ChaoZhang
概述
该策略基于RSI指标和蜡烛实体的EMA实现快速突破操作。它利用RSI的快速形态和大型蜡烛实体来识别反转信号。
策略原理
计算RSI指标,周期7,用RMA实现加速形态。
计算蜡烛实体大小的EMA,周期30,作为实体大小基准。
如果RSI上穿限值线(默认30),并且当前K线实体大于平均实体大小的1/4,做多。
如果RSI下穿限值线(默认70),并且当前K线实体大于平均实体大小的1/4,做空。
如果已经持仓,RSI重新回穿限值线时平仓。
可以设置RSI长度、限值、参考价格等参数。
可以设置实体大小EMA周期、开仓 chroot倍数等参数。
可以设置RSI金叉/死叉的根数。
优势分析
利用RSI指标的反转属性,能及时捕捉反转信号。
RMA实现RSI的加速形态,使反转更加敏感。
结合大型K线实体过滤,避免被小范围震荡套利。
回测数据充足,可靠性较高。
可自定义参数,适应不同市场环境。
交易逻辑清晰简单。
风险分析
RSI指标存在回测偏差,实盘效果待验证。
大型K线实体无法完全过滤充分震荡市场。
默认参数可能不适合所有品种,需要优化。
胜率可能不高,需要承受连续止损的心理压力。
突破失败的风险,需要及时止损。
优化方向
优化RSI参数,适应不同周期及品种。
优化K线实体EMA周期,平滑实体大小。
优化开仓的实体倍数,控制入场频率。
增加移动止损,保证胜率。
增加趋势过滤,避免逆势交易。
优化资金管理策略,控制单笔风险。
总结
该策略整体来说是一个非常简单直接的反转策略。它同时利用RSI指标的反转属性和大型K线实体的破坏力,在市场突破时快速入场。虽然回测效果不错,但实盘效果还有待验证,使用时需要注意优化参数并控制风险。整体来说,该策略具有非常高的价值,是可以在实盘中应用并持续优化的非常好的策略之一。
策略源码
/*backtest
start: 2023-09-23 00:00:00
end: 2023-10-23 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title = "Noro's Fast RSI Strategy v1.2", shorttitle = "Fast RSI str 1.2", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 5)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
rsiperiod = input(7, defval = 7, minval = 2, maxval = 50, title = "RSI Period")
limit = input(30, defval = 30, minval = 1, maxval = 100, title = "RSI limit")
rsisrc = input(close, defval = close, title = "RSI Price")
rb = input(1, defval = 1, minval = 1, maxval = 5, title = "RSI Bars")
fromyear = input(2018, defval = 2018, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Fast RSI
fastup = rma(max(change(rsisrc), 0), rsiperiod)
fastdown = rma(-min(change(rsisrc), 0), rsiperiod)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))
uplimit = 100 - limit
dnlimit = limit
//RSI Bars
ur = fastrsi > uplimit
dr = fastrsi < dnlimit
uprsi = rb == 1 and ur ? 1 : rb == 2 and ur and ur[1] ? 1 : rb == 3 and ur and ur[1] and ur[2] ? 1 : rb == 4 and ur and ur[1] and ur[2] and ur[3] ? 1 : rb == 5 and ur and ur[1] and ur[2] and ur[3] and ur[4] ? 1 : 0
dnrsi = rb == 1 and dr ? 1 : rb == 2 and dr and dr[1] ? 1 : rb == 3 and dr and dr[1] and dr[2] ? 1 : rb == 4 and dr and dr[1] and dr[2] and dr[3] ? 1 : rb == 5 and dr and dr[1] and dr[2] and dr[3] and dr[4] ? 1 : 0
//Body
body = abs(close - open)
emabody = ema(body, 30)
//Signals
bar = close > open ? 1 : close < open ? -1 : 0
up = bar == -1 and (strategy.position_size == 0 or close < strategy.position_avg_price) and dnrsi and body > emabody / 4
dn = bar == 1 and (strategy.position_size == 0 or close > strategy.position_avg_price) and uprsi and body > emabody / 4
exit = ((strategy.position_size > 0 and fastrsi > dnlimit and bar == 1) or (strategy.position_size < 0 and fastrsi < uplimit and bar == -1)) and body > emabody / 2
//Trading
if up
strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if dn
strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if time > timestamp(toyear, tomonth, today, 00, 00) or exit
strategy.close_all()