Trend Following with RSI and Simple Moving Average Filters

Summary

This strategy combines a simple moving average (SMA) trend filter with RSI momentum confirmation. It enters long when price is above the average and RSI exceeds its buy threshold, and short when price is below the average and RSI falls beneath its sell threshold. The supplied defaults are a 50-period average, 14-period RSI, and thresholds of 55 and 45. Fixed percentage stop-loss and take-profit levels are measured from the average entry price.

The document explains the rules and discusses possible extensions, including volatility filters, higher-timeframe confirmation, adaptive settings, volume checks, and trailing stops. It provides published backtest settings for BTC/USDT futures on daily bars from December 2019 to January 2025, but gives no performance results or analysis from that run. The stated benefits—such as fewer false signals—are claims about the design rather than demonstrated findings. Risks include lagging indicators, repeated losses in sideways markets or at reversals, parameter sensitivity, and slippage; the fixed exits and thresholds also do not establish that the strategy is profitable.

Key ideas

• The SMA sets directional bias, with price above it supporting long entries and price below it supporting short entries.
• RSI must also pass a separate threshold to confirm momentum before an entry is signaled.
• Fixed percentage stop-loss and take-profit orders are calculated from the average entry price.
• The document identifies sideways markets, reversals, indicator lag, parameter sensitivity, and slippage as risks.
• Published backtest settings are included, but no performance results are reported.

Tags

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