Trend Filtering with Stochastic RSI, Moving Averages, and MACD

Summary

This trend-following method combines a long-term price filter, Stochastic RSI momentum, and MACD confirmation. It defines the main direction using the 200-period simple moving average: price above it supports long signals, while price below it supports short signals. A long condition also requires Stochastic RSI %K above %D and MACD above its signal line; short conditions require the opposite states. The system uses a 50-period average as an exit reference, closing longs below it and shorts above it.

The document explains the rules and parameter choices, and supplies a daily BTC/USDT futures backtest configuration spanning several years, but gives no performance statistics or conclusions from that test. It warns that moving averages lag, signals can conflict or whipsaw in sideways markets, and parameters may need adjustment across conditions. Proposed extensions include volume and volatility filters, dynamic stops, and volatility-based position sizing.

Key ideas

• The 200-period simple moving average sets the long-term directional filter.
• Stochastic RSI cross-state and MACD position must also agree with the direction for an entry.
• The 50-period simple moving average acts as the reference for closing open positions.
• Multiple indicators may reduce isolated signals but can add lag and conflict in ranging markets.
• The document provides a daily BTC/USDT futures test period without reporting its results.

Tags

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