Trend Entries with Supertrend, Relative Strength, and RSI Filters

Summary

This strategy uses three filters to identify long entries: Supertrend must indicate an uptrend, a relative-strength measure based on the close's position within its recent high-low range must be positive, and RSI must exceed a threshold. The stated defaults use a 55-period range and a 14-period RSI with a threshold of 60. An exit is triggered when any two of the three measures turn adverse. The source also applies a percentage stop to long positions, making the approach a long-only trend-following rule despite the title's reference to arbitrage.

The document gives no backtest performance results. Its published BTC-USDT futures settings span several years at a daily period, but the strategy name refers to a different market and timeframe. There is also a discrepancy between the narrative's 1.1% stop and the parameter and source value of 2%. These inconsistencies limit conclusions about what was tested. The article warns that filters can delay entries, fixed stops may be vulnerable to volatility, and RSI can remain overbought during strong trends. Adaptive thresholds, volume confirmation, and volatility-based stops are proposed but not evaluated.

Key ideas

• Long entry requires an upward Supertrend, positive range-based relative strength, and RSI above its threshold.
• The relative-strength measure locates the close within its recent high-low range.
• The exit rule closes a long position when any two indicators signal against it.
• The narrative states a 1.1% stop, while the parameter and source specify 2%.
• The published backtest settings and strategy name indicate differing market and timeframe contexts.

Tags

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