RSI, EMA, and ATR Filters for Short-Term BTC Futures Signals

Summary

This short-term system combines EMA trend direction, RSI readings, and an ATR volatility filter. It takes long signals when the 5-period EMA is above the 21-period EMA and RSI is below 45; short signals require the reverse EMA relationship and RSI above 55. ATR must exceed 0.8 times its own 14-period moving average. A volume filter is optional and checks whether volume exceeds its 20-period average, with the published default leaving that filter disabled.

The document provides parameters and a one-week BTC/USDT futures backtest configuration at a three-minute interval, but no outcome statistics. It identifies likely weaknesses: EMA crossovers can whipsaw in sideways markets, RSI thresholds may not suit all regimes, and volatile conditions can increase slippage. It also notes that optimization can overfit and that a stated 0.1% commission can materially affect returns. Stops, profit targets, position sizing, and liquidity-time filters are proposed as possible extensions, rather than established parts of the described system.

Key ideas

• Long entries require the fast EMA above the slow EMA, RSI below 45, and sufficient ATR volatility.
• Short entries require the fast EMA below the slow EMA, RSI above 55, and sufficient ATR volatility.
• An optional volume check compares current volume with its 20-period average.
• The published configuration covers BTC/USDT futures at a three-minute interval, without reported performance results.
• Sideways markets, slippage, transaction costs, 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.