Z-Score Threshold Trading with a Weighted RSI and Price Signal
Summary
This strategy forms a linear signal from RSI and closing price, with a configurable weight controlling their relative contribution. It standardizes that signal by subtracting its moving average and dividing by its rolling standard deviation. A Z-score below a negative threshold triggers a long entry, while a reading above a positive threshold triggers a short entry. The strategy attaches percentage-based take-profit and stop-loss levels to trades.
The document lists configurable lookback, weight, risk threshold, and exit parameters, along with a brief BTC/USDT futures backtest period. It provides no returns, trade statistics, or comparison against a benchmark, so it offers a design outline rather than evidence of effectiveness. The stated limitations include parameter sensitivity, lag from rolling calculations, possible frequent trading in weakly trending conditions, and slippage in low liquidity. The code also combines RSI values with raw price, so the scale difference may affect the weighted signal and merits scrutiny before use.
Key ideas
- The initial signal blends RSI and closing price using a configurable weight.
- A rolling mean and standard deviation convert the linear signal into a Z-score.
- Negative and positive threshold crossings generate long and short entries, respectively.
- Percentage-based profit targets and stop losses are specified for both directions.
- The document reports no backtest outcomes and notes sensitivity, signal lag, and execution costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.