双均线策略与相对强弱RSI指标组合

RSI 均线 My语言
创建日期: 2018-11-30 18:33:15 最后修改: 2019-08-20 10:29:50
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  • 策略名称:双均线策略与相对强弱RSI指标组合
  • 数据周期:15M,30M等
  • 支持:商品期货、数字货币
  • 官方网站:www.quantinfo.com

双均线策略与相对强弱RSI指标组合

  • 主图: 均线1,公式:MA1^^EMA(C,N1); 均线2,公式:MA2^^EMA(C,N2);

  • 副图: RSI,公式:RSIVALUE:SMA(MAX(CLOSE-REF(CLOSE,1),0),LENGTH,1)/SMA(ABS(CLOSE-REF(CLOSE,1)),LENGTH,1)*100;

策略源码
(*backtest
start: 2018-11-05 00:00:00
end: 2018-12-05 00:00:00
period: 15m
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["ContractType","this_week",126961]]
*)

MA1^^EMA(C,N1);
MA2^^EMA(C,N2);

LENGTH:=9;
OVERBOUGHT:=70;
OVERSOLD:=100-OVERBOUGHT;
RSIVALUE:SMA(MAX(CLOSE-REF(CLOSE,1),0),LENGTH,1)/SMA(ABS(CLOSE-REF(CLOSE,1)),LENGTH,1)*100;
BUYK:=BKVOL=0 AND BARPOS>N2 AND MA1>MA2 AND C>MAX(MA1,MA2) AND CROSSUP(RSIVALUE,OVERBOUGHT);
SELLK:=SKVOL=0 AND BARPOS>N2 AND MA1<MA2 AND C<MIN(MA1,MA2) AND CROSSDOWN(RSIVALUE,OVERSOLD);
SELLY:=MA1<MA2 AND C>BKPRICE*(1+SLOSS*0.01);
BUYY:=MA1>MA2 AND C<SKPRICE*(1-SLOSS*0.01);
SELLS:=C<BKPRICE*(1-SLOSS*0.01);
BUYS:=C>SKPRICE*(1+SLOSS*0.01);

BUYK,BK;
SELLK,SK;
SELLY,SP(BKVOL);
BUYY,BP(SKVOL);
SELLS,SP(BKVOL);
BUYS,BP(SKVOL);
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