RSI Extremes with a Long-Term Trend Filter and Short Moving Average Exit
Summary
The strategy combines a short-period RSI with a long-term moving-average filter and a five-period simple moving average exit. It enters long when price is above the 200-period average and RSI falls below 10; it enters short when price is below that average and RSI rises above 90. Long positions close when price rises above the five-period average, and short positions close when price falls below it. Although the title and description mention Bollinger Bands, the supplied rules and code do not use them. Published test settings specify BTC/USDT futures on a daily chart with hourly base data for about one year, but provide no performance results.
The note characterizes the approach as buying weakness and selling strength, while warning that a short moving-average exit can react to ordinary price fluctuations and that delayed profit taking can surrender gains. It suggests adjusting RSI thresholds or the exit period and adding a take-profit rule or volatility measure. The document’s explanation also reverses the conventional meanings of RSI extremes: below 10 is typically called oversold and above 90 overbought, despite contradictory wording in the source text.
Key ideas
- Long entries require price above the 200-period average and RSI below 10.
- Short entries require price below the 200-period average and RSI above 90.
- A five-period simple moving average supplies the position exit conditions.
- Despite the title, the stated rules and code do not use Bollinger Bands.
- The note’s description contains inconsistent terminology for RSI extremes and offers no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.