Turnaround Tuesday: Monday Entry with RSI, ATR, and Seasonal Filters

Summary

This calendar-based equity strategy aims to capture a rebound around Tuesday by entering long at Monday’s open and exiting at Wednesday’s open. Entry requires the previous close to be below a 30-period simple moving average, a low short-period RSI reading, and a close-to-ATR filter; it can also exclude May. The intended logic treats a weak prior close as a potential reversal setup while avoiding conditions characterized as extreme.

The document supplies the rules, configurable filters, and source code, but no reported return, risk, or win-rate evidence. Its published backtest configuration instead specifies Binance BTC/USDT futures on two-hour bars for March 2024, which does not fit the equity-oriented weekly effect described. The code also calculates the ATR filter as prior close divided by ATR, so the stated threshold deserves scrutiny as a price-scale comparison. Fixed weekday exits, strong trends, regime changes, and the assumption that May is persistently weak are identified or implied limitations.

Key ideas

• The strategy enters long on Monday and exits on Wednesday to target a Tuesday reversal effect.
• A moving-average condition, short-period RSI, and ATR-related filter screen entry opportunities.
• The design optionally excludes May based on a seasonal premise that may not persist.
• No performance statistics are provided, and the published crypto futures test setup does not match the equity rationale.
• Fixed holding dates and trend or regime changes can undermine the reversal premise.

Tags

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