RSI2 Mean-Reversion Rules with a Moving-Average Filter

Summary

This RSI2 strategy combines a two-period relative strength index with a configurable moving-average filter. When price is above the moving average, an RSI2 reading above 90 triggers a short entry and a reading below 10 closes that short. When price is below the average, an RSI2 reading below 10 triggers a long entry and a reading above 90 closes it. The rules therefore fade extreme short-term readings in the direction implied by the price’s position relative to the average.

The supplied material contains source logic and settings for a BTC/USD quarterly futures test on 15-minute bars from 2018 to 2020, but it provides no results or discussion of performance, drawdowns, or transaction costs. The moving-average length is represented by a parameter whose default is not clearly stated in the document, and position sizing depends on account value and price. The strategy’s behavior and risk therefore cannot be assessed from the settings alone.

Key ideas

• A two-period RSI reading above 90 or below 10 defines extreme conditions.
• The moving-average filter determines whether those extremes initiate or close a short or long position.
• The method fades short-term momentum extremes rather than following them.
• The source specifies a BTC/USD quarterly futures test on 15-minute bars but gives no performance results.
• The moving-average default and practical trading costs are not established by the supplied material.

Tags

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