Estratégia de negociação de RSI de rede multiperíodo

Autora:ChaoZhang, Data: 2023-11-23 17:50:13
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Resumo

Esta estratégia usa 7 indicadores RSI com diferentes prazos para determinar tendências de mercado e estabelecer posições de rede para negociação de rede eficiente quando os indicadores RSI estão flutuando.

Estratégia lógica

A estratégia usa 7 indicadores RSI com diferentes prazos (1 minuto, 5 minutos, 15 minutos, 30 minutos, 1 hora, 2 horas e 1 dia). Quando todos os 7 indicadores RSI estão simultaneamente abaixo da linha de sobrecompra, um sinal de compra é gerado. Quando todos os 7 indicadores RSI estão simultaneamente acima da linha de sobrevenda, um sinal de venda é gerado.
Com base nos sinais de compra e venda, 20 ordens com intervalos de preço percentuais fixos são colocadas em torno do preço atual. Por exemplo, se o preço de entrada for de US $ 100 e o intervalo entre as ordens for de 2%, os preços das ordens seriam de US $ 98, US $ 96... até US $ 60.
Quando o preço atinge um dos preços da ordem, uma ordem é preenchida e uma posição é estabelecida.

Vantagens da estratégia

A utilização de múltiplos indicadores evita uma interpretação errada da tendência do mercado.
O indicador RSI identifica de forma fiável os níveis de sobrecompra e sobrevenda, evitando os máximos de compra e mínimos de venda.
As ordens de rede entram em posições de forma eficiente, evitando perseguir os rali e declínios.
As configurações de lucro e stop loss ajudam a gestão de riscos e reduzem a exposição a perdas durante movimentos extremos.

Riscos e soluções

Os movimentos acentuados dos preços podem penetrar na grelha.
As paradas de perdas colocadas muito perto podem incorrer em custos de deslizamento desnecessários.
Alguns indicadores RSI podem gerar sinais incorretos.

Orientações de otimização

Podem ser testadas diferentes combinações de parâmetros e lógicas de julgamento alternativas para refinar estratégias de entrada e saída.
Incorporar métricas de volatilidade para ajustar automaticamente os intervalos de rede, com intervalos mais largos durante ambientes de maior volatilidade.
Adicionar módulos de gestão de capital para alterar dinamicamente o tamanho máximo das posições, os intervalos de rede, etc., com base no património da conta.

Conclusão

Esta estratégia combina indicadores de RSI de vários prazos para determinar as tendências do mercado, estabelecendo de forma eficiente posições de rede durante os mercados variáveis. As vantagens da otimização de custos, tomada de lucros, corte de perdas e controles de risco tornam-na adequada para os traders que buscam capitalizar em mercados variáveis, tolerando riscos definidos.

/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["MinLot",0.001,358374]]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66

//@version=4
strategy(title="7-RSI strategy", overlay=true)

// inputs
src = input(close, "Source RSI", type = input.source)
bot_res = input(title="Bot period", type=input.resolution, defval="1")
srcin_bot = input(ohlc4, "Source Bot", type = input.source)
src_bot = security(syminfo.tickerid, bot_res, srcin_bot)

tradeDirection = input(title="Trade Direction", type=input.string,
     options=["Long Bot", "Short Bot"], defval="Long Bot")


rsi1_res = input(title="RSI-1 period", type=input.resolution, defval="1", group="indicators")
rsi1_Len = input(14, minval=1, title="RSI-1 Length", group="indicators")
rsi2_res = input(title="RSI-2 period", type=input.resolution, defval="5", group="indicators")
rsi2_Len = input(14, minval=1, title="RSI-2 Length", group="indicators")
rsi3_res = input(title="RSI-3 period", type=input.resolution, defval="15", group="indicators")
rsi3_Len = input(14, minval=1, title="RSI-3 Length", group="indicators")
rsi4_res = input(title="RSI-4 period", type=input.resolution, defval="30", group="indicators")
rsi4_Len = input(14, minval=1, title="RSI-4 Length", group="indicators")
rsi5_res = input(title="RSI-5 period", type=input.resolution, defval="60", group="indicators")
rsi5_Len = input(14, minval=1, title="RSI-5 Length", group="indicators")
rsi6_res = input(title="RSI-6 period", type=input.resolution, defval="120", group="indicators")
rsi6_Len = input(14, minval=1, title="RSI-6 Length", group="indicators")
rsi7_res = input(title="RSI-7 period", type=input.resolution, defval="1D", group="indicators")
rsi7_Len = input(14, minval=1, title="RSI-7 Length", group="indicators")

