Esta estrategia combina las bandas de Bollinger (BB), el índice de fuerza relativa (RSI) y los indicadores de Aroon para capitalizar las fortalezas de cada uno para una operación eficiente de señales de entrada y salida.
La banda inferior de los precios de BB muestra una señal larga.
El RSI cruzando la línea de sobreventa da una confirmación larga.
El cruce de Aroon muestra una confirmación larga.
Entrada larga cuando se cumplan las 3 condiciones.
La banda superior del precio BB muestra señal corta.
El RSI cruzando la línea de sobrecompra da una corta confirmación.
El cruce de Aroon muestra una corta confirmación.
Entrada corta cuando se cumplan las 3 condiciones.
La estrategia combina las fortalezas de múltiples indicadores en señales de entrada robustas. Mejoras adicionales a través de la optimización de parámetros, la reducción de indicadores redundantes y la optimización de código pueden mejorar el rendimiento.
/*backtest
start: 2023-09-13 00:00:00
end: 2023-09-20 00:00:00
period: 5m
basePeriod: 1m
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/
// Developed by Marco Jarquin as part of Arkansas 22 Project for Binary Options
// CBRA for binary options (Configurable Bollinger Bands, RSI and Aroon)
//@version=4
// ====================================================================================
//strategy("A22.CBRA.Strat", overlay=true, initial_capital=10000, currency="USD", calc_on_every_tick=true, default_qty_type=strategy.cash, default_qty_value=4000, commission_type=strategy.commission.cash_per_order, commission_value=0)
// Aroonish Parameters
// ====================================================================================
Aroonish_length = input(4, minval=1, title="Aroonish Lenght")
Aroonish_ConfVal = input(50, minval=0, maxval=100, step=25, title="Aroonish Confirmation Value")
Aroonish_upper = 100 * (-highestbars(high, Aroonish_length+1) + Aroonish_length)/Aroonish_length
Aroonish_lower = 100 * (-lowestbars(low, Aroonish_length+1) + Aroonish_length)/Aroonish_length
// Aroonish confirmations
// ====================================================================================
Aroonish_ConfLong = (Aroonish_lower >= Aroonish_ConfVal) and (Aroonish_upper < Aroonish_lower)
Aroonish_ConfShrt = (Aroonish_upper >= Aroonish_ConfVal) and (Aroonish_upper > Aroonish_lower)
plotshape(crossover(Aroonish_lower, Aroonish_upper), color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Ar-B")
plotshape(crossover(Aroonish_upper, Aroonish_lower), color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Ar-S")
// RSI Parameters
// ====================================================================================
RSI_length = input(4, title="RSI Lenght")
RSI_overSold = input(20, title="RSI Oversold Limit")
RSI_overBought = input(80, title="RSI Overbought Limit" )
RSI = rsi(close, RSI_length)
plotshape(crossover(RSI, RSI_overSold), color = color.orange, style = shape.square, location = location.belowbar, size = size.auto, title = "RSI-B")
plotshape(crossunder(RSI, RSI_overBought), color = color.orange, style = shape.square, location = location.abovebar, size = size.auto, transp = 0, title = "RSI-S")
// Bollinger Parameters
// ====================================================================================
BB_length = input(20, minval=1, title="Bollinger Lenght")
BB_mult = input(2.5, minval=0.1, maxval=50, step=0.1, title="Bollinger Std Dev")
// BB_bars = input(3, minval=1, maxval=5, title="Check bars after crossing")
BB_basis = sma(close, BB_length)
BB_dev = BB_mult * stdev(close, BB_length)
BB_upper = BB_basis + BB_dev
BB_lower = BB_basis - BB_dev
p1 = plot(BB_upper, color=color.blue)
p2 = plot(BB_lower, color=color.blue)
// Bars to have the operation open
// ====================================================================================
nBars = input(3, minval=1, maxval=30, title="Bars to keep the operation open")
// Strategy condition short or long
// ====================================================================================
ConditionShrt = ((crossunder(close, BB_upper) or crossunder(close[1], BB_upper[1])) and Aroonish_ConfShrt) and (crossunder(RSI, RSI_overBought) or crossunder(RSI[1], RSI_overBought[1]))
ConditionLong = ((crossover(close, BB_lower) or crossover(close[1], BB_lower[1])) and Aroonish_ConfLong) and (crossover(RSI, RSI_overSold) or crossover(RSI[1], RSI_overSold[1]))
plotshape(crossover(close, BB_lower), color = color.blue, style = shape.circle, location = location.belowbar, size = size.auto, title = "BB-B")
plotshape(crossunder(close, BB_upper), color = color.blue, style = shape.circle, location = location.abovebar, size = size.auto, transp = 0, title = "BB-S")
// Make input options that configure backtest date range
// ====================================================================================
iMo = input(title="Start Month", type=input.integer, defval=1, minval=1, maxval=12)
iDy = input(title="Start Date", type=input.integer, defval=1, minval=1, maxval=31)
iYr = input(title="Start Year", type=input.integer, defval=(2020), minval=1800, maxval=2100)
eMo = input(title="End Month", type=input.integer, defval=1, minval=1, maxval=12)
eDy = input(title="End Date", type=input.integer, defval=1, minval=1, maxval=31)
eYr = input(title="End Year", type=input.integer, defval=(2021), minval=1800, maxval=2100)
// Look if the close time of the current bar falls inside the date range
// ====================================================================================
inDateRange = true
// Evaluates conditions to enter short or long
// ====================================================================================
if (inDateRange and ConditionLong)
strategy.entry("A22.L", strategy.long)
if (inDateRange and ConditionLong[nBars])
strategy.close("A22.L", comment="A22.L Exit")
if (inDateRange and ConditionShrt)
strategy.entry("A22.S", strategy.short)
if (inDateRange and ConditionShrt[nBars])
strategy.close("A22.S", comment="A22.S Exit")
if (not inDateRange)
strategy.close_all()