ChaoZhang
概述
RSI-VWAP量价策略是一种趋势跟随策略。它结合了相对强弱指数(RSI)和成交量加权平均价(VWAP)两个指标,实现在趋势中的多次加仓与止损。该策略适用于中长线趋势交易。
原理
当RSI指标线从超买区回落进入超卖区时,认为趋势反转,做多;当RSI指标线从超卖区上涨进入超买区时,认为趋势反转,做空。
多仓的止损线为最新开仓价的(1-止损比例),止盈线为持仓均价的(1+止盈比例);空仓类似。
每次开仓后,如果再次触发信号,可以进行加仓,加仓次数最多为5次,每次加仓量递增,实现趋势追踪。
优势
结合RSI指标和VWAP指标,可以更好地判断趋势反转点。
采用多次加仓,可以充分利用趋势行情。随着加仓次数的增加,持仓量逐步扩大,实现趋势跟踪。
设置止损线,可以有效控制风险。持仓出现亏损后止损出场,避免亏损进一步扩大。
设置追踪止盈,锁定盈利,避免盈利回吐。
风险
RSI指标存在repaint现象,实际信号触发点可能发生偏差。
VWAP也可能出现repaint。实际的最优入场点只能事后确定。
止损点设置不当可能造成不必要的损失。
止盈点设置不当,可能使盈利无法实现。
趋势判断错误,持续做多(空)可能扩大亏损。
优化
优化RSI参数,寻找最佳长度周期。
优化超买超卖区域,使其更准确判断趋势反转。
测试不同的加仓策略,找到最佳加仓方式。
对止损止盈进行优化,找到最优参数。
尝试结合其它指标判断趋势,提高确定趋势反转的概率。
总结
RSI-VWAP量价策略,运用RSI指标结合VWAP指标判断趋势反转点,设置多次加仓跟踪趋势行情,在盈利达到预设标准时止盈,出现亏损时止损,综合考虑风险控制和盈利保护。通过参数优化,可以获得更好的策略效果。该策略适合有一定经验的交易者进行中长线趋势交易。
策略源码
/*backtest
start: 2023-09-07 00:00:00
end: 2023-10-07 00:00:00
period: 2h
basePeriod: 15m
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/
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//@version=4
// strategy("RSI-VWAP", overlay=true, initial_capital = 1000, currency = "USD", pyramiding = 5, default_qty_type = strategy.cash, default_qty_value = 1000, commission_value = 0.04)
//Uncomment for alerts
//study("RSI-VWAP INDICATOR", overlay=true)
// ================================================================================================================================================================================
// VARIABLES
// ================================================================================================================================================================================
var bool longCondition = na, var bool shortCondition = na, var bool Xlong = na,
var int CondIni_Xlong = 0, var bool XlongCondition = na
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition = 0, var int last_shortCondition = 0
var int last_long_sl = na, var int last_short_sl = na
var bool CondIni_long_sl = 0, var bool CondIni_short_sl = 0
var int nLongs = na, var int nShorts = na, var int pyr = na
var float sum_long = 0.0, var float sum_short = 0.0
var float Position_Price = 0.0, Position_Price := nz(Position_Price[1])
var bool Final_Long_sl = na, var bool Final_Short_sl = na, var bool Act_sl = na, var float sl = na
var int last_long_tp = na, var int last_short_tp = na
var bool CondIni_long_tp = 0, var bool CondIni_short_tp = 0
var float Quantity = na, var float Increase = na
var float sum_qty_l = na, var float sum_qty_s = na
// ================================================================================================================================================================================
// RSI VWAP INDICATOR
// ================================================================================================================================================================================
// Initial inputs
Positions = input("LONG ONLY", "LONG / SHORT", options = ["LONG & SHORT","LONG ONLY"])
Long_only = Positions == "LONG ONLY" ? true : na
Act_RSI_VWAP = input(true, "RSI VOLUME WEIGHTED AVERAGE PRICE")
RSI_VWAP_length = input(17, "RSI-VWAP LENGTH")
RSI_VWAP_overSold = input(19, "RSI-VWAP OVERSOLD", type=input.float)
RSI_VWAP_overBought = input(80, "RSI-VWAP OVERBOUGHT", type=input.float)
// RSI with VWAP as source
RSI_VWAP = rsi(vwap(close), RSI_VWAP_length)
// Plotting, overlay=false
//r=plot(RSI_VWAP, color = RSI_VWAP > RSI_VWAP_overBought ? color.red : RSI_VWAP < RSI_VWAP_overSold ? color.lime : color.teal, title="rsi", linewidth=2, style=plot.style_line)
//h1=plot(RSI_VWAP_overBought, color = color.gray, style=plot.style_stepline)
//h2=plot(RSI_VWAP_overSold, color = color.gray, style=plot.style_stepline)
//fill(r,h1, color = RSI_VWAP > RSI_VWAP_overBought ? color.red : na, transp = 75)
//fill(r,h2, color = RSI_VWAP < RSI_VWAP_overSold ? color.lime : na, transp = 75)
