Trend-Filtered RSI Entries Confirmed by Fast and Slow EMAs

Summary

This strategy combines RSI thresholds with the relative position of two EMAs. It signals a long when the 14-period RSI is below 40 while the 9-period EMA is above the 21-period EMA; it signals a short when RSI is above 60 while the fast EMA is below the slow EMA. The stated default risk settings use a 1% take-profit and a 0.5% stop-loss, with position size set to 10% of equity. The described implementation also includes commission and slippage assumptions.

The EMA relationship is intended to filter RSI signals by trend direction. The document cautions that sideways markets may generate repeated signals, fixed percentage exits may not fit changing volatility, and results are sensitive to parameters, execution costs, and position sizing. It suggests testing volatility, time, volume, and higher-timeframe filters, along with adaptive exits. Backtest settings specify ETH/USDT futures for a defined period, but no return or risk statistics are supplied. The strategy’s stated reward-to-risk ratio does not establish profitability, and the proposed filters are ideas to test rather than demonstrated improvements.

Key ideas

• A long setup requires RSI below 40 and the 9-period EMA above the 21-period EMA.
• A short setup requires RSI above 60 and the fast EMA below the slow EMA.
• The defaults specify a 1% target, a 0.5% stop, and 10% of equity per trade.
• The document identifies ranging markets, parameter sensitivity, and execution costs as risks.
• Backtest settings are given, but no performance statistics establish whether the approach is profitable.

Tags

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