longProfitPerc = input(title="Long Bot Take Profit (%)",
     type=input.float, minval=0.0, step=0.05, defval=0.5, group="Long Bot") * 0.01
st_long_orders = input(title="Long Bot Step orders (%)",
     type=input.float, minval=0.0, step=0.1, defval=2.0, group="Long Bot") * 0.01

rsi1_low = input(100, title="RSI-1 <", group="Long Bot")
rsi2_low = input(100, title="RSI-2 <", group="Long Bot")
rsi3_low = input(100, title="RSI-3 <", group="Long Bot")
rsi4_low = input(100, title="RSI-4 <", group="Long Bot")
rsi5_low = input(100, title="RSI-5 <", group="Long Bot")
rsi6_low = input(100, title="RSI-6 <", group="Long Bot")
rsi7_low = input(100, title="RSI-7 <", group="Long Bot")

shortProfitPerc = input(title="Short Bot Take Profit (%)",
     type=input.float, minval=0.0, step=0.05, defval=0.5, group="Short Bot") * 0.01
st_short_orders = input(title="Short Bot Step orders (%)",
     type=input.float, minval=0.0, step=0.1, defval=2.0, group="Short Bot") * 0.01

rsi1_up = input(0, title="RSI-1 >", group="Short Bot")
rsi2_up = input(0, title="RSI-2 >", group="Short Bot")
rsi3_up = input(0, title="RSI-3 >", group="Short Bot")
rsi4_up = input(0, title="RSI-4 >", group="Short Bot")
rsi5_up = input(0, title="RSI-5 >", group="Short Bot")
rsi6_up = input(0, title="RSI-6 >", group="Short Bot")
rsi7_up = input(0, title="RSI-7 >", group="Short Bot")

//indicators
rsi1 = rsi(src, rsi1_Len)
rsi1_sec = security(syminfo.tickerid, rsi1_res, rsi1)
rsi2 = rsi(src, rsi2_Len)
rsi2_sec = security(syminfo.tickerid, rsi2_res, rsi2)
rsi3 = rsi(src, rsi3_Len)
rsi3_sec = security(syminfo.tickerid, rsi3_res, rsi3)
rsi4 = rsi(src, rsi4_Len)
rsi4_sec = security(syminfo.tickerid, rsi4_res, rsi4)
rsi5 = rsi(src, rsi5_Len)
rsi5_sec = security(syminfo.tickerid, rsi5_res, rsi5)
rsi6 = rsi(src, rsi6_Len)
rsi6_sec = security(syminfo.tickerid, rsi6_res, rsi6)
rsi7 = rsi(src, rsi7_Len)
rsi7_sec = security(syminfo.tickerid, rsi7_res, rsi7)

//RSI
rsi1_up_signal = rsi1_sec > rsi1_up
rsi1_low_signal = rsi1_sec < rsi1_low
rsi2_up_signal = rsi2_sec > rsi2_up
rsi2_low_signal = rsi2_sec < rsi2_low
rsi3_up_signal = rsi3_sec > rsi3_up
rsi3_low_signal = rsi3_sec < rsi3_low
rsi4_up_signal = rsi4_sec > rsi4_up
rsi4_low_signal = rsi4_sec < rsi4_low
rsi5_up_signal = rsi5_sec > rsi5_up
rsi5_low_signal = rsi5_sec < rsi5_low
rsi6_up_signal = rsi6_sec > rsi6_up
rsi6_low_signal = rsi6_sec < rsi6_low
rsi7_up_signal = rsi7_sec > rsi7_up
rsi7_low_signal = rsi7_sec < rsi7_low