// ================================================================================================================================================================================
// STRATEGY
// ================================================================================================================================================================================
// Long/Short/Xlong Conditions
longCondition := (crossover(RSI_VWAP, RSI_VWAP_overSold)) and (nz(nLongs[1]) < pyr)
shortCondition := (crossunder(RSI_VWAP, RSI_VWAP_overBought)) and (nz(nShorts[1]) < pyr) and not Long_only
Xlong := (crossunder(RSI_VWAP, RSI_VWAP_overBought)) and Long_only
CondIni_Xlong := longCondition ? 1 : Xlong ? -1 : nz(CondIni_Xlong[1])
XlongCondition := Xlong and nz(CondIni_Xlong[1]) == 1
// Get the price of the last opened long or short
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])
// Get the bar time of the last opened long or short
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])
// In long/short conditions
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
// ================================================================================================================================================================================
// PRICE AVERAGE / PYRAMIDING
// ================================================================================================================================================================================
// Pyramiding
pyr := input(5, "PYRAMIDING 🎢")
// Counting long & short iterations
nLongs := nz(nLongs[1])
nShorts := nz(nShorts[1])
// Longs Counter
if longCondition or (Final_Long_sl and not Act_sl)
nLongs := nLongs + 1
nShorts := na
// Shorts Counter
if shortCondition or (Final_Short_sl and not Act_sl)
nLongs := na
nShorts := nShorts + 1
// Quantity Factor
QF_l = Quantity+(Increase*(nLongs-1))
QF_s = Quantity+(Increase*(nShorts-1))
// Price average of your position according to the quantities
if longCondition
sum_long := nz(last_open_longCondition)*QF_l + nz(sum_long[1])
sum_short := 0.0
sum_qty_l := QF_l + nz(sum_qty_l[1])
sum_qty_s := na
if Final_Long_sl and not Act_sl
sum_long := ((1-(sl/100))*last_open_longCondition)*QF_l + nz(sum_long[1])
sum_short := 0.0
sum_qty_l := QF_l + nz(sum_qty_l[1])
sum_qty_s := na
if shortCondition
sum_short := nz(last_open_shortCondition)*QF_s + nz(sum_short[1])
sum_long := 0.0
sum_qty_s := QF_s + nz(sum_qty_s[1])
sum_qty_l := na
if Final_Short_sl and not Act_sl
sum_long := 0.0
sum_short := ((1+(sl/100))*last_open_shortCondition)*QF_s + nz(sum_short[1])
sum_qty_s := QF_s + nz(sum_qty_s[1])
sum_qty_l := na
// Calculating and Plotting the price average
Position_Price := nz(Position_Price[1])
Position_Price := longCondition or (Final_Long_sl and not Act_sl) ? sum_long/(sum_qty_l) : shortCondition or (Final_Short_sl and not Act_sl) ? sum_short/(sum_qty_s) : na
plot(Position_Price[1], title = "Average Price", color = in_longCondition ? color.blue : color.red, linewidth = 2, style = plot.style_cross, transp = 0)
// ================================================================================================================================================================================
// STOP LOSS / RE-ENTRY
// ================================================================================================================================================================================
// SL initial inputs
Act_sl := input(true, "ACTIVATE SL / DEACTIVATE RE-ENTRY")
sl := input(7.5, "STOP LOSS / RE-ENTRY %", type = input.float, minval = 0, step = 0.5)
// Initial SL conditions
long_sl = crossunder(low, (1-(sl/100))*last_open_longCondition) and in_longCondition and not longCondition
short_sl = crossover(high, (1+(sl/100))*last_open_shortCondition) and in_shortCondition and not shortCondition
// Get the time of the last sl
