RSI Mean Reversion Strategy

A counter-trend strategy that buys oversold conditions and sells overbought.

Code

/**
 * RSI Mean Reversion Strategy
 * 
 * Buys when RSI exits oversold zone
 * Sells when RSI enters overbought zone
 */

function define(ctx) {
  ctx.param('rsiPeriod', {
    type: 'int',
    label: 'RSI Period',
    default: 14,
    min: 2,
    max: 50,
    optimize: true
  });
  
  ctx.param('oversold', {
    type: 'int',
    label: 'Oversold Level',
    default: 30,
    min: 10,
    max: 40
  });
  
  ctx.param('overbought', {
    type: 'int',
    label: 'Overbought Level',
    default: 70,
    min: 60,
    max: 90
  });
}

function init(ctx) {
  ctx.indicator('rsi', 'RSI', { period: ctx.p.rsiPeriod });
}

function onBar(ctx, i) {
  const rsi = ctx.ind.rsi;
  const { oversold, overbought } = ctx.p;
  
  if (q.isNaN(rsi[i]) || i < 1) return;
  
  const pos = ctx.position('ASSET');
  
  // Buy: RSI crosses above oversold level (exiting oversold)
  if (rsi[i - 1] <= oversold && rsi[i] > oversold && pos.qty === 0) {
    ctx.order.market('ASSET', 1, { signal: 'buy', reason: 'rsi_exits_oversold' });
  }
  
  // Sell: RSI enters overbought zone
  if (rsi[i - 1] < overbought && rsi[i] >= overbought && pos.qty > 0) {
    ctx.order.close('ASSET', { signal: 'sell', reason: 'rsi_overbought' });
  }
}

Key Concepts

Level Crossing vs Threshold

This strategy uses level crossing (not just threshold):

// LEVEL CROSSING: RSI was below, now above
if (rsi[i - 1] <= oversold && rsi[i] > oversold) {
  // Entering means momentum is shifting
}

// vs SIMPLE THRESHOLD (not used here)
if (rsi[i] < oversold) {
  // Could be oversold for many bars
}

Accessing Previous Bar

Use i - 1 to check the previous bar's value:

if (i < 1) return; // Need at least 2 bars

const prevRsi = rsi[i - 1];
const currRsi = rsi[i];

Stop Loss Protection

Add a stop loss for risk management:

function onBar(ctx, i) {
  const pos = ctx.position('ASSET');
  
  if (pos.qty > 0) {
    const pnl = (ctx.series.close[i] - pos.avgPrice) / pos.avgPrice;
    
    // Stop loss at -3%
    if (pnl < -0.03) {
      ctx.order.close('ASSET', { signal: 'stop_loss' });
      return;
    }
  }
  
  // ... rest of logic
}

Variation: Exit on Opposite Signal

Instead of waiting for overbought, exit when RSI returns to neutral:

// Exit when RSI returns above 50 (neutral)
if (rsi[i] > 50 && pos.qty > 0) {
  ctx.order.close('ASSET', { signal: 'sell', reason: 'rsi_neutral' });
}

Performance Notes

Works best in ranging/choppy markets
Gets crushed in strong trends
Consider adding trend filter (only trade with trend)

EMA Crossover — Trend-following example
Helper Functions — Utility functions