//Buy & Sell
Buy = rsi1_low_signal and rsi2_low_signal and rsi3_low_signal and rsi4_low_signal and rsi5_low_signal and rsi6_low_signal and rsi7_low_signal
Sell = rsi1_up_signal and rsi2_up_signal and rsi3_up_signal and rsi4_up_signal and rsi5_up_signal and rsi6_up_signal and rsi7_up_signal

// input into trading conditions
longOK  = (tradeDirection == "Long Bot")
shortOK = (tradeDirection == "Short Bot")

// in entry orders price
longEntryPrice1 = src_bot * (1 - (st_long_orders))
longEntryPrice2 = src_bot * (1 - (st_long_orders*2))
longEntryPrice3 = src_bot * (1 - (st_long_orders*3))
longEntryPrice4 = src_bot * (1 - (st_long_orders*4))
longEntryPrice5 = src_bot * (1 - (st_long_orders*5))
longEntryPrice6 = src_bot * (1 - (st_long_orders*6))
longEntryPrice7 = src_bot * (1 - (st_long_orders*7))
longEntryPrice8 = src_bot * (1 - (st_long_orders*8))
longEntryPrice9 = src_bot * (1 - (st_long_orders*9))
longEntryPrice10 = src_bot * (1 - (st_long_orders*10))
longEntryPrice11 = src_bot * (1 - (st_long_orders*11))
longEntryPrice12 = src_bot * (1 - (st_long_orders*12))
longEntryPrice13 = src_bot * (1 - (st_long_orders*13))
longEntryPrice14 = src_bot * (1 - (st_long_orders*14))
longEntryPrice15 = src_bot * (1 - (st_long_orders*15))
longEntryPrice16 = src_bot * (1 - (st_long_orders*16))
longEntryPrice17 = src_bot * (1 - (st_long_orders*17))
longEntryPrice18 = src_bot * (1 - (st_long_orders*18))
longEntryPrice19 = src_bot * (1 - (st_long_orders*19))

shortEntryPrice1 = src_bot * (1 + st_short_orders)
shortEntryPrice2 = src_bot * (1 + (st_short_orders*2))
shortEntryPrice3 = src_bot * (1 + (st_short_orders*3))
shortEntryPrice4 = src_bot * (1 + (st_short_orders*4))
shortEntryPrice5 = src_bot * (1 + (st_short_orders*5))
shortEntryPrice6 = src_bot * (1 + (st_short_orders*6))
shortEntryPrice7 = src_bot * (1 + (st_short_orders*7))
shortEntryPrice8 = src_bot * (1 + (st_short_orders*8))
shortEntryPrice9 = src_bot * (1 + (st_short_orders*9))
shortEntryPrice10 = src_bot * (1 + (st_short_orders*10))
shortEntryPrice11 = src_bot * (1 + (st_short_orders*11))
shortEntryPrice12 = src_bot * (1 + (st_short_orders*12))
shortEntryPrice13 = src_bot * (1 + (st_short_orders*13))
shortEntryPrice14 = src_bot * (1 + (st_short_orders*14))
shortEntryPrice15 = src_bot * (1 + (st_short_orders*15))
shortEntryPrice16 = src_bot * (1 + (st_short_orders*16))
shortEntryPrice17 = src_bot * (1 + (st_short_orders*17))
shortEntryPrice18 = src_bot * (1 + (st_short_orders*18))
shortEntryPrice19 = src_bot * (1 + (st_short_orders*19))

// take profit price
longExitPrice  = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)

// take profit values for confirmation
plot(series=(strategy.position_size > 0) ? longExitPrice : na,
     color=color.green, style=plot.style_circles,
     linewidth=3, title="Long Take Profit")
plot(series=(strategy.position_size < 0) ? shortExitPrice : na,
     color=color.red, style=plot.style_circles,
     linewidth=3, title="Short Take Profit")


