ChaoZhang
策略原理
双RSI指标突破策略运用两个相对强弱指数(RSI)指标进行交易,一个快速RSI和一个慢速RSI,两者可以同方向交易。
具体逻辑是:
分别计算快速RSI(例如16周期)和慢速RSI(例如31周期)
当快速RSI低于超卖线(如30)时生成买入信号
当慢速RSI低于超卖线(如30)时也生成买入信号
快速RSI和慢速RSI可以在同一天同时发出买入信号
快速RSI上穿70时平仓
慢速RSI上穿68时平仓
设置回撤止损线
双RSI指标能在超买超卖区域发现较佳机会。快慢速线结合可以实现多级进场,跟踪趋势运行。止损可控制风险。
策略优势
快慢RSI互相验证,减少假信号
多级进场可按次充分跟踪趋势
设置不同的利润取利点和止损点
回撤止损进一步控制风险
策略风险
需反复测试优化RSI参数
双重入场会增大交易风险系数
止损过于接近,可能被震出
总结
双RSI指标策略综合运用双时间轴指标,在控制风险前提下,实现多点进场以跟踪趋势。参数优化和严格止损是关键所在。总体而言,该策略适合追踪中长线方向性行情。
策略源码
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=4
// © HermanBrummer
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
strategy("DUAL RSI", "RSI", 1, pyramiding=2)
/// USES TWO RSI'S BOTH OF THEM CAN TRADE IN THE SAME DIRECTION AT THE SAME TIME -- ONE SLOW RSI, AND ONE FAST RSI
/// BOTH RSI'S HAVE DIFFERENT LENGHTS ONE IS FAST AND HAS A SETTTING OF 16 ONE IS SLOW AND HAS A SETTING OF 31
/// BOTH RSI'S HAVE DIFERENT EXIT PARAMETERS
/// PYRAMIDING ALLOWS THE SYSTEM TO BUY ONE DO ONE SLOW RSI AND ONE FAST RSI BUY ON THE SAME DAY
/// FASTRSI EXITS AT 70 RSI LEVEL
/// SLOW RSI EXITS AT 68 RSI LEVEL
FastRSILen = input( 16 )
SlowRSILen = input( 31 )
overSold = input( 91 )
FastRsi = rsi(ohlc4, FastRSILen)
SlowRsi = rsi(ohlc4, SlowRSILen)
aboveMaFilter = close > sma(close, 200)
StopLossLine = strategy.position_avg_price * .90
plot(StopLossLine, "StopLossLine", #ff0000)
// plot(FastRsi, "FastRsi", color.yellow, 2)
// plot(SlowRsi, "SlowRsi", color.purple, 2)
FastBuy = FastRsi < overSold and aboveMaFilter //and strategy.position_size != 1
SlowBuy = SlowRsi < overSold and aboveMaFilter //and strategy.position_size != 1
// FAST_BUY
strategy.entry("Fast Enter", true, when=FastBuy)
if FastRsi > 70 /// SELLS IF RSI == 75
strategy.close("Fast Enter", comment="Fast Exit")
strategy.exit("Stop Loss", "Fast Enter", stop=StopLossLine)
// // /// SLOW_BUY
strategy.entry("Slow Enter", true, when=SlowBuy)
strategy.exit("Stop Loss", "Slow Enter", stop=StopLossLine)
if SlowRsi > 68 /// SELLS IF RSI == 68
strategy.close("Slow Enter", comment="Slow Exit")