ChaoZhang
Stochastic RSI交易策略
该策略根据Stochastic RSI指标的交叉信号进行交易。
具体交易规则如下:
当Stochastic RSI上穿30时做多
当Stochastic RSI下穿70时做空
该策略还包括两个附加入场条件:
做多时,9周期SMA必须高于21周期SMA
做空时,9周期SMA必须低于21周期SMA
做多仅在价格低于VWAP时发出信号
做空仅在价格高于VWAP时发出信号
该策略采用止损和止盈进行风险管理:
无论做多做空,止损设置为20ticks
无论做多做空,止盈设置为25ticks
该策略的优势在于利用Stochastic RSI识别超买超卖区域,并加入SMA和VWAP进行过滤,可有效减少错误信号。但该策略较适合趋势行情,在盘整行情中容易被套住。
策略源码
/*backtest
start: 2023-09-03 00:00:00
end: 2023-09-10 00:00:00
period: 1m
basePeriod: 1m
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/
// © thedoggwalker
//@version=4
strategy("Stochastic RSI Strategy", overlay=true)
// Stochastic RSI
length = input(14, title="Length")
src = input(close, title="Source")
smoothK = input(3, title="K")
smoothD = input(3, title="D")
rsiValue = rsi(src, length)
highestRSI = highest(rsiValue, length)
lowestRSI = lowest(rsiValue, length)
k = (rsiValue - lowestRSI) / (highestRSI - lowestRSI) * 100
d = sma(k, smoothD)
// Moving averages
maShort = sma(close, 9)
maLong = sma(close, 21)
// Spread between moving averages
spread = maShort - maLong
// VWAP
vwapValue = vwap(hlc3)
// Entry conditions
longCondition = crossover(k, 30) and spread > 0 and close < vwapValue
shortCondition = crossunder(k, 70) and spread < 0 and close > vwapValue
// Entry orders
if (longCondition)
strategy.entry("Long", strategy.long)
if (shortCondition)
strategy.entry("Short", strategy.short)
// Exit orders
// longStopLoss = close - 20 * syminfo.mintick
// longTakeProfit = close + 25 * syminfo.mintick
// strategy.exit("Exit Long", "Long", stop=longStopLoss, limit=longTakeProfit)
// shortStopLoss = close + 20 * syminfo.mintick
// shortTakeProfit = close - 25 * syminfo.mintick
// strategy.exit("Exit Short", "Short", stop=shortStopLoss, limit=shortTakeProfit)