Trend-Filtered RSI Pullbacks with a Trailing Stop

Summary

This long-only system uses a 200-day simple moving average to define the broad trend and RSI to time pullback entries. It considers a long position when price is above the average, RSI is below its threshold, and the waiting period since the prior exit has elapsed. While in a position, it raises a trailing stop as price advances and exits if price falls below that stop or the moving average. The document gives default settings for the average, RSI, oversold threshold, stop distance, and waiting interval.

The source includes a short BTC/USDT futures test configuration, but no backtest results or evidence supporting the stated claims about performance or suitability. The rules can lag because of the long moving average, RSI may give false signals in sideways markets, and a fixed-percentage stop may not fit changing volatility. The code also evaluates close-based conditions, so the timing and execution assumptions would need scrutiny before drawing conclusions from a backtest. Parameter tuning could overfit, a limitation the document itself acknowledges.

Key ideas

• The system considers long entries only when price is above its long-term simple moving average.
• An RSI reading below the selected threshold signals a potential pullback entry after the waiting interval.
• A rising trailing stop and the moving average provide separate exit conditions.
• The published BTC/USDT futures configuration includes no performance results.
• Moving-average lag, range-bound RSI signals, fixed stop distance, and parameter overfitting are stated limitations.

Tags

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