RSI-VWAP Reversal Entries with Pyramiding and Stop Management

Summary

This strategy calculates RSI using VWAP as its price source and treats threshold crossings as reversal entries: a move back above the oversold level triggers a long, while a move down through the overbought level triggers a short. It allows repeated entries in the same direction, with up to five additions described, and increasing entry sizes. Stop loss and take-profit levels are set relative to recent entry price and average position price, respectively; the settings also allow these controls to be enabled or disabled.

The document gives configurable RSI length and thresholds, position limits, entry sizing, and stop and profit parameters. Its backtest configuration specifies a brief Bitcoin futures test window, but no returns, drawdowns, or other performance evidence are reported. The author warns of possible signal repainting, poor threshold or stop placement, and losses when the perceived reversal is wrong. Increasing exposure through pyramiding can amplify such losses, so the strategy’s risk controls and signal behavior require independent testing.

Key ideas

• RSI calculated on VWAP is used for long entries when recovering from oversold and short entries when retreating from overbought.
• The method permits repeated entries, up to five additions, with position size increasing as entries accumulate.
• Stop loss and take-profit rules are configurable, and may be disabled in the listed settings.
• The document reports backtest setup details but no measured results, and flags repainting and incorrect trend judgments as risks.

Tags

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