RSI dan Moving Average Crossover Multi Timeframe Trading Strategy

Penulis:ChaoZhang, Tanggal: 2023-10-16 16:31:28
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Gambaran umum

Ide inti dari strategi ini adalah untuk mengidentifikasi titik pembalikan tren dengan memanfaatkan Indeks Kekuatan Relatif (RSI) dan rata-rata bergerak dari kerangka waktu yang berbeda, untuk menangkap tren jangka menengah hingga panjang saat melakukan perdagangan jangka pendek.

Logika Strategi

Menghitung indikator RSI, EMA cepat dan WMA lambat rata-rata bergerak.
Ketika garis RSI melintasi garis WMA, sinyal beli/jual dihasilkan.
Ketika EMA yang lebih cepat melintasi WMA yang lebih lambat, sinyal beli/jual dihasilkan.
Ketika RSI dan EMA melintasi WMA secara bersamaan, sinyal beli/jual yang kuat dihasilkan.
Selain itu, ketika harga melintasi garis rata-rata bergerak tambahan, itu memperkuat sinyal utama.
Tetapkan parameter stop loss dan take profit.

Strategi ini menggabungkan sinyal dari beberapa indikator teknis dan rata-rata bergerak dari kerangka waktu yang berbeda untuk mengidentifikasi tren periode yang berbeda, sehingga meningkatkan keandalan. RSI mengidentifikasi tingkat overbought / oversold, EMA menentukan tren jangka pendek, WMA menentukan tren jangka menengah, sementara penyeberangan harga dengan rata-rata bergerak tambahan memverifikasi tren. Kombinasi beberapa sinyal meningkatkan kinerja strategi.

Analisis Keuntungan

Menggunakan karakteristik pembalikan RSI untuk menangkap peluang pembalikan di zona overbought/oversold.
Rata-rata bergerak tambahan bertindak sebagai filter tren untuk menghindari pecah palsu.
Kombinasi multi-frame waktu memungkinkan untuk melacak tren jangka panjang sambil menangkap peluang jangka pendek.
Menggabungkan beberapa sinyal indikator dapat meningkatkan tingkat keberhasilan perdagangan.
Stop loss dan take profit memungkinkan manajemen risiko secara aktif.

Analisis Risiko

RSI dapat menghasilkan sinyal palsu, perlu disaring dengan moving average.
Rebound di bawah tren utama dapat memicu sinyal perdagangan terbalik, perlu hati-hati.
Membutuhkan optimasi parameter seperti periode RSI, periode rata-rata bergerak dll.
Penempatan stop loss membutuhkan kewaspadaan untuk menghindari berhenti terlalu dini.

Risiko dapat dikurangi melalui optimasi parameter, strategi stop loss yang ketat, dan pertimbangan tren utama dll.

Arahan Optimasi

Mengoptimalkan parameter RSI untuk menemukan panjang periode yang optimal.
Uji kombinasi rata-rata bergerak yang berbeda.
Menggabungkan indeks volatilitas seperti ATR untuk stop loss/take profit dinamis.
Tambahkan ukuran posisi dan modul manajemen risiko.
Menggunakan pembelajaran mesin untuk optimasi parameter dan evaluasi kualitas sinyal.

Ringkasan

Strategi ini mengintegrasikan ide-ide trading trend following dan reversal extreme, menambahkan analisis multi-timeframe dan indikator yang disintesis, yang bertujuan untuk meningkatkan tingkat keberhasilan trading. Kuncinya adalah untuk mengontrol risiko, mengoptimalkan parameter, dan mempertimbangkan dampak dari tren utama. Secara keseluruhan ini adalah strategi praktis dengan kemampuan beradaptasi yang kuat. Teknik yang lebih maju dapat digunakan untuk meningkatkan kualitas strategi lebih lanjut.

