双重反转RSI历史警报策略通过结合123反转策略和RSI历史警报策略,实现更准确的交易信号产生。123反转策略判断价格反转点,RSI历史警报策略判断超买超卖点。两种策略信号综合后,可以产生更可靠的交易信号。
123反转策略基于该假设:股票价格反转信号往往出现在股票价格反转前2天。
具体判断规则是:
该策略借助股价反转前2天的价格关系判断可能的反转点。同时,K线指标滤除部分噪音信号。
RSI历史警报策略是在RSI指标的基础上进行修改:
该策略通过判断RSI指标的绝对值大小,提示超买超卖状态,从而产生交易信号。
该策略结合两种不同类型的策略思路,可以互补优势,产生更可靠的信号。具体优势有:
该策略主要面临以下风险:
对应解决方法是:
该策略可以从以下几个方向进行优化:
双重反转RSI历史警报策略通过结合价格反转策略和超买超卖判断策略,可以产生更可靠的交易信号。相比单一策略,具有更低假信号概率、更全面判断的优点。该策略还有很大的优化空间,通过参数调整、多因子验证、持仓优化等手段,可以进一步提升策略的稳定性和盈利能力。
/*backtest
start: 2022-12-28 00:00:00
end: 2024-01-03 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 28/06/2021
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This simple indicator modified RSI
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
RSI_Hist(RSIPeriod,BuyAlertLevel,SellAlertLevel,RSIHistoModify) =>
pos = 0.0
xPrice = close
RSIMain = (rsi(xPrice, RSIPeriod) - 50) * RSIHistoModify
pos:= iff(RSIMain > BuyAlertLevel, 1,
iff(RSIMain < SellAlertLevel, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & RSI HistoAlert", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- RSI HistoAlert ----")
RSIPeriod = input(13, minval=1)
BuyAlertLevel = input(-10)
SellAlertLevel = input(10)
RSIHistoModify = input(1.5)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posRSI_Hist = RSI_Hist(RSIPeriod,BuyAlertLevel,SellAlertLevel,RSIHistoModify)
pos = iff(posReversal123 == 1 and posRSI_Hist == 1 , 1,
iff(posReversal123 == -1 and posRSI_Hist == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1 )
strategy.entry("Long", strategy.long)
if (possig == -1 )
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )