This strategy captures market trends based on the Modified Relative Strength Index (Modified RSI). The main idea of the strategy is to use the crossover signals and histogram signals of the Modified RSI indicator to determine the market trend and make trades according to the trend direction.
This strategy utilizes the characteristics of the Modified RSI indicator to build a trading system from the perspective of trend following. The Modified RSI indicator overcomes some of the defects of the traditional RSI indicator and has relatively strong trend capture ability. However, strategies based on a single indicator often have limitations and need to be improved in combination with other technical means. By optimizing strategy parameters, enriching signal sources, adding risk control modules, and other methods, the stability and profitability of this strategy can be further improved.
/*backtest start: 2023-03-23 00:00:00 end: 2024-03-28 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © YogirajDange //@version=5 // Verical lines // // Define the times // t1 = timestamp(year, month, dayofmonth, 09, 15) // 9:15 // t2 = timestamp(year, month, dayofmonth, 11, 15) // 11:15 // t3 = timestamp(year, month, dayofmonth, 13, 15) // 1:15 // t4 = timestamp(year, month, dayofmonth, 15, 25) // 3:25 // // Check if the current bar is on the current day // is_today = (year(time) == year(timenow)) and (month(time) == month(timenow)) and (dayofmonth(time) == dayofmonth(timenow)) // // Draw a vertical line at each time // if is_today and (time == t1 or time == t2 or time == t3 or time == t4) // line.new(x1 = bar_index, y1 = low, x2 = bar_index, y2 = high, extend = extend.both, color=color.red, width = 1) strategy('Modified RSI') col_grow_above = input(#02ac11, "Above Grow", group="Histogram", inline="Above") col_fall_above = input(#6ee47d, "Fall", group="Histogram", inline="Above") col_grow_below = input(#e5939b, "Below Grow", group="Histogram", inline="Below") col_fall_below = input(#dd0000, "Fall", group="Histogram", inline="Below") EMA_length = input.int(13, 'Price_EMA', minval=1) RSI_length = input.int(14, 'RSI_Period', minval=1) Avg_length = input.int(5, 'RSI_Avg_EMA', minval=1) fastMA = ta.ema(close, EMA_length) modrsi = ta.rsi(fastMA, RSI_length) RSIAVG = ta.ema(modrsi, Avg_length) plot(modrsi, color=color.rgb(38, 0, 255), linewidth=2) plot(RSIAVG, color=color.rgb(247, 0, 0)) rsiUpperBand = hline(60, 'RSI Upper Band', color=#099b0e) //hline(50, "RSI Middle Band", color=color.new(#787B86, 50)) rsiLowerBand = hline(40, 'RSI Lower Band', color=#e90101) RSI_hist = modrsi - RSIAVG //plot(RSI_hist,"RSI_Histogram", color = #c201e9, style = plot.style_columns,linewidth= 5) plot(RSI_hist, title="RSI_Histogram", style=plot.style_columns, color=(RSI_hist>=0 ? (RSI_hist[1] < RSI_hist ? col_grow_above : col_fall_above) : (RSI_hist[1] < RSI_hist ? col_grow_below : col_fall_below))) /////// Moving Averages 20 50 EMA fast_ma = input.int(20, minval=2, title="Fast_EMA") slow_ma = input.int(50, minval=2, title="Slow_EMA") src = input.source(close, title="Source") out = ta.ema(src, fast_ma) out1 = ta.ema(src, slow_ma) //plot(out, title="20 EMA", color=color.rgb(117, 71, 247), linewidth = 2) //plot(out1, title="50 EMA", color=color.rgb(0, 0, 0), linewidth = 2) longCondition = ((ta.crossover(modrsi, RSIAVG)) and (RSI_hist > 0)) if longCondition strategy.entry('B', strategy.long) shortCondition = ((ta.crossunder(modrsi, RSIAVG)) and (RSI_hist < 0)) if shortCondition strategy.entry('S', strategy.short)