ChaoZhang
本策略融合RSI指标和移动平均线,进行趋势判断和交易信号产生,并采用移动止损止盈方式来锁定利润和控制风险。属于典型的趋势跟踪交易策略。
策略原理:
计算RSI指标,判断超买超卖情况。RSI高于50为多头信号。
计算快慢移动平均线, golden cross 形态为多头信号。
RSI连续上涨也可作为追踪做多的交易信号。
在入场后,设置移动止损线和止盈线。
止损线固定跟踪价格下方,止盈线固定跟踪价格上方。
价格触及止损止盈线则平仓。
该策略的优势:
RSI指标判断超买超卖,避免追高杀跌。
移动平均线识别趋势方向。组合提高判断准确性。
移动止损止盈方式,可根据实时价格变化调整止损位置。
该策略的风险:
RSI指标和均线在震荡行情中易产生错误信号。
移动止损止盈需要谨慎设定幅度,过大过小均有问题。
无法限制单笔亏损大小,有产生大亏损的风险。
总之,该策略汇集RSI和均线指标的优点,并采用移动止损止盈方式进行风险管理。在参数优化和风险控制方面提高,可获得较好效果。
策略源码
/*backtest
start: 2022-09-06 00:00:00
end: 2023-09-12 00:00:00
period: 4d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("RSI and MA Strategy with Trailing Stop Loss and Take Profit",
overlay=true,
initial_capital=1000,
process_orders_on_close=true,
default_qty_type=strategy.percent_of_equity,
default_qty_value=100,
commission_type=strategy.commission.percent,
commission_value=0.1)
showDate = input(defval=true, title='Show Date Range')
timePeriod = time >= timestamp(syminfo.timezone, 2022, 1, 1, 0, 0)
notInTrade = strategy.position_size <= 0
//==================================Buy Conditions============================================
//RSI
length = input(14)
rsi = ta.rsi(close, length)
buyCondition1 = rsi > 50
//MA
SMA9 = ta.sma(close, 9)
SMA50 = ta.sma(close, 50)
SMA100 = ta.sma(close, 100)
plot(SMA9, color = color.green)
plot(SMA50, color = color.orange)
plot(SMA100, color = color.blue)
buyCondition2 = SMA9 > SMA50//ta.crossover(SMA9, SMA100)
//RSI Increase
increase = 5
buyCondition3 = (rsi > rsi[1] + increase)
if (buyCondition1 and buyCondition2 and buyCondition3 and timePeriod) //and buyCondition
strategy.entry("Long", strategy.long)
//==================================Sell Conditions============================================
//Trailing Stop Loss and Take Profit
longTrailPerc = input.float(title='Trail Long Loss (%)', minval=0.0, step=0.1, defval=2) * 0.01
shortTrailPerc = input.float(title='Trail Short Loss (%)', minval=0.0, step=0.1, defval=1) * 0.01
longStopPrice = 0.0
shortStopPrice = 0.0
longStopPrice := if strategy.position_size > 0
stopValue = close * (1 - longTrailPerc)
math.max(stopValue, longStopPrice[1])
else
0
shortStopPrice := if strategy.position_size < 0
stopValue = close * (1 + shortTrailPerc)
math.min(stopValue, shortStopPrice[1])
else
999999
strategy.exit(id="Exit", stop = longStopPrice, limit = shortStopPrice)