Two-Period Cumulative RSI Mean Reversion with a 200-Period Trend Filter

Summary

This long-only daily strategy seeks short-term rebounds in equity index CFDs while limiting entries to prices above a 200-period moving average. It sums RSI readings over the most recent two periods and enters when this cumulative measure falls below 35, treating that condition as oversold within an upward trend. The position exits when the measure rises above 65. The post reports historical tests on the CAC 40, IBEX 35, and S&P 500 using the same triggers, with different contract sizes and start dates.

Those examples show positive cumulative returns and reported maximum drawdowns, but the post supplies no full return series, benchmark comparison, transaction costs, or robustness analysis. The author describes the setup as exploratory, and the reported results do not establish that it will work across indices or future periods. Position sizing is stated as fixed contracts in the examples, so the outcomes may not be comparable across markets or account sizes.

Key ideas

• The strategy enters long when price is above its 200-period average and two-period cumulative RSI is below 35.
• It exits when cumulative RSI rises above 65.
• The post reports positive results on three index CFDs, with different contract sizes and sample start dates.
• The results omit transaction costs, benchmark comparisons, and detailed robustness evidence.

Tags

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