OPEN-SOURCE SCRIPT
Levy Momentum Strategy v10.6 - RSL Factor Exit
this strategy is supposed to run on daily charts!
The RSL Strategy v10.6 is a momentum-following system that utilizes the Relative Strength Levy (RSL) indicator on a weekly timeframe to identify high-velocity trend breakouts. By comparing the current price to its 25-week Moving Average, the strategy isolates assets exhibiting strong relative momentum.
Key FeaturesDynamic Entry Logic: Uses a volatility-adjusted threshold (
SMA + Standard\ Deviation$) to ensure entries occur during periods of statistically significant strength.VIX Risk Filter: A built-in "Fear Limit" that prevents new entries when market volatility (VIX) exceeds a user-defined level (default: 22), protecting the capital during market-wide turbulence.Adjustable Exit Factor: A unique Exit Threshold Factor allows traders to fine-tune the exit sensitivity. Setting the factor below 1.0 gives the trade more "room to breathe," while a factor above 1.0 tightens the exit for faster profit-taking.Velocity Filter: Ensures momentum is accelerating by requiring a minimum rise in RSL over a 4-week lookback period before entering.Visual Monitoring: Includes an on-chart Weekly Review Table that tracks real-time RSL values against dynamic entry and exit levels.How it WorksEntry: Triggered when the Weekly RSL crosses above the dynamic threshold, provided the VIX is low and momentum velocity is positive.Exit: Triggered when the RSL drops below the adjusted "Exit Level," calculated as the dynamic threshold multiplied by your custom Factor.
The RSL Strategy v10.6 is a momentum-following system that utilizes the Relative Strength Levy (RSL) indicator on a weekly timeframe to identify high-velocity trend breakouts. By comparing the current price to its 25-week Moving Average, the strategy isolates assets exhibiting strong relative momentum.
Key FeaturesDynamic Entry Logic: Uses a volatility-adjusted threshold (
SMA + Standard\ Deviation$) to ensure entries occur during periods of statistically significant strength.VIX Risk Filter: A built-in "Fear Limit" that prevents new entries when market volatility (VIX) exceeds a user-defined level (default: 22), protecting the capital during market-wide turbulence.Adjustable Exit Factor: A unique Exit Threshold Factor allows traders to fine-tune the exit sensitivity. Setting the factor below 1.0 gives the trade more "room to breathe," while a factor above 1.0 tightens the exit for faster profit-taking.Velocity Filter: Ensures momentum is accelerating by requiring a minimum rise in RSL over a 4-week lookback period before entering.Visual Monitoring: Includes an on-chart Weekly Review Table that tracks real-time RSL values against dynamic entry and exit levels.How it WorksEntry: Triggered when the Weekly RSL crosses above the dynamic threshold, provided the VIX is low and momentum velocity is positive.Exit: Triggered when the RSL drops below the adjusted "Exit Level," calculated as the dynamic threshold multiplied by your custom Factor.Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.