RSI Crossovers with ATR and Trading-Hour Filters
Summary
This strategy combines RSI crossovers with a simple moving average of RSI, an ATR volatility filter, and a time-of-day restriction. A long signal occurs when RSI crosses above its average while below 45; a short signal occurs when it crosses below its average while above 55. Trades are allowed only when ATR exceeds a configured threshold and during the stated Prague-time session. The described exits use fixed stop-loss and take-profit distances, with default settings of 5,000 ticks for each.
The document reports a 64.4% win rate and a 1.1 profit factor, said to include slippage and commissions. However, the published test settings show three-hour bars over a short BTC-USDT futures period, while the strategy description specifies five-minute bars. That mismatch limits how clearly the figures support the stated setup. Other caveats include RSI false signals in trends, missed trades outside the session, and fixed exits that may not suit changing volatility. The proposed ATR-based exits and position sizing are improvement ideas, not demonstrated results.
Key ideas
- RSI crossing its moving average triggers entries only within specified overbought or oversold regions.
- An ATR threshold filters out trades during lower-volatility conditions.
- The strategy restricts entries to a defined Prague-time trading window and uses fixed stop and target distances.
- Reported performance figures are accompanied by a discrepancy between the described timeframe and published test settings.
- Fixed exits, signal noise, and parameter overfitting are stated risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.