Seasonal Long Entries with RSI Oversold Signals and EMA Trend Filter

Summary

This long-only framework combines an oversold RSI reading, a long-term trend filter, and monthly seasonality. It enters when the 14-period RSI is below 30, price is above its 200-period EMA, and the calendar month is April, May, June, July, or November. The document attributes these month choices to ten years of historical analysis, citing approximate win-rate claims for selected months, and specifies a 5% take-profit and 2.5% stop-loss. It also describes testing alternative RSI thresholds. The published test setup, however, covers only one week of SOL futures data at one-minute resolution and provides no outcome statistics.

The method's central uncertainty is whether historical monthly patterns persist, particularly since the stated seasonal evidence is not demonstrated by the supplied short test. The authors also identify indicator lag, fixed exits that ignore changing volatility, optimization overfit, and the absence of short trades as limitations. Proposed extensions include volatility-adjusted thresholds and exits, finer seasonal studies, stronger trend filters, and dynamic sizing. These are recommendations, not verified improvements.

Key ideas

• A long signal requires RSI below 30, price above the 200-period EMA, and an allowed calendar month.
• The seasonal filter permits trading in April through July and November.
• The strategy sets a 5% profit target and a 2.5% stop, but no test outcomes are reported.
• Seasonal claims rely on historical patterns that may not persist in future markets.
• The setup is long-only and fixed percentage exits do not adapt to volatility.

Tags

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