ChaoZhang
概述
RSI动量反转策略通过结合RSI指标和K线实体方向,识别超买超卖现象,进行反转交易。该策略同时使用常规RSI和快速RSI,并配合K线实体过滤,可以有效识别反转机会。
策略原理
该策略主要通过以下几个部分实现:
Connors RSI指标
计算常规RSI、RSI胜率指标、RSI巴黎沙尔指标,取三者平均作为Connors RSI。
快速RSI指标
使用价格变动计算快速RSI,反映超短线循环。
K线实体过滤
需实体阳线做多,阴线做空,防止假突破。
多空条件
Connors RSI低于20时,快速RSI低于25时,实体阳线出现,做多。
Connors RSI高于80时,快速RSI高于75时,实体阴线出现,做空。
止损退出
实体转向时止损退出。
通过Connors RSI判断长线趋势反转点,快速RSI判断短线反转点,K线实体确保突破效力,这样可以有效发现反转机会,在超买超卖都及时开仓做反向操作。
优势分析
该策略具有以下优势:
结合长短线指标
Connors RSI反映长线循环,快速RSI反映短线循环,二者结合可以更准确判断反转点。
实体过滤
仅在实体突破时操作,可以减少假突破带来的亏损。
参数可调
RSI参数、交易品种、交易时间段都可以自由调整,适应不同市场。
简单直观
RSI和K线实体都是基础指标,策略逻辑简单易懂。
容易实施
仅使用内置指标,代码量少,实施难度低。
风险分析
该策略面临以下主要风险:
反转失败风险
反转信号发出后价格继续原趋势运行,导致亏损。
震荡行情风险
震荡行情中反复触发信号,造成过多无效交易。
突破假突破风险
实体过滤并不能完全避免突破假突破的情况。
参数设定风险
RSI参数设定不当,可能错过交易机会或造成多次无效交易。
特殊行情风险
特殊行情中RSI指标失效,产生错误信号。
优化方向
该策略可以从以下几个方面进行优化:
增加止损机制
优化止损策略,让止损更为合理,减少单笔损失。
集成多个指标
增加MACD、KD等指标过滤,使信号更可靠。
增加概率过滤
结合趋势、支撑阻力等判断概率,避免低概率交易。
优化参数设置
针对不同交易品种、周期进行参数测试,找到最优参数。
规避特殊行情
识别特殊行情,暂停交易,避免巨大亏损。
总结
RSI动量反转策略通过Connors RSI和快速RSI判断长短线反转,配合K线实体过滤增加信号有效性。该策略具有指标组合、参数调节灵活等优势,可以捕捉反转机会,在超买超卖时及时介入交易。但该策略也存在一定的反转失败、突破假突破等风险,需要进一步优化止损、指标组合等方面,以减少风险提高盈利能力。
策略源码
/*backtest
start: 2023-10-07 00:00:00
end: 2023-11-06 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=2
strategy(title = "Noro's Connors RSI Strategy v1.0", shorttitle = "CRSI str 1.0", overlay = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 10)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usemar = input(false, defval = false, title = "Use Martingale")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
usecrsi = input(true, defval = true, title = "Use CRSI Strategy")
usefrsi = input(true, defval = true, title = "Use FRSI Strategy")
usemod = input(true, defval = true, title = "CRSI+FRSI Mode")
limit = input(25, defval = 25, minval = 1, maxval = 100, title = "RSI limit")
usebod = input(true, defval = true, title = "Use Body-filter")
usecol = input(true, defval = true, title = "Use Color-filter")
fromyear = input(1900, defval = 1900, 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")
//CRSI
rsilen = 3
streaklen = 2
lookback = 100
rsi = rsi(close,rsilen)
upday = close > close[1] ? 1 : 0
downday = close < close[1] ? -1 : 0
upstreak = upday!=0 ? upstreak[1] + upday : 0
downstreak = downday!=0 ? downstreak[1] + downday : 0
streak = upstreak + downstreak
streakrsi = rsi(streak,streaklen)
roc = close/close[1] - 1
roccount = 0
for i=1 to lookback-1
roccount := roc[i]<roc ? roccount + 1 : roccount
crsi = (rsi + streakrsi + roccount) / 3
//Oscilator
// rsiplot = plot(crsi, title="RSI", style=line, linewidth=1, color=blue)
// band1 = hline(80, title="Upper Line", linestyle=dashed, linewidth=1, color=red)
// band0 = hline(20, title="Lower Line", linestyle=dashed, linewidth=1, color=green)
// fill(band1, band0, color=purple, transp=90)
//Fast RSI
fastup = rma(max(change(close), 0), 7)
fastdown = rma(-min(change(close), 0), 7)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))
//Body Filter
nbody = abs(close - open)
abody = sma(nbody, 10)
body = nbody > abody / 3 or usebod == false
//Color Filter
bar = close > open ? 1 : close < open ? -1 : 0
gbar = bar == 1 or usecol == false
rbar = bar == -1 or usecol == false
//Signals
up1 = rbar and (strategy.position_size == 0 or close < strategy.position_avg_price) and crsi < limit and body and usecrsi
dn1 = gbar and (strategy.position_size == 0 or close > strategy.position_avg_price) and crsi > 100 - limit and body and usecrsi
up2 = rbar and (strategy.position_size == 0 or close < strategy.position_avg_price) and fastrsi < limit and body and usefrsi
dn2 = gbar and (strategy.position_size == 0 or close > strategy.position_avg_price) and fastrsi > 100 - limit and body and usefrsi
exit = ((strategy.position_size > 0 and bar == 1) or (strategy.position_size < 0 and bar == -1)) and body
//Trading
profit = exit ? ((strategy.position_size > 0 and close > strategy.position_avg_price) or (strategy.position_size < 0 and close < strategy.position_avg_price)) ? 1 : -1 : profit[1]
mult = usemar ? exit ? profit == -1 ? mult[1] * 2 : 1 : mult[1] : 1
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 * mult : lot[1]
if ((up1 or up2) and usemod == false) or (up1 and up2 and usemod)
if strategy.position_size < 0
strategy.close_all()
strategy.entry("Long", strategy.long, needlong == false ? 0 : lot)
if ((dn1 or dn2) and usemod == false) or (dn1 and dn2 and usemod)
if strategy.position_size > 0
strategy.close_all()
strategy.entry("Short", strategy.short, needshort == false ? 0 : lot)
if exit
strategy.close_all()