RSI Momentum Thresholds with Tick-Based Bracket Exits

Summary

This strategy uses changes in the Relative Strength Index as a short-term momentum signal. It compares the current RSI change with the rolling standard deviation of RSI changes, scaled by a user-adjustable multiplier. A long signal requires positive momentum above that threshold and a comparison with the previous momentum; the short rule applies corresponding negative-side conditions. The code plots RSI and allows the period, threshold multiplier, exhaustion multiplier, profit target, and stop distance to be changed.

On a signal, the script enters a fixed-size position and submits a limit exit and a stop exit at prices offset from the current close by configurable tick amounts. The page describes tick-by-tick execution and suggests a one-minute timeframe, but provides no performance results or market-specific testing. Its text calls the exits limit orders, although the code specifies both a limit and a stop. The signal logic and order behavior should be checked in backtests with realistic fills and costs before practical use.

Key ideas

• The entry signal measures RSI changes against their recent standard deviation.
• The strategy adds a prior-momentum condition intended to identify exhaustion.
• Long and short entries use configurable tick-based limit and stop exits.
• Position size is fixed in the script, and execution is configured to recalculate on price ticks.
• The document reports no test results, and live performance may differ from simulated fills.

Tags

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