RSI Momentum Entries with a Moving Average Display and Lookback Limit

Summary

This strategy uses a 12-period RSI to trigger long entries when RSI is above 70 and closes an open long when RSI falls below 62. It restricts new entries to a rolling 2,500-day window and sizes each entry using the full account equity divided by the closing price. The description presents a 90-period simple moving average as a trend filter, but the provided entry and exit conditions do not use that average; it is plotted for reference only.

The source includes daily BTC/USDT futures backtest settings spanning several years, but no performance results or risk-adjusted statistics. The strategy is long-only and has no explicit stop-loss or profit target. Full-equity sizing may magnify losses and execution costs, while RSI thresholds can behave differently across market regimes. The write-up itself flags parameter sensitivity, slippage, and the limitations of a fixed lookback window.

Key ideas

• The strategy opens a long position when RSI exceeds its upper threshold and no position is open.
• It exits the long when RSI falls below the lower threshold.
• The moving average is plotted but does not filter entries or exits in the provided code.
• New entries are limited to a rolling lookback window and use full account equity.
• The backtest configuration reports no results, and the strategy has no explicit stop-loss.

Tags

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