// entry orders

if (strategy.position_size == 0)
    strategy.order(id="Long0", long=true, limit=src_bot, when=longOK and Buy)
	strategy.order(id="Long1", long=true, limit=longEntryPrice1, when=longOK and Buy)
	strategy.order(id="Long2", long=true, limit=longEntryPrice2, when=longOK and Buy)
	strategy.order(id="Long3", long=true, limit=longEntryPrice3, when=longOK and Buy)
	strategy.order(id="Long4", long=true, limit=longEntryPrice4, when=longOK and Buy)
	strategy.order(id="Long5", long=true, limit=longEntryPrice5, when=longOK and Buy)
	strategy.order(id="Long6", long=true, limit=longEntryPrice6, when=longOK and Buy)
	strategy.order(id="Long7", long=true, limit=longEntryPrice7, when=longOK and Buy)
	strategy.order(id="Long8", long=true, limit=longEntryPrice8, when=longOK and Buy)
	strategy.order(id="Long9", long=true, limit=longEntryPrice9, when=longOK and Buy)
	strategy.order(id="Long10", long=true, limit=longEntryPrice10, when=longOK and Buy)
	strategy.order(id="Long11", long=true, limit=longEntryPrice11, when=longOK and Buy)
	strategy.order(id="Long12", long=true, limit=longEntryPrice12, when=longOK and Buy)
	strategy.order(id="Long13", long=true, limit=longEntryPrice13, when=longOK and Buy)
	strategy.order(id="Long14", long=true, limit=longEntryPrice14, when=longOK and Buy)
	strategy.order(id="Long15", long=true, limit=longEntryPrice15, when=longOK and Buy)
	strategy.order(id="Long16", long=true, limit=longEntryPrice16, when=longOK and Buy)
	strategy.order(id="Long17", long=true, limit=longEntryPrice17, when=longOK and Buy)
	strategy.order(id="Long18", long=true, limit=longEntryPrice18, when=longOK and Buy)
	strategy.order(id="Long19", long=true, limit=longEntryPrice19, when=longOK and Buy)

if (strategy.position_size == 0)
    strategy.order(id="Short0", long=false, limit=src_bot, when=shortOK and Sell)
	strategy.order(id="Short1", long=false, limit=shortEntryPrice1, when=shortOK and Sell)
	strategy.order(id="Short2", long=false, limit=shortEntryPrice2, when=shortOK and Sell)
	strategy.order(id="Short3", long=false, limit=shortEntryPrice3, when=shortOK and Sell)
	strategy.order(id="Short4", long=false, limit=shortEntryPrice4, when=shortOK and Sell)
	strategy.order(id="Short5", long=false, limit=shortEntryPrice5, when=shortOK and Sell)
	strategy.order(id="Short6", long=false, limit=shortEntryPrice6, when=shortOK and Sell)
	strategy.order(id="Short7", long=false, limit=shortEntryPrice7, when=shortOK and Sell)
	strategy.order(id="Short8", long=false, limit=shortEntryPrice8, when=shortOK and Sell)
	strategy.order(id="Short9", long=false, limit=shortEntryPrice9, when=shortOK and Sell)
	strategy.order(id="Short10", long=false, limit=shortEntryPrice10, when=shortOK and Sell)
	strategy.order(id="Short11", long=false, limit=shortEntryPrice11, when=shortOK and Sell)
	strategy.order(id="Short12", long=false, limit=shortEntryPrice12, when=shortOK and Sell)
	strategy.order(id="Short13", long=false, limit=shortEntryPrice13, when=shortOK and Sell)
	strategy.order(id="Short14", long=false, limit=shortEntryPrice14, when=shortOK and Sell)
	strategy.order(id="Short15", long=false, limit=shortEntryPrice15, when=shortOK and Sell)
	strategy.order(id="Short16", long=false, limit=shortEntryPrice16, when=shortOK and Sell)
	strategy.order(id="Short17", long=false, limit=shortEntryPrice17, when=shortOK and Sell)
	strategy.order(id="Short18", long=false, limit=shortEntryPrice18, when=shortOK and Sell)
	strategy.order(id="Short19", long=false, limit=shortEntryPrice19, when=shortOK and Sell)

// exit position based on take profit price

if (strategy.position_size > 0)
    strategy.order(id="exit_Long", long=false, limit=longExitPrice, qty=strategy.position_size)

if (strategy.position_size < 0)
    strategy.order(id="exit_Short", long=true, limit=shortExitPrice, qty=abs(strategy.position_size))

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