PMax on Rsi w/T3 Strategy

The PMax on Rsi w/T3 Strategy indicator provides a quantitative backtesting framework that applies the Profit Maximizer (PMax) logic to the Relative Strength Index (RSI) smoothed by a Tillson T3 Moving Average. This tool allows traders to evaluate the effectiveness of trend-following trailing stops on an oscillator rather than direct price action, helping to identify momentum shifts and trend exhaustions.

Usage

The strategy generates long and short entries based on the interaction between a Tillson T3 smoothed RSI and its corresponding PMax trailing stop line.

• Long Entry: Occurs when the T3 Moving Average crosses above the PMax line.
• Short Entry: Occurs when the T3 Moving Average crosses below the PMax line.

Because RSI does not natively contain high and low values required for standard ATR calculations, this script utilizes a custom calculation to derive RSI-based volatility. Users should focus on optimizing the ATR Multiplier and Tillson T3 Length to match the specific volatility and timeframe of the asset being traded.

Details

The script addresses the limitation of applying PMax to oscillators by calculating "High RSI" and "Low RSI" values relative to price bars. This allows for a meaningful Average True Range (ATR) calculation within the RSI domain. The PMax calculation itself acts as a dynamic trailing stop:

1. It calculates a long stop and a short stop based on the ATR multiplier.
2. It uses a directional logic to switch between these stops, creating a singular "PMax" line.
3. The Tillson T3 Moving Average is used as the trigger line because of its superior smoothing capabilities with reduced lag compared to standard EMAs.

Settings

• Source: The price source used for the RSI calculation (default is HL2).
• ATR Multiplier: Determines the distance of the PMax trailing stop from the T3 line.
• Tillson T3 Length: The period for the T3 smoothing calculation.
• TILLSON T3 Volume Factor: Controls the "speed" or "vibe" of the T3 moving average.
• ATR Length: The lookback period for the RSI-based ATR calculation.
• RSI Length: The period used for the underlying RSI calculation.
• Show RSI/Support/Signals: Visual toggles to display or hide the RSI line, T3 average, and cross signals.
• Backtest Inputs: Date range settings (From Day/Month/Year to Day/Month/Year) to define the specific window for strategy execution.

FAQ

How do I optimize this strategy?

You should adjust the Multiplier and T3 Length settings first. Since RSI can be prone to sudden divergences, finding a multiplier that filters out noise while capturing major swings is essential for each specific chart.

What is the advantage of using T3 over a standard EMA?

The Tillson T3 Moving Average provides a smoother result with less overshoot and lower lag than a traditional EMA, making it more responsive to the underlying momentum of the RSI.

How can I access this tool?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.