Triple-Filtered RSI Pullback Strategy Above the 200-Day Average

Summary

This long-only mean reversion strategy looks for a sharp pullback while price remains above its 200-day simple moving average. It uses a 2-period RSI and requires three consecutive declines, with the first reading above 60, followed by a current reading below 10. The position is closed when RSI rises above 70. These conditions aim to buy short-term weakness within a longer-term uptrend.

The document gives daily BTC/USDT Binance futures backtest settings from December 2019 to November 2024, but reports no performance results. It notes risks from lagging signals, volatile markets, and trading costs, and suggests adding stop losses or other filters. The source does not include a stop loss or position sizing rule, so risk control depends largely on the RSI exit. The material does not establish robustness across assets or market regimes.

Key ideas

• Price must be above its 200-day simple moving average for a long entry to qualify.
• The 2-period RSI must fall for three days, starting above 60, and finish below 10.
• The strategy exits when the 2-period RSI rises above 70.
• The entry filters seek pullbacks within a longer-term uptrend.
• The backtest settings are provided, but no performance results or stop loss are reported.

Tags

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