多因子RSI反转策略

/*backtest
start: 2022-12-05 00:00:00
end: 2023-03-24 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/
//@version=4

strategy(shorttitle='Ain1',title='All in One Strategy', overlay=true, initial_capital = 1000, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.18, calc_on_every_tick=true)

kcolor = #0094FF
dcolor = #FF6A00



// -----------------  Strategy Inputs -------------------------------------------------------------
//Backtest dates with auto finish date of today
start = input(defval = timestamp("01 April 2021 00:00 -0500"), title = "Start Time", type = input.time)
finish = input(defval = timestamp("31 December 2021 00:00 -0600"), title = "Start Time", type = input.time)
window()  => true


// Strategy Selection - Long, Short, or Both
strat = input(title="Strategy", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"])
strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1

// Risk Management Inputs
sl= input(10.0, "Stop Loss %", minval = 0, maxval = 100, step = 0.01)
stoploss = sl/100
tp = input(20.0, "Target Profit %", minval = 0, maxval = 100, step = 0.01)
TargetProfit = tp/100

// RSI and Stochastic Inputs
length = input(14, "RSI Length", minval=1)
ob_min = input(52, "Overbought Lookback Minimum Value", minval=0, maxval=200)
ob_lb = input(25, "Overbought Lookback Bars", minval=0, maxval=100)
os_min = input(50, "Oversold Lookback Minimum Value", minval=0, maxval=200)
os_lb = input(35, "Oversold Lookback Bars", minval=0, maxval=100)
source = input(title="Source", type=input.source, defval=close)
RSI = rsi(source, length)

// Define f_print function to show key recommendations for RSI
// f_print(_text) =>
//     // Create label on the first bar.
//     var _label = label(na),
//     label.delete(_label), 
//     _label := label.new(
//      time + (time-time[1]), 
//      ohlc4,
//      _text,
//      xloc.bar_time,
//      yloc.price,
//      color(na),
//      label.style_none,
//      color.gray,
//      size.large,
//      text.align_left
//      )
    

    
// Display highest and lowest RSI values

AvgHigh(src,cnt,val) =>
    total = 0.0
    count = 0
    for i = 0 to cnt
        if src[i] > val
            count := count + 1
            total := total + src[i]
    round(total / count)
    
RSI_high = AvgHigh(RSI, ob_lb, ob_min)

AvgLow(src,cnt,val) =>
    total = 0.0
    count = 0
    for i = 5 to cnt by 5
        if src[i] < val
            count := count + 1
            total := total + src[i]
    round(total / count)

RSI_low = AvgLow(RSI, os_lb, os_min)


// f_print("Recommended RSI Settings:" + "\nOverbought = " + tostring(RSI_high) + "\nOversold = " + tostring(RSI_low))


overbought= input(62, "Overbought")
oversold= input(35, "Oversold")


// Price Movement Inputs
look_back = input(9,"Look Back Bars")
high_source = input(high,"High Source")
low_source= input(low,"Low Source")
HTF = input("","Curernt or Higher time frame only", type=input.resolution)

// EMA and SMA Background Inputs
smoothK     = input(3, "K", minval=1)
smoothD     = input(3, "D", minval=1)
k_mode      = input("SMA", "K Mode", options=["SMA", "EMA", "WMA"])

// MACD Inputs
fastLength = input(5, minval=1, title="EMA Fast Length")
slowLength = input(10, minval=1, title="EMA Slow Length")

// Selections to show or hide the overlays
showZones = input(true, title="Show Bullish/Bearish Zones")
showStoch = input(true, title="Show Stochastic Overlays")
showRSIBS = input(true, title="Show RSI Buy Sell Zones")
showMACD = input(true, title="Show MACD")
color_bars=input(true, "Color Bars")
useXRSI = input(false, "Use RSI crossing back, select only one")
useMACD = input(false, "Use MACD Only, select only one")
useCRSI = input(false, "Use Tweaked Connors RSI, select only one")


