ChaoZhang
本策略名称为“融合MACD和RSI的短线交易策略”。该策略综合运用MACD和RSI两个指标的信号,对短线周期内的市场变动进行捕捉,以获利。
MACD即指数平滑移动平均线。它由快线、慢线和柱状差离线组成。当快线上穿慢线时,代表短期价格变动的动能开始增强,产生买入信号;当快线下穿慢线时,动能衰减,产生卖出信号。
RSI即相对强弱指标。它反映价格的超买超卖情况。RSI低于20时为超卖,高于80时为超买。超买区是价格下跌的预警;超卖区是价格反弹的预警。
本策略的交易信号来源于两部分:
第一,MACD快慢线交叉和差离柱变化。当差离柱从负向正转折,说明价格短期内存在增长动能,可以买入。当差离柱从正向负转折,说明动能减弱,应卖出。
第二,RSI的超买超卖。结合RSI可以过滤部分MACD产生的假信号。只在RSI低位时买入,RSI高位时卖出,可以提高成功率。
本策略的优势是综合两种指标优势,提高了交易信号准确性。及时捕捉短期变动,具有灵敏度。但MACD和RSI参数需要优化,避免过度交易。止损点位也需要设定合理,控制单笔交易亏损。
总之,本策略适用于短线周期的机动交易,能够抓住市场短期反转带来的获利机会。但需要积极的风险管理措施辅助,并密切跟踪市场走势,以便及时调整策略参数。
策略源码
/*backtest
start: 2022-09-06 00:00:00
end: 2023-09-12 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Uraynium V3", overlay=false, pyramiding = 0, calc_on_every_tick=true, precision=1, currency="USD", default_qty_value=10, default_qty_type=strategy.cash,initial_capital=100,commission_type=strategy.commission.percent,commission_value=0.1)
// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2019, title = "From Year", minval = 2017)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 2020, title = "To Year", minval = 2017)
// === FUNCTION EXAMPLE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
inTimeframe() => true
overSold = input( 20 , minval = 1, title = "RSI Oversold")
overBought = input( 80 , minval = 1, title = "RSI Overbought")
rsiLength = input(14, minval = 1, title = "RSI Length")
fastLength = input(12, minval = 1, title = "MACD fast")
slowlength = input(26, minval = 1, title = "MACD slow")
MACDLength = input( 9, minval = 1, title = "MACD length")
stopLoss = input( 10, minval = 1, title = "Stop Loss (price %)")
takeProfit = input( 50, minval = 1, title = "Take Profit (price %)")
triggerPosLvl = input( 2, minval = 1 ,title ="Take Position Threshold", type=input.float)
src = close
// === CALC ===
stopLossValue = close*(stopLoss/100)/syminfo.mintick
takeProfitValue = close*(takeProfit/100)/syminfo.mintick
vrsi = rsi(src, rsiLength)
//avgRSI = vrsi*0.5 + vrsi[1]*0.25 + vrsi[2]*0.125 + vrsi[3]*0.0625
avgRSI = (4*vrsi + 3*vrsi + 2*vrsi[2] + vrsi[3])/10
[macdLine, signalLine, histLine] = macd(src, fastLength, slowlength, MACDLength)
MACDdelta = signalLine - macdLine
isMACDRunLong = signalLine > macdLine
isMACDRunShort = macdLine < signalLine
isMACDSwitchLong = crossover(MACDdelta, 0)
isMACDSwitchShort = crossunder(MACDdelta, 0)
isMACDCross = crossover(MACDdelta, 0) or crossunder(MACDdelta, 0)
buySignal = (histLine-histLine[1]) + (avgRSI - avgRSI[1])
// === ACTION ===
isPosLong = strategy.position_size > 0
isPosShort = strategy.position_size < 0
isNoMarginPos= strategy.position_size == 0
entryLong = (isNoMarginPos or isPosShort) and ( buySignal > triggerPosLvl )
entryShort = (isNoMarginPos or isPosLong ) and ( buySignal < -triggerPosLvl )
if inTimeframe()
strategy.entry("Long" , strategy.long, comment="Entry Long", when=entryLong )
strategy.entry("Short", strategy.short, comment="Entry Short", when=entryShort)
strategy.entry("Long" , strategy.long, comment="Switch Long", when=entryLong)
strategy.entry("Short", strategy.short, comment="Switch Short",when=entryShort)
strategy.exit("Stop (long SL/TP)", loss=stopLossValue, profit=takeProfitValue, when=entryLong )
strategy.exit("Stop (short SL/TP)", loss=stopLossValue, profit=takeProfitValue, when=entryShort)
strategy.close("Long" , when=entryShort)
strategy.close("Short", when=entryLong)
// === DRAW ===
posColor = isNoMarginPos ? color.black : isPosLong ? color.green : color.red
plot(100, color=posColor,style=plot.style_area, transp=90, histbase=0)
plot(buySignal+overBought, color=color.green)
plot(50+macdLine/4, color=color.yellow)
plot(50+signalLine/4, color=color.orange)
histColor = histLine[1]-histLine > 0 ? color.red : color.green
plot(overSold+histLine/2, color=histColor, style=plot.style_histogram, histbase=overSold, transp=50, linewidth=2)
rsicolor = avgRSI>overBought ? color.red : avgRSI<overSold ? color.green : color.blue
plot(avgRSI,color=rsicolor, linewidth=2)
//plot(vrsi,color=color.purple, linewidth=2)
hline(overBought, color=color.red)
hline(overSold, color=color.green)
hline(50, color=color.gray)