RSI Threshold Reversals with Optional EMA and Session Filters

Summary

This document outlines a configurable RSI strategy that takes positions around overbought and oversold thresholds. In its normal mode, it goes long above the overbought level and short below the oversold level; a flipped mode reverses those directions. An optional EMA condition, trading-session restriction, and percentage-based stop and target settings are provided. The listed defaults include a 12-period RSI and thresholds of 70 and 30. Published test settings specify BTC_USDT futures on Binance with one-hour bars and a 15-minute base period over a month, but no performance statistics are included.

The narrative describes threshold crossings and mean reversion, while the source checks whether RSI is above or below a threshold rather than requiring a fresh crossing event. It also describes separate stop-loss and take-profit switches, but the code attaches both stop and limit values when either switch is enabled, so the controls do not operate independently as described. RSI divergence, threshold selection, EMA filtering, and stop settings are identified as risks or tuning choices. Without reported results, the backtest configuration does not show whether the approach is profitable or robust.

Key ideas

• The strategy uses RSI threshold states to select long and short trades, with an option to reverse the directions.
• An EMA filter can require price alignment with the moving average before entry.
• Session limits and percentage-based stop and target settings are configurable.
• The code tests threshold states rather than explicitly detecting fresh RSI crossings.
• No backtest performance results are provided, and RSI divergence and parameter choices remain risks.

Tags

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