// ------------------ Background Colors based on EMA Indicators -----------------------------------
// Uses standard lengths of 9 and 21, if you want control delete the constant definition and uncomment the inputs
haClose(gap) => (open[gap] + high[gap] + low[gap] + close[gap]) / 4
rsi_ema = rsi(haClose(0), length)
v2 = ema(rsi_ema, length)                                                
v3 = 2 * v2 - ema(v2, length)  
emaA = ema(rsi_ema, fastLength)                                     
emaFast = 2 * emaA - ema(emaA, fastLength)
emaB = ema(rsi_ema, slowLength)                                     
emaSlow = 2 * emaB - ema(emaB, slowLength)  

// bullish signal rule: 
bullishRule =emaFast > emaSlow
// bearish signal rule: 
bearishRule =emaFast < emaSlow

// current trading State
ruleState = 0
ruleState := bullishRule ? 1 : bearishRule ? -1 : nz(ruleState[1])
bgcolor(showZones ? ( ruleState==1 ? color.blue : ruleState==-1 ? color.red : color.gray ) : na , title=" Bullish/Bearish Zones", transp=95)


// ------------------  Stochastic Indicator Overlay -----------------------------------------------

// Calculation
// Use highest highs and lowest lows
h_high = highest(high_source ,look_back)
l_low = lowest(low_source ,look_back)

stoch = stoch(RSI, RSI, RSI, length)
k =
 k_mode=="EMA" ? ema(stoch, smoothK) :
 k_mode=="WMA" ? wma(stoch, smoothK) :
 sma(stoch, smoothK)
d = sma(k, smoothD)
k_c = change(k)
d_c = change(d)
kd = k - d

// Plot
signalColor = k>oversold and d<overbought and k>d and k_c>0 and d_c>0 ? kcolor : 
 k<overbought and d>oversold and k<d and k_c<0 and d_c<0 ? dcolor : na
kp = plot(showStoch ? k : na, "K", transp=80, color=kcolor)
dp = plot(showStoch ? d : na, "D", transp=80, color=dcolor)
fill(kp, dp, color = signalColor, title="K-D", transp=88)
signalUp = showStoch ? not na(signalColor) and kd>0 : na
signalDown = showStoch ? not na(signalColor) and kd<0 : na
plot(signalUp ? kd : na, "Signal Up", color=kcolor, transp=90, style=plot.style_columns)
plot(signalDown ? (kd+100) : na , "Signal Down", color=dcolor, transp=90, style=plot.style_columns, histbase=100)


// -------------- Add Price Movement to Strategy for better visualization -------------------------
// Calculations
h1 = vwma(high, length)
l1 = vwma(low, length)
hp = h_high[1]
lp = l_low[1]

// Plot
var plot_color=#353535
var sig = 0
if (h1 >hp)
    sig:=1
    plot_color:=color.lime
else if (l1 <lp)
    sig:=-1
    plot_color:=color.maroon
plot(1,title = "Price Movement Bars", style=plot.style_columns,color=plot_color)
plot(sig,title="Signal 1 or -1",display=display.none)



// --------------------------------------- RSI Plot ----------------------------------------------
// Plot Oversold and Overbought Lines
over = hline(oversold, title="Oversold", color=color.green)
under = hline(overbought, title="Overbought", color=color.red)
fill(over, under, color=#9915FF, transp=90, title="Band Background")


// Show RSI and EMA crosses with arrows and RSI Color (tweaked Connors RSI)
// Improves strategy setting ease by showing where EMA 5 crosses EMA 10 from above to confirm overbought conditions or trend reversals
// This shows where you should enter shorts or exit longs

// Tweaked Connors RSI Calculation
connor_ob = 80
connor_os = 20
ma3 = sma(close,3)
ma20 = sma(close, 20)
ma50 = sma(close, 50)
erection = ((((close[1]-close[2])/close[2]) + ((close[0]-close[1])/close[1]))/2)*100