/*backtest
start: 2023-09-15 00:00:00
end: 2023-10-15 00:00:00
period: 2h
basePeriod: 15m
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/
// © HamidBox

//@version=4
// strategy("H-M By HamidBox-YT", default_qty_type=strategy.cash, default_qty_value= 100, initial_capital=100, currency='USD', commission_type=strategy.commission.percent, commission_value=0.1)

ma(source, length, type) =>
    type == "SMA" ? sma(source , length)    :
     type == "EMA" ? ema(source , length)   :
     type == "WMA" ? wma(source , length)   :
     type == "VWMA" ? vwma(source , length) :
     na
WMA(source, length, type) =>
    type == "SMA" ? sma(source , length)    :
     type == "EMA" ? ema(source , length)   :
     type == "WMA" ? wma(source , length)   :
     type == "VWMA" ? vwma(source , length) :
     na

WithMA(source, length, type) =>
    type == "SMA" ? sma(source , length)    :
     type == "EMA" ? ema(source , length)   :
     type == "WMA" ? wma(source , length)   :
     type == "VWMA" ? vwma(source , length) :
     na


rsi_inline      = input(true , title="RSI Value)", inline="rsi")
rsiLength       = input(title="Length:", type=input.integer, defval=9, minval=1, inline="rsi")
rsiLineM        = input(title="Level:", type=input.integer, defval=50, minval=1, inline="rsi")

rsi_OSOBinline  = input(true , title="RSI)", inline="rsiosob")
rsiLineU        = input(title="O-BOUGHT", type=input.integer, defval=70, minval=1, inline="rsiosob")
rsiLineD        = input(title="O-SOLD", type=input.integer, defval=30, minval=1, inline="rsiosob")

ma_inline       = input(true , title="Price-MA)", inline="ma")
ma_type         = input(title="Type", defval="EMA", options=["EMA","SMA","WMA","VWMA"], inline="ma")
emaLength       = input(title="Length", type=input.integer, defval=3, inline="ma")

wma_inline      = input(true , title="Trending-MA)", inline="wma")
ma_type2        = input(title="", defval="WMA", options=["EMA","SMA","WMA","VWMA"], inline="wma")
wmaLength       = input(title="Length", type=input.integer, defval=21, inline="wma")


////////////////////////////////////////////////////////////////////////////////
startTime       = input(title="Start Time", type = input.time, defval = timestamp("01 Jan 2021 00:00 +0000"), group="Backtest Time Period")
endTime         = input(title="End Time", type = input.time, defval = timestamp("01 Jan 2200 00:00 +0000"), group="Backtest Time Period")
inDateRange     = true

////////////////////////////////////////////////////////////////////////////////

rsi         = rsi(close , rsiLength)
r           = plot(rsi_inline ? rsi : na, color=color.yellow, linewidth=2)

EMA         = ma(rsi, emaLength, ma_type)
e           = plot(ma_inline ? EMA : na, color=color.lime)

myWMA       = ma(rsi, wmaLength, ma_type2)
w           = plot(wma_inline ? myWMA : na, color=color.white, linewidth=2)


up  = hline(rsiLineU, title='UP Level', linewidth=1, color=color.red, linestyle=hline.style_dotted)
mid = hline(rsiLineM, title='Mid Level', linewidth=2, color=color.white, linestyle=hline.style_dotted)
dn  = hline(rsiLineD, title='DN Level', linewidth=1, color=color.green, linestyle=hline.style_dotted)

col_e_w = EMA > myWMA  ? color.new(color.green , 85) : color.new(color.red , 85)
col_r_w = rsi > myWMA  ? color.new(color.green , 85) : color.new(color.red , 85)

fill(e , w, color=col_e_w)
fill(r , w, color=col_r_w)

////////////////////////////////////////////////////////////////////////////////

//Signals     = input(true,group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")

///////////////////////////////////////////////////////////////////////////////
RSI_Cross   = input(false, "RSI x Trending-MA", inline="wma_cross",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")      // INPUT

rsiBuySignal    = crossover(rsi , myWMA)
plotshape(RSI_Cross ? rsiBuySignal : na, title="RSI Crossover", style=shape.labelup, location=location.bottom, color=color.green)

rsiSellSignal   = crossunder(rsi , myWMA) 
plotshape(RSI_Cross ? rsiSellSignal : na, title="RSI Crossunder", style=shape.labeldown, location=location.top, color=color.red)

if rsiBuySignal and RSI_Cross and inDateRange
    strategy.entry("RSIxWMA", strategy.long)
if rsiSellSignal and RSI_Cross and inDateRange
    strategy.close("RSIxWMA", comment="x")
if (not inDateRange)
    strategy.close_all()
    
