Strategi perdagangan bingkai berbilang masa berdasarkan RSI dan purata bergerak

Tarikh penciptaan: 2023-10-16 16:31:28 Akhirnya diubah suai: 2023-10-16 16:31:28

Salin: 0 Bilangan klik: 732

ChaoZhang

fokus pada mesej peribadi

fokus pada

1617

Pengikut

Strategi perdagangan bingkai berbilang masa berdasarkan RSI dan purata bergerak

Gambaran keseluruhan

Idea teras strategi ini adalah untuk menggunakan indeks yang agak kuat (RSI) dan purata bergerak dari tempoh masa yang berbeza untuk mengenal pasti titik-titik perubahan trend, untuk menangkap trend garis panjang dan garis pendek pada masa yang sama. Strategi ini menggabungkan pelbagai isyarat perdagangan untuk meningkatkan kadar kejayaan perdagangan.

Prinsip Strategi

Hitung RSI, EMA garis pantas dan WMA garis perlahan.
Sinyal beli / jual dihasilkan apabila garis RSI menembusi purata bergerak WMA.
Apabila garis pantas EMA menembusi garis perlahan WMA, ia menghasilkan isyarat beli/jual.
Apabila RSI dan EMA meletupkan WMA pada masa yang sama, ia menghasilkan isyarat beli/jual yang kuat.
Pada masa yang sama, isyarat utama boleh diperkuat apabila harga menembusi purata bergerak tambahan.
Tetapkan keadaan berhenti dan hentikan

Strategi ini mengintegrasikan isyarat penembusan dari pelbagai petunjuk teknikal, moving averages dengan parameter yang berbeza untuk mengenal pasti trend dalam tempoh yang berbeza, dan dengan itu meningkatkan kebolehpercayaan strategi. Indeks RSI menilai keadaan overbought dan oversold, EMA yang cepat menilai trend jangka pendek, WMA yang perlahan menilai trend pertengahan, harga dan penembusan yang disahkan oleh purata tambahan.

Analisis kelebihan

Menggunakan ciri-ciri pembalikan RSI, anda boleh mengambil peluang pembalikan di kawasan overbought dan oversold.
Membantu purata bergerak sebagai penapis trend untuk mengelakkan pecah palsu.
Dalam kombinasi dengan pelbagai tempoh masa, ia boleh mengesan trend garis panjang dan menangkap peluang garis pendek.
Dengan menggunakan pelbagai isyarat indikator, ia dapat meningkatkan kadar kejayaan dagangan.
Tetapkan strategi stop loss untuk mengawal risiko secara proaktif.

Analisis risiko

RSI mudah menghasilkan isyarat palsu dan memerlukan penapis purata bergerak tambahan.
Rebound di bawah trend kitaran besar mungkin mencetuskan isyarat perdagangan terbalik dan perlu diambil dengan berhati-hati.
Pengaturan parameter yang perlu dioptimumkan, seperti tempoh kitaran RSI, kitaran purata bergerak dan sebagainya.
Pengaturan titik henti perlu berhati-hati untuk mengelakkan terhalang.

Risiko boleh dikurangkan dengan cara seperti pengoptimuman parameter, strategi penutupan kerugian yang ketat, dan mempertimbangkan trend kitaran besar.

Arah pengoptimuman

Optimumkan parameter RSI untuk mencari panjang kitaran yang optimum.
Uji pelbagai jenis gabungan purata bergerak.
Menambah indikator kadar turun naik seperti ATR, penyesuaian dinamik stop loss stop position.
Tambah modul pengurusan jumlah transaksi.
Menggunakan teknologi pembelajaran mesin untuk optimasi parameter dan penilaian kualiti isyarat.

ringkaskan

Strategi ini mengintegrasikan trend tracking dan pemikiran perdagangan berbalik titik, dengan analisis pelbagai kerangka masa dan penggunaan pelbagai indikator secara komprehensif, dengan tujuan untuk meningkatkan kadar kemenangan perdagangan. Kunci adalah untuk mengawal risiko dengan baik, mengoptimumkan parameter, dan mempertimbangkan kesan trend kitaran besar terhadap perdagangan apabila sesuai.

Kod sumber strategi

/*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)

Forums

PINE Language FAQ Summary MyLanguage Web3 About Us

Product

Robot Strategy Node Platforms Tickets

API

Syntax guide User guide Trading api Blockchain Indicator