// Buy Sell Zones using tweaked Connors RSI (RSI values of 80 and 20 for Crypto as well as ma3, ma20, and ma50 are the tweaks)
RSI_SELL = ma20 > ma50 and open > ma3 and RSI >= connor_ob and erection <=4 and window()
RSI_BUY = ma20 < ma50 and ma3 > close and RSI <= connor_os and window()

// Color Definition
col = useCRSI ? (close > ma20 and close < ma3 and RSI <= connor_os ? color.lime : close < ma20 and close > ma3 and RSI <= connor_ob ? color.red : color.yellow ) : color.yellow

// Plot colored RSI Line
plot(RSI, title="RSI", linewidth=3, color=col)


// Shape Plots
plotshape(showRSIBS ? RSI_BUY: na, title = "RSI Buy", style = shape.arrowup, text = "RSI Buy", location = location.bottom, color=color.green, textcolor=color.green, size=size.small)
plotshape(showRSIBS ? RSI_SELL: na, title = "RSI Sell", style = shape.arrowup, text = "RSI Sell", location = location.bottom, color=color.red, textcolor=color.red, size=size.small)


// MACD as another complement to RSI strategy
[macdLine, signalLine, _] = macd(close, fastLength, slowLength, length)

bartrendcolor = macdLine > signalLine and k > 50 and RSI > 50 ? color.teal : macdLine < signalLine and k < 50 and RSI < 50 ? color.maroon : macdLine < signalLine ? color.yellow : color.gray
barcolor(color = color_bars ? bartrendcolor : na)


MACDBuy = crossover(macdLine, signalLine) and macdLine<0 and RSI<RSI_low and window()
MACDSell = crossunder(macdLine, signalLine) and macdLine>0 and RSI>RSI_high and window()

plotshape(showMACD ? MACDBuy: na, title = "MACD Buy", style = shape.arrowup, text = "MACD Buy", color=color.green, textcolor=color.green, size=size.small)
plotshape(showMACD ? MACDSell: na, title = "MACD Sell", style = shape.arrowdown, text = "MACD Sell", color=color.red, textcolor=color.red, size=size.small)
bgcolor(showMACD ? (MACDBuy ? color.teal : MACDSell ? color.maroon : na) : na, title ="MACD Signals", transp=50)


// -------------------------------- Entry and Exit Logic ------------------------------------


// Entry Logic
XRSI_OB = crossunder(RSI, overbought) and window()
RSI_OB = crossover(RSI, overbought) and window()
XRSI_OS = crossover(RSI, oversold) and window()
RSI_OS = crossunder(RSI, oversold) and window()


// Strategy Entry and Exit with built in Risk Management
GoLong = strat_val > -1 ? (useXRSI ? XRSI_OS : useMACD ? MACDBuy : useCRSI ? RSI_BUY : RSI_OS) : false

GoShort = strat_val < 1 ? (useXRSI ? XRSI_OB : useMACD ? MACDSell : useCRSI ? RSI_SELL : RSI_OB) : false

convert_percent_to_points(percent) =>
    strategy.position_size != 0 ? round(percent * strategy.position_avg_price / syminfo.mintick) : float(na)
    
setup_percent(percent) =>
    convert_percent_to_points(percent)


if (GoLong)
    strategy.entry("LONG", strategy.long)
    strategy.exit(id="Exit Long", from_entry = "LONG", loss=setup_percent(stoploss), profit=setup_percent(TargetProfit))

CloseLong = strategy.position_size > 0 ? (useXRSI ? XRSI_OB : useMACD ? MACDSell : useCRSI ? RSI_SELL : RSI_OB) : false

if(CloseLong)
    strategy.close("LONG")



if (GoShort) 
    strategy.entry("SHORT", strategy.short)
    strategy.exit(id="Exit Short", from_entry = "SHORT", loss=setup_percent(stoploss), profit=setup_percent(TargetProfit))
        
CloseShort = strat_val < 1 and strategy.position_size < 0 ? (useXRSI ? XRSI_OS : useMACD ? MACDBuy : useCRSI ? RSI_BUY : RSI_OS) : false

if(CloseShort)
    strategy.close("SHORT")