ChaoZhang
概述
本策略运用RSI指标判断市场趋势,在超买超卖区域发出交易信号,旨在捕捉市场的短线调整走势。它同时结合均线指标和止盈止损逻辑,对交易信号进行过滤,控制风险。
策略原理
计算RSI(14)指标值,设置超买线为67,超卖线为44。
当RSI上穿超买线时,发出卖出信号;当RSI下穿超卖线时,发出买入信号。
叠加均线过滤,只有当收盘价低于昨日均价时,才会在RSI超买发出卖出信号;只有当收盘价高于昨日均价时,才会在RSI超卖发出买入信号。
设置止盈止损逻辑。可选择固定点数止盈止损,或根据RSI值止盈。
优势分析
利用RSI指标判断超买超卖,捕捉短线调整机会。
结合均线进行过滤,避免在趋势行情中进行反向操作。
设置止盈止损,控制单笔损失。
可在趋势反转前夕捕捉反转机会。
风险及解决
RSI具有滞后性,可能出现背离导致虚假信号。解决方法是适当调整参数或与其他指标组合使用。
固定止损点数可能过大或过小。可选择更为灵活的 trailing stop 动态止损。
固定止盈可能过早止盈或止盈点数过小。可考虑根据RSI值或ATR止盈。
无法有效过滤震荡趋势行情,可能导致频繁开仓和损失。可适当调整RSI参数或增加其他过滤条件。
优化方向
测试不同周期参数的RSI指标效果。
调整RSI的参数,测试不同的超买超卖线。
尝试不同类型的移动平均线或其它过滤指标。
测试固定止盈止损与动态止盈止损的效果。
优化止盈止损的值,使之更符合市场波动规律。
新增进场过滤条件,避免震荡行情开仓。
考虑结合多个时间周期进行验证,提高信号质量。
总结
本策略利用RSI指标判断超买超卖状况,结合均线及止盈止损进行双向交易。可在短期内捕捉市场反转机会。经过参数优化和过滤条件补充,可进一步提高策略盈利效果并控制风险。此策略适合对短线变化敏感、追求高频率交易的投资者。
策略源码
/*backtest
start: 2022-09-21 00:00:00
end: 2023-09-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//© профешинил хомячело
//@version = 4
strategy("RSI Strategy Professional Хомячело", overlay=false)
length = input( 14 )
overSold = input( 44 )
overBought = input( 67 )
price = open
rsi = rsi(price, length)
band1 = hline(overSold, "overSold12", color=#C0C0C0)
band0 = hline(overBought, "overBought12", color=#C0C0C0)
plot(rsi, "RSI", color=color.red)
fill(band1, band0, color=color.black, transp=90, title="Background")
src = close
a = sma(src, 1)
aaa = strategy.opentrades + 1
n = input(defval = 0.0576923077, title = "AvgPrice - n")
//n = 0.0576923077
buysignal = crossover(rsi, overSold) and (a < (strategy.position_avg_price - n) or strategy.opentrades == 0)
sellsignal = crossunder(rsi, overBought) and (a > (strategy.position_avg_price + n) or strategy.opentrades == 0)
// crossover(rsi, overSold)
// crossunder(rsi, overBought)
if (not na(rsi))
if(buysignal)
strategy.entry("LONG", strategy.long, comment = tostring(a) + "\n(" + tostring(aaa) + ")")
n += 1000
if(sellsignal)
strategy.entry("SHORT", strategy.short, comment = tostring(a) + "\n(" + tostring(aaa) + ")")
n += 1000
//лонги орні
if(rsi < 15 and strategy.opentrades != 5 and a < (strategy.position_avg_price - n))
strategy.entry("LONG", strategy.long, comment = "ЙОБАНИЙ НАСРАВ ТА БЕРИ ЛОНГ НА ВСЬО ШО Є НАХУЙ\n" + tostring(a) + "\n(" + tostring(aaa) + "!!!)")
if(rsi < 20 and strategy.opentrades != 5 and a < (strategy.position_avg_price - n))
strategy.entry("LONG", strategy.long, comment = "ЛОНГ НА ВСЮ КОТЛЄТУ\n" + tostring(a) + "\n(" + tostring(aaa) + "!!!)")
//шорти орні
if(rsi > 85 and strategy.opentrades != 5 and a < (strategy.position_avg_price - n))
strategy.entry("SHORT", strategy.short, comment = "ЙОБАНИЙ НАСРАВ ТА БЕРИ ШОРТ НА ВСЬО ШО Є НАХУЙ\n" + tostring(a) + "\n(" + tostring(aaa) + "!!!)")
if(rsi > 80 and strategy.opentrades != 5 and a < (strategy.position_avg_price - n))
strategy.entry("SHORT", strategy.short, comment = "ШОРТ НА ВСЮ КОТЛЄТУ\n" + tostring(a) + "\n(" + tostring(aaa) + "!!!)")
//стоп-лосс і ціль
//rsi
rsion = input(defval = false, title = "Тейк-профіт по RSI")
rcl = input(defval = 73.0, title = "RSI тейк по лонгу")
rcs = input(defval = 44.0, title = "RSI тейк по шорту")
possize = input(defval = 250.0, title = "Маржа")
posp = input(defval = 3.0, title = "Плече")
//tick
ut = input(defval = false, title = "Тейк-профіт")
tar = input(defval = 4500.0, title = "Тейк-профіт у тіках")
us = input(defval = false, title = "Стоп-лосс")
stop = input(defval = 0.0, title = "Стоп-лосс у тіках")
tar:=tar/syminfo.mintick
stop:=stop/syminfo.mintick
if(ut==true and us==false)
strategy.exit(id="LX", from_entry = "LONG", profit = tar, comment = "ТейкL")
strategy.exit(id="SX", from_entry = "SHORT", profit = tar, comment = "ТейкS")
if(us==true and ut==false)
strategy.exit(id="LX", from_entry = "LONG", loss = stop, comment = "СтопL")
strategy.exit(id="SX", from_entry = "SHORT", loss = stop, comment = "СтопS")
if(ut==true and us==true)
strategy.exit(id="LX", from_entry = "LONG", profit = tar, loss = stop, comment ="Тейк/СтопL")
strategy.exit(id="SX", from_entry = "SHORT", profit = tar, loss = stop, comment ="Тейк/СтопS")
//закриття по rsi
if(rsion == 1 )
pr = round(((a / strategy.position_avg_price - 1) * possize * posp), 2)
ppr = round(((a / strategy.position_avg_price - 1) * 100 * posp), 2)
spr = round((1 - (a / strategy.position_avg_price)) * possize * posp, 2)
sppr = round((100 - (a / strategy.position_avg_price * 100)) * posp, 2)
if(rsi > rcl)
strategy.close(id="LONG", comment = "LT\n" + tostring(ppr) + "%\n" + tostring(pr) + "$\n" + tostring(a))
if(rsi < rcs)
strategy.close(id="SHORT", comment = "ST\n" + tostring(sppr) + "%\n" + tostring(spr) + "$\n" + tostring(a))