Short Strategy Using RSI of the Ultimate Oscillator

Summary

This short-only strategy applies RSI to the Ultimate Oscillator and combines the resulting signal with a bearish trend filter. It computes the Ultimate Oscillator from buying pressure and true range over three lookback periods, then calculates a short RSI of that oscillator. A short entry requires the RSI to cross below a configurable threshold while three smoothed averages are ordered bearishly and price is below the middle average.

The script sizes entries from account equity, a risk percentage, and a percentage stop-distance input, with quantity capped so the notional does not exceed equity. It partially covers a position after a favorable move when RSI crosses above a lower level, then closes the remainder when RSI crosses above a higher cover threshold. The document provides code and parameter defaults but no backtest results or market context. The stop-loss input affects sizing but is not submitted as an actual protective stop order, so realized risk may exceed the sizing assumption if price moves adversely.

Key ideas

• The Ultimate Oscillator combines buying-pressure ratios across three lookback periods.
• RSI is applied to that oscillator, and a downward threshold cross can trigger a short entry.
• A bearish ordering of smoothed averages and price below the middle average filter entries.
• The strategy scales position quantity using equity, a risk setting, and an assumed percentage stop distance.
• Exits include a partial cover and a later full cover, but the script does not place a protective stop order.

Tags

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