S&P 500 Moving-Average Strategy with Averaging Down and RSI Shorts

Summary

This daily S&P 500 strategy combines moving-average trend filters with staged long entries and a short setup. Long entries are allowed when price is above a rising 125-day average but below a 14-day average; the system can add contracts when price is above a 200-day average and below the prior trade price. It exits longs when price rises above the 14-day average. Shorts require price below a falling 125-day average, above the 4-day average, and a two-period RSI above 90, with entry below the session low and exit conditions tied to the 4-day average.

The example sets orders at five contracts and a 100-point stop-loss, while allowing these settings to be changed. It describes no backtest, drawdown, or return evidence, so its effectiveness cannot be assessed from the document. Averaging into losing positions can increase exposure, and the stated position size may not fit an individual account. The code's comments and conditions contain some ambiguity, including the exact handling of added long orders and the relationship between the claimed loss control and the implemented stop.

Key ideas

• The long setup uses a rising 125-day average as a trend filter and a 14-day average for entry and exit timing.
• The system adds long contracts under specified price conditions, increasing exposure as positions develop.
• The short setup combines a falling long-term average, a short-term average, and an elevated two-period RSI.
• The sample specifies five-contract orders and a 100-point stop-loss, but gives no performance results.
• The code and description leave some operational details unclear, and position size needs account-specific adjustment.

Tags

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