Weekly RSI Moving-Average Crossovers for Long-Short Dow Trading

Summary

This document describes a weekly long-short strategy built from moving averages of RSI. It enters or covers a long position when a faster RSI average crosses above the midpoint, and sells or shorts when a slower average crosses below it. The stated formula uses a 10-period RSI and moving-average periods of 10 and 50, although the included script applies the same 50-period setting to both averages, leaving an implementation discrepancy.

The author reports a historical Dow backtest spanning roughly a century and compares its compounded return with a buy-and-hold index result. The figures exclude dividends and trading costs, use full-equity reinvestment, and depend on a retrospective test. The author also cautions that the strategy was designed with hindsight and that past performance does not establish future results. The material does not provide enough detail to assess execution assumptions, robustness across assets, or whether the reported signals were implemented consistently with the written formula.

Key ideas

• The strategy uses RSI moving-average crosses around the midpoint to switch between long and short exposure.
• The written rules specify a faster average for buying and a slower average for selling or shorting.
• The source script assigns both averages the same period, which conflicts with the stated formula.
• Reported historical returns exclude dividends and trading costs and assume reinvestment of all equity.
• The backtest is vulnerable to hindsight and does not establish future performance.

Tags

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