RSI Momentum Thresholds with Exhaustion Filters and Tick-Based Exits

Summary

This strategy uses changes in RSI to generate long and short signals. It compares the current RSI change with the recent standard deviation of RSI changes, requiring a sufficiently strong move in the relevant direction. An exhaustion condition also compares current momentum with the previous bar's momentum, aiming to avoid entries when the move appears to be losing force. The script exposes the RSI period, threshold multiplier, exhaustion multiplier, and tick-based profit target and stop loss as inputs.

The supplied script specifies a default RSI period of 14, a target of 40 ticks, a stop of 160 ticks, one contract per trade, and calculation on every price tick. These are settings, not evidence of profitability: no backtest results or performance statistics are included. The accompanying description suggests a one-minute timeframe, but the script itself does not enforce one. Tick distances depend on the traded instrument, and the entry logic's momentum comparison may not behave as a general exhaustion test across all markets. Results therefore require instrument- and timeframe-specific testing.

Key ideas

• The strategy measures momentum as the change in RSI and compares it with the recent variability of those changes.
• Long and short signals require momentum to exceed a volatility-scaled threshold in the corresponding direction.
• An additional comparison with the previous momentum value is intended to screen for exhaustion.
• The script sets tick-based profit and stop distances, with defaults of 40 and 160 ticks.
• The document provides no performance evidence, and the suggested one-minute timeframe is not enforced by the script.

Tags

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