RSI Extremes Filtered by Moving Average Trend

Summary

This strategy combines a short-period RSI with fast and slow moving averages. Its stated defaults use a two-period RSI with thresholds of 10 and 90, plus 50-period and 200-period averages. In an uptrend, defined by the fast average and price being above the slow average, an oversold RSI reading prompts a long entry. In a downtrend, the opposite alignment and an overbought RSI reading prompt a short entry. The document describes a five-minute minimum interval between entries and fixed and trailing stop settings.

The material includes parameters and a BTC/USDT futures backtest configuration for February 2024, but gives no results. It therefore offers rules to evaluate, not evidence of profitability. The text notes risks from moving-average lag, parameter sensitivity, and extreme events, and suggests diversification and volatility-aware risk controls. The supplied code also applies the stated stop price formula to both long and short exits, so the short-side risk behavior may not match the prose and should be checked.

Key ideas

• The strategy uses RSI extremes to time entries in the direction indicated by fast and slow moving averages.
• The stated defaults are a two-period RSI with thresholds of 10 and 90, and moving averages of 50 and 200 periods.
• A trend filter can require price and the fast average to align relative to the slow average.
• The document provides backtest settings but no reported performance results.
• Moving-average lag, parameter sensitivity, and a potentially inconsistent short stop calculation require attention.

Tags

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