RSI Mean Reversion Entries with Moving-Average Bands and RSI Exit

Summary

This short-term strategy compares a 40-bar RSI with its 10-bar simple moving average. It signals a long entry when RSI falls below the average by a configurable percentage band, and describes a short signal when RSI rises above the upper band. The stated default band distance is 5%. It exits when RSI is above its average and above the 50 level. The source also includes a condition related to ATR and open trades when adding entries.

The document lists a Bitcoin futures backtest configuration spanning late 2022 to late 2023, but reports no performance metrics or results. The source comments out the short-entry order and appears to permit repeated long entries, so implementation details differ from the prose description. The strategy depends on one indicator family, and the document flags false signals, trading costs, and parameter sensitivity as limitations; it suggests stops and additional filters but does not test them.

Key ideas

• The strategy compares 40-bar RSI with a 10-bar simple moving average.
• A configurable percentage band around the RSI average defines entry thresholds.
• The described exit requires RSI to exceed both its average and the 50 level.
• The source leaves short entries commented out and includes an ATR-related entry condition.
• A backtest configuration is shown, but no performance results are reported.

Tags

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