VWAP and RSI Extreme Signals with a Trend-Filter Mismatch

Summary

The document presents a price-versus-average strategy filtered by RSI extremes. Its written explanation says to buy when price is below a moving average and RSI is below 30, and to sell when price is above it and RSI is above 70. The accompanying source instead calculates VWAP and RSI, then enters long below VWAP at low RSI and short above VWAP at high RSI. These are contrarian entry conditions, despite the document describing the approach as trend following. The listed inputs include a VWAP length of 5, an SMA trend-filter length of 25, and an RSI period of 8, but the source does not use the SMA filter.

The text flags false signals in ranging markets, difficulty around reversals, parameter choice, and event-driven volatility. It proposes stop-losses and further filters, but the source does not implement them. A BTC/USDT futures backtest period is listed without results, so the material gives no evidence of profitability. The discrepancy between the prose, parameters, and code means the exact intended rules are uncertain.

Key ideas

• The written rules and source both use RSI extremes with price below or above an average to generate entries.
• The source uses VWAP and does not apply the listed SMA trend filter.
• The low-RSI long and high-RSI short conditions are contrarian setups, not conventional trend-following confirmation.
• The document notes range-bound and reversal risks, while providing no backtest performance results.

Tags

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