ChaoZhang
概述
本策略名为RSI_OTT-TP/SL。该策略结合了RSI指标和OTT波带来进行交易信号的判断,属于趋势跟踪策略。策略通过RSI指标判定市场趋势方向,并利用OTT波带来定位具体的入场点。策略还允许用户设置止盈止损比例,可以自动止盈止损来锁定利润或者规避损失。
策略原理
此策略使用RSI和OTT两种指标来判断趋势和入场点。
RSI用于判断整体趋势方向。RSI指标可以显示市场是超买还是超卖,RSI上穿设置的超卖区域则为超买信号,下穿超卖区域则为超卖区域。本策略默认RSI长度为6,超买线为50,超卖区域也为50。
OTT波带用于发现入场点。它是在波动率指标VAR的基础上形成的波带。当价格从下向上突破OTT下轨时,为做多信号;当价格从上向下跌破OTT上轨时,为做空信号。
在趋势判断和入场点确认后,本策略会在突破OTT波带时开仓做多或做空。
止盈止损设置了输入框,可以让用户自行设置。当止盈或止损价格触发时,策略会自动平仓。
该策略还允许仅做多、仅做空或者双向交易。
策略优势
结合RSI和OTT波带,可以在趋势判断准确的前提下找到高概率的入场点。
OTT波带利用动量指标,对价格波动具有很强的敏感性,可以提前发现转折点。
策略提供止盈止损功能,可以锁定利润,也可以在亏损扩大前止损出场,有利于风险控制。
代码结构清晰,注释充分,易于理解和修改。
策略参数可以通过界面灵活调整,适应不同市场环境。
策略风险
RSI指标存在滞后问题,可能错过趋势转折点,从而导致不必要的亏损。
OTT波带也可能产生误报信号,建议结合K线形态来验证。
止盈止损设置不当也会影响策略表现,需要针对不同品种调整参数。
策略仅基于单品种回测,实盘中不同品种参数需要单独优化。
回测时间窗口较短,可能无法完整验证策略有效性,建议扩大回测周期。
优化方向
可以考虑加入其他指标进行过滤,例如MACD、KD等,减少入场误报。
可以基于波动率的方法来动态调整止盈止损幅度。
可以研究不同品种的参数优化,制定参数选择标准。
可以尝试机器学习方法来动态优化策略参数。
可以加入量价确认,避免假突破。也可以利用均量指标来判断趋势。
可以考虑以穿越MA作为止损方式,而不是简单的比例止损。
总结
本策略整体来说是一个典型的趋势跟踪策略。它首先通过RSI判断趋势方向,然后利用OTT波带辅助确定具体入场时点,最后设置止盈止损来锁定利润和控制风险。该策略优点是指标组合简单有效,回测表现也较好。但也存在一些问题,如RSI滞后、波带误报等风险。这需要我们在实盘应用时,对参数进行细致优化,还可以加入其他技术指标进行确认,从而提高策略稳定性。如果能持续优化和验证,本策略可以成为一个非常实用的趋势跟踪策略模板。
策略源码
/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 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/
// © BigCoinHunter
//@version=5
strategy(title="RSI_OTT-TP/SL", overlay=true,
pyramiding=0, default_qty_type=strategy.percent_of_equity,
default_qty_value=100, initial_capital=1000,
currency=currency.USD, commission_value=0.05,
commission_type=strategy.commission.percent,
process_orders_on_close=true)
//----------- get the user inputs --------------
//---------- RSI -------------
price = input(close, title="Source")
RSIlength = input.int(defval=6,title="RSI Length")
RSIoverSold = input.int(defval=50, title="RSI OverSold", minval=1)
RSIoverBought = input.int(defval=50, title="RSI OverBought", minval=1)
//------- OTT Bands ----------------
src = close
length=input.int(defval=1, title="OTT Period", minval=1)
percent=input.float(defval=5, title="OTT Percent", step=0.1, minval=0.001)
mav = input.string(title="OTT MA Type", defval="VAR", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])
ottUpperPercent = input.float(title="OTT Upper Line Coeff", defval=0.01, minval = 0.001, step=0.001)
ottLowerPercent = input.float(title="OTT Lower Line Coeff", defval=0.01, minval = 0.001, step=0.001)
Var_Func(src,length)=>
valpha=2/(length+1)
vud1=src>src[1] ? src-src[1] : 0
vdd1=src<src[1] ? src[1]-src : 0
vUD=math.sum(vud1,9)
vDD=math.sum(vdd1,9)
vCMO=nz((vUD-vDD)/(vUD+vDD))
VAR=0.0
VAR:=nz(valpha*math.abs(vCMO)*src)+(1-valpha*math.abs(vCMO))*nz(VAR[1])
VAR=Var_Func(src,length)
Wwma_Func(src,length)=>
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
WWMA=Wwma_Func(src,length)
Zlema_Func(src,length)=>
zxLag = length/2==math.round(length/2) ? length/2 : (length - 1) / 2
zxEMAData = (src + (src - src[zxLag]))
ZLEMA = ta.ema(zxEMAData, length)
ZLEMA=Zlema_Func(src,length)
Tsf_Func(src,length)=>
lrc = ta.linreg(src, length, 0)
lrc1 = ta.linreg(src,length,1)
lrs = (lrc-lrc1)
TSF = ta.linreg(src, length, 0)+lrs
TSF=Tsf_Func(src,length)
getMA(src, length) =>
ma = 0.0
if mav == "SMA"
ma := ta.sma(src, length)
ma
if mav == "EMA"
ma := ta.ema(src, length)
ma
if mav == "WMA"
ma := ta.wma(src, length)
ma
if mav == "TMA"
ma := ta.sma(ta.sma(src, math.ceil(length / 2)), math.floor(length / 2) + 1)
ma
if mav == "VAR"
ma := VAR
ma
if mav == "WWMA"
ma := WWMA
ma
if mav == "ZLEMA"
ma := ZLEMA
ma
if mav == "TSF"
ma := TSF
ma
ma
MAvg=getMA(src, length)
fark=MAvg*percent*0.01
longStop = MAvg - fark
longStopPrev = nz(longStop[1], longStop)
longStop := MAvg > longStopPrev ? math.max(longStop, longStopPrev) : longStop
shortStop = MAvg + fark
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := MAvg < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir
MT = dir==1 ? longStop: shortStop
OTT=MAvg>MT ? MT*(200+percent)/200 : MT*(200-percent)/200
light_green=#08ff12
light_red=#fe0808
OTTupper = nz(OTT[2])*(1+ottUpperPercent)
OTTlower = nz(OTT[2])*(1-ottLowerPercent)
p1 = plot(OTTupper, color=light_green, linewidth=1, title="OTT UPPER")
p2 = plot(nz(OTT[2]), color=color.new(color.yellow,0), linewidth=1, title="OTT MIDDLE")