////////////////////////////////////////////////////////////////////////////////

MA_Cross    = input(false, "MA x Trendin-MA",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

maBuySignal     = crossover(EMA, myWMA)
plotshape(MA_Cross ? maBuySignal : na, title="MA Cross", style=shape.circle, location=location.bottom, color=color.lime)

maSellSignal   = crossunder(EMA , myWMA) 
plotshape(MA_Cross ? maSellSignal : na, title="RSI Crossunder", style=shape.circle, location=location.top, color=color.maroon)

if maBuySignal and MA_Cross and inDateRange
    strategy.entry("MAxWMA", strategy.long)
if maSellSignal and MA_Cross and inDateRange
    strategy.close("MAxWMA", comment="x")
if (not inDateRange)
    strategy.close_all()
    
////////////////////////////////////////////////////////////////////////////////

Mix         = input(false, "RSI + EMA x Trending-MA",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

rsi_ma_buy  = crossover(rsi , myWMA) and crossover(EMA, myWMA)
rsi_ma_sell = crossunder(rsi , myWMA) and crossunder(EMA, myWMA)

plotshape(Mix ? rsi_ma_buy : na, title="RSI Crossunder", style=shape.circle, location=location.bottom, color=color.lime, size=size.tiny)
plotshape(Mix ? rsi_ma_sell : na, title="RSI Crossunder", style=shape.circle, location=location.top, color=color.yellow, size=size.tiny)

if rsi_ma_buy and Mix and inDateRange
    strategy.entry("RSI+EMA x WMA", strategy.long)
if rsi_ma_sell and Mix and inDateRange
    strategy.close("RSI+EMA x WMA", comment="x")
if (not inDateRange)
    strategy.close_all()

////////////////////////////////////////////////////////////////////////////////
wma_cross       = input(false, "Trending-MA x 50",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

wma_buy         = crossover(myWMA , rsiLineM)
plotshape(wma_cross ? wma_buy : na, title="WMA Cross", style=shape.diamond, location=location.bottom, color=color.aqua)
wma_sell        = crossunder(myWMA , rsiLineM)
plotshape(wma_cross ? wma_sell : na, title="WMA Cross", style=shape.diamond, location=location.top, color=color.aqua)

if wma_buy and wma_cross and inDateRange
    strategy.entry("WMA x 50", strategy.long)
if wma_sell and wma_cross and inDateRange
    strategy.close("WMA x 50", comment="x")
if (not inDateRange)
    strategy.close_all()

////////////////////////////////////////////////////////////////////////////////
rsi_50      = input(false, "RSI x 50",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

rsi_50_buy      = crossover(rsi , rsiLineM)
plotshape(rsi_50 ? rsi_50_buy : na, title="WMA Cross", style=shape.cross, location=location.bottom, color=color.purple)
rsi_50_sell     = crossunder(rsi , rsiLineM)
plotshape(rsi_50 ? rsi_50_sell : na, title="WMA Cross", style=shape.cross, location=location.top, color=color.purple)

if rsi_50_buy and rsi_50 and inDateRange
    strategy.entry("RSI Cross 50", strategy.long)
if rsi_50_sell and rsi_50 and inDateRange
    strategy.close("RSI Cross 50", comment="x")
if (not inDateRange)
    strategy.close_all()
    
