RSI and MACD Trend-Filtered Long Strategy with RSI Exits

Summary

This long-only strategy combines RSI signals with MACD, a moving-average trend filter, and two RSI-based exits. Its stated entry concept is an RSI cross above a threshold, with MACD behavior used for confirmation and price required to be above a long-term average. The parameters include an RSI entry threshold of 21, an exit threshold of 86, an emergency exit threshold of 73, and a 200-period trend filter. The published test settings specify BTC/USDT futures over a daily period, but the document gives no performance results.

The rules have internal inconsistencies that limit how confidently they can be interpreted: the prose describes the 200-period filter as an EMA, while the source calculates a simple moving average; the source entry condition allows an RSI cross under certain MACD conditions even when price is below the average. It also exits on an RSI cross below the high regular threshold, which may close positions in ways that differ from the prose’s description. The document flags lag, false reversals, and premature exits, and suggests volume confirmation and more flexible stops.

Key ideas

• The strategy combines RSI entry signals with MACD conditions and a long-term moving-average filter.
• The listed RSI levels are 21 for entry, 86 for a regular exit, and 73 for an emergency exit.
• The published BTC/USDT futures test settings contain no reported performance results.
• The prose describes an EMA filter, while the source code calculates a simple moving average.
• The entry logic in the source can permit signals below the moving average, unlike the stated filter description.

Tags

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