance.
Key ideas
- RSI dynamically changes the smoothing length of the T3 average.
- Bollinger Bands inside Keltner Channels indicate compression, and a release signals volatility expansion.
- Entries require T3 direction, regression momentum direction, and squeeze release to align.
- The reported backtest is a single BTC/USD 30-minute example and may not generalize.
- Parameter sensitivity, range-bound false signals, lag, and trading costs are key limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.