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CCI + EMA với Chiến lược chéo RSI

Tác giả:ChaoZhang, Ngày: 2022-05-09 16:55:22
Tags:CCIRSIEMA

Chiến lược này sử dụng CCI + 2 RSI + 2 EMA để tạo ra tín hiệu giao dịch. Các giao dịch chỉ được thực hiện trong phiên giao dịch bình thường và tất cả các giao dịch mở được đóng 15 phút trước khi kết thúc phiên hiện tại.

Không phải lời khuyên giao dịch, sử dụng với rủi ro của riêng bạn.

backtest

img

/*backtest
start: 2022-01-01 00:00:00
end: 2022-05-07 23:59:00
period: 1h
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/
// © rwestbrookjr

//@version=5
strategy("CCI + EMA with RSI Cross Strategy", overlay=true, margin_long=100, margin_short=100, process_orders_on_close=true)

//EMA
fastLen = input(title='Fast EMA Length', defval=9, group='EMA Settings')
slowLen = input(title='Slow EMA Length', defval=20, group='EMA Settings')

fastEMA = ta.ema(close, fastLen)
slowEMA = ta.ema(close, slowLen)

fema = plot(fastEMA, title='FastEMA', color=color.new(color.green, 0), linewidth=1, style=plot.style_line)
sema = plot(slowEMA, title='SlowEMA', color=color.new(color.red, 0), linewidth=1, style=plot.style_line)

//fill(fema, sema, color=fastEMA > slowEMA ? color.new(#417505, 50) : color.new(#890101, 50), title='Cloud')

// Bull and Bear Alerts
//Bull = ta.crossover(fastEMA, slowEMA)
Bull = fastEMA > slowEMA
//Bear = ta.crossunder(fastEMA, slowEMA)
Bear = fastEMA < slowEMA

//RSIs
rsiLength1Input = input.int(9, minval=1, title="Fast RSI Length", group="RSI Settings")
rsiSource1Input = input.source(close, "Fast RSI Source", group="RSI Settings")
rsiLength2Input = input.int(20, minval=1, title="Slow RSI Length", group="RSI Settings")
rsiSource2Input = input.source(close, "Slow RSI Source", group="RSI Settings")

up1 = ta.rma(math.max(ta.change(rsiSource1Input), 0), rsiLength1Input)
down1 = ta.rma(-math.min(ta.change(rsiSource1Input), 0), rsiLength1Input)
rsi = down1 == 0 ? 100 : up1 == 0 ? 0 : 100 - (100 / (1 + up1 / down1))
up2 = ta.rma(math.max(ta.change(rsiSource2Input), 0), rsiLength2Input)
down2 = ta.rma(-math.min(ta.change(rsiSource2Input), 0), rsiLength2Input)
rsi2 = down2 == 0 ? 100 : up2 == 0 ? 0 : 100 - (100 / (1 + up2 / down2))
rsiBull = rsi > rsi2 and rsi > rsi[1]
rsiBear = rsi < rsi2 and rsi < rsi[1]

//CCI
cciLength = input.int(title='CCI Length', group='CCI Settings', defval=20, minval=1)
src = input(hlc3, title='CCI Source', group='CCI Settings')
ma = ta.sma(src, cciLength)
cci = (src - ma) / (0.015 * ta.dev(src, cciLength))
cciCut = input.int(title = 'CCI Cutoff', group='CCI Settings', defval = 50)
cciBull = cci > cciCut
cciBear = cci < cciCut * -1

//Trail Stop Setup
trstp = input.float(title="Trail Loss ($)", group='Stop Settings', minval = 0.0, step = 0.01, defval = 0.67)

longStop = 0.0, shortStop = 0.0

longStop := if Bull or strategy.position_size > 0
    stopValue = slowEMA - trstp
    math.max(stopValue, longStop[1])
else
    0.0

shortStop := if Bear or strategy.position_size < 0
    stopValue = slowEMA + trstp
    math.min(stopValue, shortStop[1])
else
    999999
    
//plotshape(title='Short Stop', series=shortStop != 999999 and strategy.opentrades > 0 and strategy.position_size < 0 ? shortStop : na, style=shape.cross, color=color.yellow, location=location.absolute)
//plotshape(title='Long Stop', series=longStop != 0.0 and strategy.opentrades > 0 and strategy.position_size > 0 ? longStop : na,style=shape.cross, color=color.yellow, location=location.absolute)

//Session Setup
//open_session=input.session(title='Session',group='Session Settings', defval="0930-1545")
//session = time("1", open_session)
//validSession=(na(session) ? 0 : 1)

//Trade Signals
//longCondition = Bull and cci > cciCut and ta.crossover(rsi,rsi2) and validSession
longCondition = cciBull and ta.crossover(rsi,rsi2) and close > slowEMA
//longCondition = cciBull and ta.crossover(rsi,rsi2) and Bull and validSession
if (longCondition)
    strategy.entry("Long", strategy.long)
    
//longExit = close > strategy.opentrades.entry_price(0) + 1.5 or close < strategy.opentrades.entry_price(0) - 0.75
longExit = close < longStop
//longExit = ta.crossunder(low,longStop) or not validSession
if (longExit)
    strategy.close("Long")

//shortCondition = Bear and cci < (cciCut*-1) and ta.crossunder(rsi,rsi2) and validSession
shortCondition = cciBear and ta.crossunder(rsi,rsi2) and close < slowEMA
//shortCondition = cciBear and ta.crossunder(rsi,rsi2) and Bear and validSession
if (shortCondition)
    strategy.entry("Short", strategy.short)

//shortExit = close < strategy.opentrades.entry_price(0) - 1.5 or close > strategy.opentrades.entry_price(0) + 0.75
shortExit = close > shortStop
//shortExit = ta.crossover(high, shortStop) or not validSession
if (shortExit)
    strategy.close("Short")
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