RSI Entries Filtered by a Rolling Historical Win Rate

Summary

This long-only example combines an RSI entry with a filter based on recent trade outcomes. The base signal is a downward cross of the RSI threshold, with percentage-based take-profit and stop-loss levels set from the entry price. When enabled, the filter permits a new entry only when the calculated win rate from prior outcomes exceeds the stated threshold. The lookback length, position allocation, and exit percentages are configurable.

The document presents the strategy as an illustration of probabilistic filtering and describes a Tesla 15-minute backtest, including a separate set of historical parameters and period. It supplies no numerical performance results in the text, so the claim that filtering improves performance cannot be assessed from the provided evidence. The implementation also contains distinct conditions for tracking outcomes and triggering strategy entries, which should be checked carefully before relying on the reported win-rate series or reproducing the example. Results would depend on the instrument, settings, and execution assumptions.

Key ideas

• The strategy enters long after RSI crosses downward through its oversold threshold.
• Take-profit and stop-loss levels are percentages of the entry price.
• An optional filter conditions new entries on the win rate of recent completed outcomes.
• The document describes a Tesla intraday backtest but gives no numerical performance evidence.
• Outcome tracking and trade-entry logic should be independently verified before use.

Tags

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