RSI Confirmation for SMA Crossover Trades

Summary

This document describes combining RSI with simple moving average crossovers. The written explanation says to go long when RSI is above 50 and the short SMA crosses above the long SMA, and to go short when RSI is below 50 and the short SMA crosses below the long SMA. It presents RSI as a momentum or market-condition filter and SMA crosses as directional signals. The notes discuss parameter tuning, adding stops, filtering signals with other indicators, and adapting position size, but do not provide evidence that these changes improve performance.

The published backtest settings specify BTC/USDT futures on Binance, three-minute bars with a one-minute base period, over the stated late December 2023 to early January 2024 dates. No results are reported. There is a material mismatch between the description and the source: the code uses SMA lengths of 100 and 150, while the listed parameter is an RSI length of 14; the description’s SMA settings are not specified. The code also uses cross conditions, but its close commands name an order ID that does not match the entries, so the stated exit behavior may not work as described. The document warns about parameter sensitivity, unusual price gaps, and drawdowns, and it does not establish profitability.

Key ideas

• The written rules combine an RSI threshold of 50 with SMA crossover direction.
• The published code uses SMA lengths of 100 and 150 and an RSI length of 14.
• The source’s close order identifiers do not match its entry identifiers, creating an implementation discrepancy.
• Backtest settings are stated, but no performance statistics are given.
• Parameter sensitivity, unusual price moves, and drawdowns are identified risks.

Tags

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