RSI Oversold Entries with SMA Trend Filtering and ATR Stops

Summary

This long-only strategy buys when a five-period RSI falls below its oversold threshold while price remains above the 200-period simple moving average. The moving average is intended to restrict entries to an uptrend. It uses a stop based on 1.5 times the average true range and defines three profit targets at 5%, 10%, and 15%, with staged exit orders. Position size is set to 75% of equity per trade, and the source specifies a commission assumption.

The document provides parameter settings and a daily BTC/USDT futures backtest window from December 2019 to November 2024, but reports no performance results. The explanatory text presents staged exits and volatility-adjusted stops as risk controls, while also identifying delayed signals, failed reversals, large drawdowns, and added trading costs as risks. The source includes both a basic percentage stop and ATR stop logic, and its separate target orders should be interpreted carefully when assessing the intended partial exits. No evidence establishes profitability; parameter tuning and market-specific evaluation remain necessary.

Key ideas

• The strategy enters long when five-period RSI is below its oversold threshold and price is above the 200-period SMA.
• Its stop level is set using a multiple of ATR, adapting the distance to recent volatility.
• Three profit targets are specified, with separate exit orders for portions of the position.
• The source sets trade size to 75% of equity and includes a commission assumption.
• The document provides backtest settings but no reported performance results, and warns of whipsaws and drawdowns.

Tags

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