////////////////////////////////////////////////////////////////////////////////
RSI_OS_OB   = input(false, "RSI OS/OB x Trending-MA",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

rsi_OB_buy      = (rsi < rsiLineD or rsi[1] < rsiLineD[1] or rsi[2] < rsiLineD[2] or rsi[3] < rsiLineD[3] or rsi[4] < rsiLineD[4] or rsi[5] < rsiLineD[5]) and rsiBuySignal 
plotshape(RSI_OS_OB ? rsi_OB_buy : na, title="RSI OB + Cross", style=shape.circle, location=location.bottom, color=color.lime, size=size.tiny)
rsi_OS_sell     = (rsi > rsiLineU or rsi[1] > rsiLineU[1] or rsi[2] > rsiLineU[2] or rsi[3] > rsiLineU[3] or rsi[4] > rsiLineU[4] or rsi[5] > rsiLineU[5]) and maSellSignal 
plotshape(RSI_OS_OB ? rsi_OS_sell : na, title="RSI OS + Cross", style=shape.circle, location=location.top, color=color.red, size=size.tiny)

if rsi_OB_buy and RSI_OS_OB and inDateRange
    strategy.entry("RSI-OBOS x WMA", strategy.long)
if rsi_OS_sell and RSI_OS_OB and inDateRange
    strategy.close("RSI-OBOS x WMA", comment="x")
if (not inDateRange)
    strategy.close_all()

////////////////////////////////////////////////////////////////////////////////

rsi_OB_OS       = input(false, "RSI Over Sold/Bought",group="👇 🚦 --- Backtesting Signals Type --- 🚦 ")       // INPUT

rsiBuy          = crossover(rsi , rsiLineD)
rsiSell         = crossunder(rsi, rsiLineU)
rsiExit         = crossunder(rsi, rsiLineD)

plotshape(rsi_OB_OS ? rsiBuy : na, title="RSI OB", style=shape.cross, location=location.bottom, color=color.purple)
plotshape(rsi_OB_OS ? crossunder(rsi, rsiLineU) : na, title="RSI OS", style=shape.cross, location=location.top, color=color.purple)
plotshape(rsi_OB_OS ? rsiExit : na, title="RSI OS", style=shape.cross, location=location.bottom, color=color.red)

if rsiBuy and rsi_OB_OS and inDateRange
    strategy.entry("RSI OB", strategy.long)
if (rsiSell or rsiExit) and rsi_OB_OS and inDateRange
    strategy.close("RSI OB", comment="x")
if (not inDateRange)
    strategy.close_all()
    
////////////////////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////

With_MA_Vis     = input(true , title="With MA Signal)", inline="WITH MA", group="With MA")
withMA_type     = input(title="", defval="SMA", options=["EMA","SMA","WMA","VWMA"], inline="WITH MA", group="With MA")
with_MALen      = input(title="", defval=9, type=input.integer, inline="WITH MA", group="With MA")

// TAKE-PROFIT / STOP-LOSS 
Stop_Take_Vis   = input(true, "TP-SL")
LongSLValue     = input(title="SL %", type=input.float, defval=3, minval=0.5) * 0.01
LongTPValue     = input(title="TP %", type=input.float, defval=15, minval=0.5) * 0.01

LongSLDetermine = strategy.position_avg_price * (1 - LongSLValue)
LongTPDetermine = strategy.position_avg_price * (1 + LongTPValue)
//////////////////////////

with_ma     = WithMA(close, with_MALen, withMA_type)

Close_buy_MA    = crossover(close , with_ma)
Close_sell_MA   = crossunder(close , with_ma)

// PLOT OPTION
WithMaSignal    = input(true, "MA + RSI x Trending-MA",group="With MA")       // INPUT

// CONDITION IN VARIABLE
withMA_RSI_BUY  = (Close_buy_MA and rsiBuySignal) and WithMaSignal and inDateRange
withMA_RSI_SELL = (Close_sell_MA and rsiSellSignal) and WithMaSignal and inDateRange

// PLOT ING
plotshape(WithMaSignal ? withMA_RSI_BUY : na, title="With MA", style=shape.diamond, location=location.bottom, color=color.aqua)
plotshape(WithMaSignal ? withMA_RSI_SELL : na, title="With MA", style=shape.diamond, location=location.top, color=color.aqua)


if withMA_RSI_BUY
    strategy.entry("MA + RSIxWMA", strategy.long)
if withMA_RSI_SELL
    strategy.close("MA + RSIxWMA", comment="x")
if (not inDateRange)
    strategy.close_all()

// FOR SL - TP
if (strategy.position_size > 0) and Stop_Take_Vis
    strategy.exit("BUY", stop=LongSLDetermine, limit=LongTPDetermine)

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