RSI Momentum Signals from a Smoothed RSI Deviation

Summary

This long-only strategy measures RSI momentum by subtracting a moving average of RSI from RSI itself, then smoothing that deviation with a second moving average. It opens a long position when the smoothed deviation crosses above a threshold and closes it when the value crosses below. The published defaults use an RSI period of 3, an RSI average of 21 periods, a deviation average of 13 periods, and a threshold of zero. An optional filter requires price to be above its 200-period EMA for entries.

The document says smoothing may clarify signals, but its claims of stable profits and smaller drawdowns are not accompanied by performance figures. Backtest settings cover BTC/USDT futures on hourly bars during January 2024, without reporting outcomes. The notes cite unstable behavior in ranging markets and potentially large losses during sharp moves; they recommend parameter testing, combining indicators, and adding a stop mechanism. The stated strategy closes positions on a downside threshold cross, with no explicit stop loss described.

Key ideas

• The signal smooths the difference between RSI and its own moving average.
• A cross above the threshold opens a long position, and a cross below it closes the position.
• An optional filter requires price to trade above its 200-period EMA.
• The described backtest period is January 2024 on BTC/USDT futures, but no results are reported.
• The document warns about range-bound behavior and large losses in sharp moves.

Tags

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