p3 = plot(OTTlower, color=light_red, linewidth=1, title="OTT LOWER")
fill(plot1=p1, plot2=p3, title="OTT Background", color=color.new(color.aqua,90), fillgaps=false, editable=true)
buyEntry = ta.crossover(src, OTTlower)
sellEntry = ta.crossunder(src, OTTupper)
//---------- input TP/SL ---------------
tp = input.float(title="Take Profit:", defval=0.0, minval=0.0, maxval=100.0, step=0.1) * 0.01
sl = input.float(title="Stop Loss: ", defval=0.0, minval=0.0, maxval=100.0, step=0.1) * 0.01
isEntryLong = input.bool(defval=true, title= 'Long Entry', inline="11")
isEntryShort = input.bool(defval=true, title='Short Entry', inline="11")
//---------- backtest range setup ------------
fromDay = input.int(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input.int(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input.int(defval = 2021, title = "From Year", minval = 2010)
toDay = input.int(defval = 30, title = "To Day", minval = 1, maxval = 31)
toMonth = input.int(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input.int(defval = 2022, title = "To Year", minval = 2010)
//------------ time interval setup -----------
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(toYear, toMonth, toDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
//------- define the global variables ------
var bool long = true
var bool stoppedOutLong = false
var bool stoppedOutShort = false
//--------- Colors ---------------
//TrendColor = RSIoverBought and (price[1] > BBupper and price < BBupper) and BBbasis < BBbasis[1] ? color.red : RSIoverSold and (price[1] < BBlower and price > BBlower) and BBbasis > BBbasis[1] ? color.green : na
//bgcolor(switch2?(color.new(TrendColor,50)):na)
//--------- calculate the input/output points -----------
longProfitPrice = strategy.position_avg_price * (1 + tp) // tp -> take profit percentage
longStopPrice = strategy.position_avg_price * (1 - sl) // sl -> stop loss percentage
shortProfitPrice = strategy.position_avg_price * (1 - tp)
shortStopPrice = strategy.position_avg_price * (1 + sl)
//---------- RSI + Bollinger Bands Strategy -------------
vrsi = ta.rsi(price, RSIlength)
rsiCrossOver = ta.crossover(vrsi, RSIoverSold)
rsiCrossUnder = ta.crossunder(vrsi, RSIoverBought)
OTTCrossOver = ta.crossover(src, OTTlower)
OTTCrossUnder = ta.crossunder(src, OTTupper)
if (not na(vrsi))
if rsiCrossOver and OTTCrossOver
long := true
if rsiCrossUnder and OTTCrossUnder
long := false
//------- define the global variables ------
buySignall = false
sellSignall = false
//------------------- determine buy and sell points ---------------------
buySignall := window() and long and (not stoppedOutLong)
sellSignall := window() and (not long) and (not stoppedOutShort)
//---------- execute the strategy -----------------
if(isEntryLong and isEntryShort)
if long
strategy.entry("LONG", strategy.long, when = buySignall, comment = "ENTER LONG")
stoppedOutLong := true
stoppedOutShort := false
else
strategy.entry("SHORT", strategy.short, when = sellSignall, comment = "ENTER SHORT")
stoppedOutLong := false
stoppedOutShort := true
else if(isEntryLong)
strategy.entry("LONG", strategy.long, when = buySignall)
strategy.close("LONG", when = sellSignall)
if long
stoppedOutLong := true
else
stoppedOutLong := false
else if(isEntryShort)
strategy.entry("SHORT", strategy.short, when = sellSignall)
strategy.close("SHORT", when = buySignall)
if not long
stoppedOutShort := true
else
stoppedOutShort := false
//----------------- take profit and stop loss -----------------
if(tp>0.0 and sl>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", limit=longProfitPrice, stop=longStopPrice, comment="Long TP/SL Trigger")
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", limit=shortProfitPrice, stop=shortStopPrice, comment="Short TP/SL Trigger")
else if(tp>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", limit=longProfitPrice, comment="Long TP Trigger")
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", limit=shortProfitPrice, comment="Short TP Trigger")
else if(sl>0.0)
if ( strategy.position_size > 0 )
strategy.exit(id="LONG", stop=longStopPrice, comment="Long SL Trigger")
else if ( strategy.position_size < 0 )
strategy.exit(id="SHORT", stop=shortStopPrice, comment="Short SL Trigger")