RSI and Tight-Range Momentum Strategy with Buy-and-Hold Benchmark

Summary

This strategy combines RSI reversals with a narrow recent price range and above-average volume to time active long and short trades. It uses a 14-period RSI, checks whether the high-low range over 10 periods is below a threshold, and compares current volume with its 20-period average. Positions use entry-relative profit and loss targets, while a separate one-time buy-and-hold position provides a comparison within the same backtest.

The document explains the signal design, adjustable parameters, and possible refinements such as volatility-adjusted stops, partial profit-taking, position sizing, and higher-timeframe filters. It provides no backtest performance results, so its claims about filtering false signals or improving returns are not demonstrated. It also notes that fixed thresholds can be sensitive to market conditions, RSI can behave poorly in strong trends, and simultaneous active and passive positions complicate capital and performance evaluation.

Key ideas

• Long and short entries require an RSI threshold cross, a compressed recent price range, and volume above its moving average.
• The strategy sets profit and stop levels as fixed percentages of entry price.
• A separate buy-and-hold position is included as a performance benchmark.
• The document warns that parameter fitting, sparse signals, and fixed-percentage stops can limit robustness.

Tags

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