Trading CRSI Moving Average Crosses of Fixed Levels

Summary

This strategy builds a composite indicator called CRSI from three components: a short-period RSI, a measure of consecutive up or down price changes, and the percentage rank of one-period rate of change. It smooths that composite with a short simple moving average. The stated entry rule goes long when the average crosses above 40; an exit is described when it crosses below 70. The source also contains a profit and stop order call, so the exact exit behavior is not fully clear from the prose alone.

The components are intended to combine overbought and oversold readings, directional momentum, and relative price-change speed. The document suggests that combining them may filter signals, but provides no backtest results or performance statistics. It notes that range-bound markets can generate repeated signals and that indicator lag can delay responses to sudden events. Parameter tuning, added filters, longer-term trend context, and explicit loss controls are proposed as possible refinements.

Key ideas

• CRSI averages RSI, a measure of consecutive price direction, and the percentage rank of rate of change.
• A short simple moving average of CRSI is used to trigger a long entry above 40.
• The prose describes an exit below 70, although the source’s exit order makes the precise exit implementation unclear.
• Combining indicators does not prevent whipsaws in range-bound markets or delays after sudden moves.
• The document supplies backtest settings but no performance results.

Tags

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