RSI of Price Z-Scores with Crossover and Extremes-Based Rules

Summary

The strategy applies RSI to a rolling price Z-score, which is intended to express the close’s distance from its recent mean in standard-deviation units. A selectable moving average smooths that RSI. The script offers trend-oriented entries based on the smoothed RSI crossing a midline or the RSI crossing its average, as well as contrarian entries when the RSI or its average reaches oversold or overbought territory. For the extremes-based modes, exits can be placed at configurable intermediate levels or at the opposite extreme.

The accompanying explanation argues that trends in this measure may reflect persistence in standardized price deviations, while cautioning that changes in the rolling mean or standard deviation can move the signal without a comparable price move. It recommends testing across scenarios and avoiding parameter tuning solely for historical returns. The script specifies commission and slippage assumptions, but presents no evidence of robust performance. Its risk input is described as a maximum risk, yet the shown condition closes positions when open profit exceeds that setting; it does not implement a conventional loss limit, so the risk control should be interpreted cautiously.

Key ideas

• The method calculates RSI on a rolling, standardized price deviation and optionally smooths it with a selectable moving average.
• Trend modes use midline or RSI-average crossovers, while other modes enter on overbought or oversold readings.
• Extremes-based exits can target intermediate levels or the opposing extreme.
• Changes in the rolling mean or standard deviation can affect the signal without a comparable price move.
• The shown maximum-risk condition closes on open profit above a threshold, so it is not a conventional maximum-loss rule.

Tags

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