TSI, CCI, and Hull Moving Average Trend-Following Signals

Summary

This trend-following strategy combines the True Strength Index (TSI), a custom CCI calculation, and a Hull-style moving average. It enters long when the TSI signal relationship is bullish, the CCI is positive and rising, and the smoothed trend measure is rising; it enters short when the corresponding bearish conditions hold. The prose describes the Hull moving average as a trend filter, although its stated price-side conditions conflict with the supplied code, which requires price above the Hull measure for longs and below it for shorts.

The document says the method is intended for hourly or higher timeframes and identifies reversal risk, indicator lag, false signals, and sensitivity to parameter settings. Suggested extensions include stop-loss rules, additional filters, parameter tuning, and adaptive methods. The published configuration is for BTC_USDT futures over a daily test period with hourly base data, but no performance metrics are included. The rationale is presented without evidence establishing profitability or robustness.

Key ideas

• The strategy combines TSI signal direction, CCI momentum, and a Hull-style smoothed trend measure.
• Long and short entries require aligned indicator conditions and a rising or falling trend measure.
• The prose and code disagree on whether price should be above or below the Hull measure for each direction.
• Indicator lag, false signals, and sharp reversals are identified as risks.
• A BTC futures backtest configuration is provided without performance results.

Tags

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