last_long_sl := long_sl ? time : nz(last_long_sl[1])
last_short_sl := short_sl ? time : nz(last_short_sl[1])
// Sl counter
CondIni_long_sl := long_sl ? 1 : longCondition ? -1 : nz(CondIni_long_sl[1])
CondIni_short_sl := short_sl ? 1 : shortCondition ? -1 : nz(CondIni_short_sl[1])
// Final SL conditions
Final_Long_sl := long_sl and nz(CondIni_long_sl[1]) == -1 and in_longCondition and not longCondition
Final_Short_sl := short_sl and nz(CondIni_short_sl[1]) == -1 and in_shortCondition and not shortCondition
// ================================================================================================================================================================================
// TAKE PROFIT
// ================================================================================================================================================================================
// Take Profit input
Act_tp = input(false, "ACTIVATE TAKE PROFIT")
tp = input(10.0, "TAKE PROFIT %", type = input.float, minval = 0, step = 0.5)
// Initial TP conditions
long_tp = crossover(high, (1+(tp/100))*fixnan(Position_Price)) and in_longCondition and not longCondition and not Final_Long_sl and Act_tp
short_tp = crossunder(low, (1-(tp/100))*fixnan(Position_Price)) and in_shortCondition and not shortCondition and not Final_Short_sl and Act_tp
// Get the time of the last tp
last_long_tp := long_tp ? time : nz(last_long_tp[1])
last_short_tp := short_tp ? time : nz(last_short_tp[1])
// Tp signal ordering
CondIni_long_tp := (Final_Long_sl and Act_sl) or XlongCondition ? 1 : longCondition ? -1 : nz(CondIni_long_tp[1])
CondIni_short_tp := Final_Short_sl and Act_sl ? 1 : shortCondition ? -1 : nz(CondIni_short_tp[1])
// Final tp condition
Final_Long_tp = long_tp and last_longCondition > nz(last_long_tp[1]) and nz(CondIni_long_tp[1]) == -1
Final_Short_tp = short_tp and last_shortCondition > nz(last_short_tp[1]) and nz(CondIni_short_tp[1]) == -1
if Final_Long_tp or (Final_Long_sl and Act_sl) or XlongCondition
sum_long := 0.0
nLongs := na
CondIni_long_sl := 1
sum_qty_l := na
if Final_Short_tp or (Final_Short_sl and Act_sl)
sum_short := 0.0
nShorts := na
CondIni_short_sl := 1
sum_qty_s := na
// ================================================================================================================================================================================
// SIGNALS
// ================================================================================================================================================================================
// Longs
// label.new(
// x = longCondition[1] ? time : na,
// y = na,
// text = 'LONG '+tostring(nLongs),
// color = color.blue,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
// // Shorts
// label.new(
// x = shortCondition[1] ? time : na,
// y = na,
// text = 'SHORT '+tostring(nShorts),
// color = color.red,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// // XLongs
// label.new(
// x = XlongCondition[1] ? time : na,
// y = na,
// text = 'XLONG',
// color = color.yellow,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// // Tp on longs
// label.new(
// x = Final_Long_tp ? time : na,
// y = na,
// text = 'TP '+tostring(tp)+'%',
// color = color.orange,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
ltp = iff(Final_Long_tp, (fixnan(Position_Price)*(1+(tp/100))), na), plot(ltp, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Tp on shorts
// label.new(
// x = Final_Short_tp ? time : na,
// y = na,
// text = 'TP '+tostring(tp)+'%',
// color = color.orange,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
stp = iff(Final_Short_tp, (fixnan(Position_Price)*(1-(tp/100))), na), plot(stp, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Sl on Longs
// label.new(
// x = Final_Long_sl ? time : na,
// y = na,
