This strategy is a trend following strategy based on the dual cross reversal principle of the RSI indicator. It uses crossovers between RSI lines of different periods as buy and sell signals, while also incorporating RSI indicator judgments on whether the current situation is overbought or oversold to further confirm the validity of trading signals.
The strategy is mainly based on the 5-day and 11-day two RSI indicator lines. When the faster RSI (5-day line) breaks through the slower RSI (11-day line) upward while the 6-day RSI is below 30 at the same time, a buy signal is generated; When the faster RSI breaks through the slower RSI downward while the 6-day RSI is above 70 at the same time, a sell signal is generated.
The strategy also draws 30 and 70 horizontal lines, with 30 representing the oversold area and 70 representing the overbought area. The basic idea of the RSI indicator is that when in the overbought/oversold area, it means the asset is over/under valued and one should consider taking profit/buying opportunities. Therefore, the strategy incorporates judgments on the 6-day RSI to see if it is in the OBOS region to filter out some false signals and improve reliability.
When buy and sell signals are generated, the strategy will place long and short orders accordingly. So it is a dual directional trading strategy that can track both uptrends and downtrends.
Dual cross signals lag and may miss some ups and downs
Solution: Shorten faster RSI period parameter to make signals more sensitive
More false signals may occur in trending markets
Solution: Adjust OBOS parameter to avoid false signals in trends
Divergence or failure probabilities of RSI indicator
Solution: Combine with other indicators to avoid sole failure probability
Period parameter optimization: Adjust faster and slower RSI periods, find best combination
OBOS parameter optimization: Adjust OBOS parameters to improve signal accuracy
Combine with other indicators: Incorporate MA, volatility indicators etc to form comprehensive system
This strategy is a reliable trend following strategy based on the RSI dual cross reversal logic. Its multi-period RSI design can avoid certain false signals and thus has good practical results. Through parameter optimization and indicator combinations, the strategy has potential for even better performance. In summary, the strategy has clear logic and strong practicality, and is worth key attention and further optimization.
/*backtest start: 2022-11-15 00:00:00 end: 2023-11-21 00:00:00 period: 1d basePeriod: 1h 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/ // © email_analysts // This code gives indication on the chart to go long or short based on RSI crossover strategy. //Default value has been taken as 5 and 11, with 6 being used to identify highs & lows. //@version=4 strategy("RSITrendStrategy", overlay=false) len1 = input(title="MA 1", defval = 5) len2 = input(title="MA 1", defval = 11) len3 = input(title="MA 1", defval = 6) h1 = hline(30.) h2 = hline(70.) ///fill(h1, h2, color = color.new(color.blue, 80)) sh = rsi(close, len1) ln = rsi(close, len2) rs = rsi(close, len3) p1 = plot(sh, color = color.red) p2 = plot(ln, color = color.green) p3 = plot(rs, color = color.white) mycol = sh > ln ? color.lime : color.red fill(p1, p2, color = mycol) buy = (sh[1] < ln[1] and sh > ln and rs[1] < 30) if (buy) strategy.entry("long", strategy.long) sell = (sh[1] > ln[1] and sh < ln and rs[1] > 70) if (sell) strategy.entry("short", strategy.short)