RSI EMA Threshold Crossovers for SPY Swing Trading

Summary

This SPY swing strategy calculates a short-period RSI from the average of open, high, low, and close prices, then smooths it with two exponential moving averages. The faster smoothed series crossing above 50 triggers a long entry, while the slower series crossing below 50 triggers a short entry. The author presents it as a momentum approach that takes signals in both rising and falling markets, accepting frequent losses in pursuit of larger winners.

The document reports a backtest from March 2011 to the then-present, with 657 trades, a 40% accuracy rate, and average winners twice the size of average losers. It compares the strategy's stated return with SPY buy and hold and estimates trading costs using a per-order charge, while excluding dividends and trading costs from the underlying backtest. These are author-reported historical results, not independently verified evidence; the estimate only subtracts assumed costs afterward. The author also notes hindsight bias and that past performance does not guarantee future results.

Key ideas

• The strategy applies two EMAs to a short-period RSI and uses a threshold of 50 for signals.
• A fast smoothed RSI crossing above the threshold opens a long position.
• A slower smoothed RSI crossing below the threshold opens a short position.
• The reported backtest excludes dividends and trading costs, with estimated costs applied separately.
• The document warns that the backtest was developed with hindsight and does not establish future performance.

Tags

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