// text = Act_sl ? ('SL '+tostring(sl)+'%') : ('RE '+tostring(sl)+'%'),
// color = color.green,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
// Sl on Longs dot
lsl = iff(Final_Long_sl, (last_open_longCondition*(1-(sl/100))), na), plot(lsl, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Sl on Shorts
// label.new(
// x = Final_Short_sl ? time : na,
// y = na,
// text = Act_sl ? ('SL '+tostring(sl)+'%') : ('RE '+tostring(sl)+'%'),
// color = color.maroon,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// Sl on Shorts dot
ssl = iff(Final_Short_sl, (last_open_shortCondition*(1+(sl/100))), na), plot(ssl, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// ================================================================================================================================================================================
// BACKTEST
// ================================================================================================================================================================================
// Backtest inputs
Act_BT = input(true, "BACKTEST 💹")
Quantity := input(1000, "$ QUANTITY 1ST ENTRY")/close
Increase := input(500, "$ INCREASE NEXT ENTRY")/close
// Backtest Period inputs
testStartYear = input(2019, "BACKTEST START YEAR ⏲️", minval = 1980, maxval = 2222)
testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2222, "BACKTEST STOP YEAR", minval=1980, maxval = 2222)
testStopMonth = input(12, "BACKTEST STOP MONTH", minval=1, maxval=12)
testStopDay = input(31, "BACKTEST STOP DAY", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
// Backtest Condition
testPeriod = true
// Backtest entries
if (Act_BT and not na(RSI_VWAP) and testPeriod)
strategy.entry("Long", strategy.long, qty = QF_l, when = longCondition or (Final_Long_sl and not Act_sl))
strategy.close("Long", when = XlongCondition)
strategy.entry("Short", strategy.short, qty = QF_s, when = (shortCondition or (Final_Short_sl and not Act_sl)))
strategy.exit("XL", "Long", limit = Act_tp ? (fixnan(Position_Price)*(1+(tp/100))) : na, stop = (Act_sl ? (1-(sl/100))*last_open_longCondition : na))
strategy.exit("XS", "Short", limit = Act_tp ? (fixnan(Position_Price)*(1-(tp/100))) : na, stop = (Act_sl ? (1+(sl/100))*last_open_shortCondition : na))
// ================================================================================================================================================================================
// ALERTS
// ================================================================================================================================================================================
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 1, title="Long 1 Alert",
message = "LONG1")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 2, title="Long 2 Alert",
message = "LONG2")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 3, title="Long 3 Alert",
message = "LONG3")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 4, title="Long 4 Alert",
message = "LONG4")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 5, title="Long 5 Alert",
message = "LONG5")
alertcondition(Final_Long_tp or (Final_Long_sl and Act_sl), title="TPL/SLL Alert",
message = "TPL/SLL")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 1, title="Short 1 Alert",
message = "SHORT1")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 2, title="Short 2 Alert",
message = "SHORT2")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 3, title="Short 3 Alert",
message = "SHORT3")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 4, title="Short 4 Alert",
message = "SHORT4")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 5, title="Short 5 Alert",
message = "SHORT5")
alertcondition(Final_Short_tp or (Final_Short_sl and Act_sl), title="TPS/SLS Alert",
message = "TPS/SLS")
// by Xaviz