Z-Score and Supertrend Signals with RSI Confirmation

Summary

This strategy combines statistical deviation, momentum, and trend filters to generate long and short signals. It calculates a Z-score from price relative to a 75-period mean and standard deviation, then checks for readings above 1.1 or below -1.1. RSI adds directional confirmation, requiring a value above 60 for longs or below 40 for shorts, while Supertrend provides the trend filter using an 11-period ATR and a factor of 2.0.

The document describes a rule set and lists a daily Bitcoin futures backtest period from January 1 to November 26, 2024, but it provides no performance results. It identifies lagging signals, false breakouts in sideways markets, and sensitivity to parameter choices as risks. The proposed refinements include volatility-based parameter adjustment, market-regime filters, added volume confirmation, and dynamic stops. The strategy’s effectiveness across assets and market conditions is not established by the material presented.

Key ideas

• The strategy measures price deviation using a 75-period Z-score with thresholds at 1.1 and -1.1.
• RSI confirmation requires values above 60 for long entries and below 40 for short entries.
• Supertrend, based on an 11-period ATR and a factor of 2.0, filters trades by trend direction.
• The document warns that sideways markets, lag, and parameter sensitivity may weaken signals.
• The listed Bitcoin futures backtest settings do not include reported performance results.

Tags

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