The name of this strategy is “Stochastic Overlap with RSI Index Quant Trading Strategy”. This strategy identifies overbought and oversold situations of stocks by calculating the overlap of stochastic double moving average indicators and RSI indicators, establishes long positions when the stock is undervalued, and establishes short positions when overvalued to achieve hedging arbitrage.
The stochastic overlap with RSI index quant trading strategy judges overbought and oversold through calculating the crossover situation between %K line and %D line. Among them, the %K line is calculated as the K-day simple moving average of the closing price of the stock, and the %D line calculates the D-day simple moving average of the %K line. When the %K line crosses above the %D line from the bottom, it is considered that the stock is underestimated and a long position should be established; When the %K line crosses below the %D line from the top, it is considered that the stock is overvalued and a short position should be established.
At the same time, this strategy also combines the RSI indicator to judge the overbought and oversold conditions of stocks. The RSI indicator reflects the change in the rate of rise and fall of the stock. When the RSI is lower than 50%, it means that the stock is underestimated. When it is higher than 60%, it means that the stock is overvalued.
Combining the double moving average indicator and the RSI indicator, when the %K line crosses above the %D line from below and the RSI is less than 50%, it is determined that the stock is seriously underestimated, and a long position should be established; When the %K line crosses below the %D line from above and the RSI is higher than 60%, it is determined that the stock is seriously overvalued, and a short position should be established.
Risk Mitigation Methods:
Need to increase trading volume indicators and combine with other indicators to ensure reliability of breakthrough signals and avoid losses caused by false signals. At the same time, optimize the position control model to appropriately increase positions under high confidence to obtain higher returns.
The stochastic overlap with RSI index quant trading strategy judges the overbought and oversold conditions of stocks through the overlay use of double moving average indicators and RSI indicators, goes long when the stock is underestimated, goes short when overvalued, and achieves hedging arbitrage. This strategy makes full use of the price capturing capability of double moving average indicators and the overbought and oversold judgment capability of RSI indicators, avoiding the limitations of single indicator judgments. Through flexible parameter configuration, it can be applied to different stocks; And can be further optimized to obtain higher returns while controlling risks.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=2 strategy(title="Easy to Use Stochastic + RSI Strategy", overlay=false) //// Only Enter Long Positions ///// // strategy.risk.allow_entry_in(strategy.direction.long) ///// Backtest Start Date ///// startDate = input(title="Start Date", defval=1, minval=1, maxval=31) startMonth = input(title="Start Month", defval=1, minval=1, maxval=12) startYear = input(title="Start Year", defval=2014, minval=1800, maxval=2100) afterStartDate = true ///// Create inputs ///// // Stochastics // periodK = input(14, title="K", minval=1) periodD = input(3, title="D", minval=1) smoothK = input(3, title="Smooth", minval=1) k = sma(stoch(close, high, low, periodK), smoothK) d = sma(k, periodD) // RSI Values // rsivalue = rsi(close, 14) ///// Plot Stochastic Values and Lines ///// plot(k, title="%K", color=lime) plot(d, title="%D", color=red) h0 = hline(80) h1 = hline(20) fill(h0, h1, color=purple, transp=80) ///// Submit orders ///// if (afterStartDate and crossover(k, d) and k<20 and rsivalue<50) strategy.entry(id="BUY", long=true) if (afterStartDate and crossunder(k, d) and k>80 and rsivalue>60) strategy.entry(id="SELL", long=false)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6