RSI Crossover Signals Using Fast and Slow RSI Averages

Summary

This strategy calculates a short-period RSI, then smooths it with faster and slower exponential moving averages. A cross of the fast average above the slow average signals a long position; a cross below signals a short position. The document also describes RSI thresholds of 30 and 70 as oversold and overbought levels intended to filter signals, but the supplied code plots those thresholds without using them to gate entries. The example parameters are a five-period RSI smoothed with 20- and 50-period averages.

The source uses position state to keep the strategy long or short until an opposite crossover occurs. Published settings describe a four-hour BTC/USDT Binance futures backtest over one month, using 15-minute base data, but no performance metrics are reported. The notes identify crossover lag, false signals and transaction costs in choppy markets, sensitivity to parameter choices, and potential losses during reversals. They suggest adding risk controls and testing across markets; the document does not demonstrate that the strategy is profitable or that its thresholds improve results.

Key ideas

• The method smooths a five-period RSI with fast and slow exponential averages.
• A fast-average crossover above the slow average signals long, while a cross below signals short.
• The described 30 and 70 RSI thresholds are plotted in the supplied code but do not filter its entries.
• The strategy maintains its directional position until an opposite crossover occurs.
• The one-month futures test configuration reports no results, and the notes warn of lag and whipsaws.

Tags

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