Slow RSI Signals from Extended Lookbacks and Smoothing

Summary

This strategy slows RSI’s response by using a much longer lookback and smoothing the resulting series with a simple moving average. Its default settings use a 500-bar RSI lookback and 250-bar smoothing period. Because the smoothed values fluctuate less, it uses custom thresholds near the midpoint: a long signal occurs when the line rises through the oversold threshold, while a short signal occurs when it falls through the overbought threshold. The document notes that the same extended-period idea could be applied to other indicators.

The published test settings describe BTC/USDT futures over a one-week period in December 2023, but no return or risk statistics are supplied. Consequently, the document offers a signal design rather than evidence that the approach is profitable or robust. It identifies slower entries and missed short-term moves as tradeoffs, and warns that poor threshold choices can increase losses. Suggested refinements include testing RSI and smoothing lengths, adapting thresholds to markets, using partial entries, and adding stop losses.

Key ideas

• A long RSI lookback and moving-average smoothing reduce fluctuations and slow signal response.
• The default design uses a 500-bar RSI lookback and a 250-bar smoothing period.
• A long signal follows an upward crossing of the oversold threshold, while a short signal follows a downward crossing of the overbought threshold.
• The published settings cover a brief BTC/USDT futures test, but no performance statistics are provided.
• Longer settings may miss short-term opportunities, and threshold selection and stop-loss design remain important risks.

Tags

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