ChaoZhang
概述
RSI鳄鱼趋势策略是基于RSI指标的鳄鱼指标组合,用于判断趋势的进入和退出。它使用三条平均线 - 鳄鱼的上颚线、牙齿线和唇线,采用不同周期的RSI构建。当牙齿线上穿唇线且RSI上颚线高于牙齿线时做多;当牙齿线下穿唇线且RSI上颚线低于牙齿线时做空。该策略同时设定了止损和止盈条件。
策略原理
RSI鳄鱼趋势策略使用RSI指标构建鳄鱼指标的三条移动平均线。具体设置如下:
- 上颚线:5周期的RSI线
- 牙齿线:13周期的RSI线
- 唇线:34周期的RSI线
进入信号的判断逻辑是:
多头信号:当牙齿线上穿唇线,同时上颚线高于牙齿线时,做多。
空头信号:当牙齿线下穿唇线,同时上颚线低于牙齿线时,做空。
该策略同时设定了止损和止盈条件:
- 止损设置为进入价格的10%
- 止盈设置为进入价格的90%
优势分析
RSI鳄鱼趋势策略具有以下优势:
- 使用鳄鱼线指标判断趋势,能够有效滤除市场噪音,锁定主要趋势
- 结合多周期RSI,避免假突破,提高信号的可靠性
- 设定合理的止损止盈条件,有助于策略的稳定运行
- 策略思路清晰易懂,参数设置简单,容易实盘操作
- 可同时做多做空,兼顾趋势的两个方向,灵活性强
风险分析
RSI鳄鱼趋势策略也存在以下风险:
牙齿线与唇线的交叉可能出现假突破,导致不必要的亏损。可以适当调整周期参数降低假突破概率。
止损设置可能过于激进,无谓止损的概率较大。可以适当放宽止损范围,或添加其他条件作为止损激活的前提条件。
若行情剧烈,止损或无法起到应有的保证金效果。这时则需要人工干预,及时止损。
多空切换频繁时,交易费用压力较大。可以适当放宽进入条件,减少不必要的反复。
优化方向
RSI鳄鱼趋势策略可以从以下几个方面进行优化:
优化鳄鱼线的参数设置,调整周期参数,找到最佳参数组合
优化进入的条件逻辑,比如新增交易量指标等过滤信号
优化止盈止损策略,使其更加顺应行情与保证金水平
增加对突发事件的处理机制,避免异常行情的暴露
增加开仓算法,控制单笔投入资金占比,规避风险
总结
RSI鳄鱼趋势策略整体来说是一种可靠、易操作的趋势跟踪策略。它使用鳄鱼指标判断趋势方向,配合RSI指标设定参考阈值,能有效锁定趋势并设定合理的出场点。同时,策略本身也具备较强的灵活性与扩展性,值得实盘应用与后续优化。
策略源码
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=3
// RSI Alligator
// Forked from Author: Reza Akhavan
// Updated by Khalid Salomão
strategy("RSI Alligator Strategy", overlay=false, pyramiding=0, default_qty_type=strategy.cash, default_qty_value=25000, initial_capital=25000, commission_type=strategy.commission.percent, commission_value=0.15, slippage=3)
// === TA LOGIC ===
overBought = input(70, minval=0, maxval=100, title="Over bought")
overSold = input(30, minval=0, maxval=100, title="Over sold")
jawPeriods = input(5, minval=1, title="Jaw Periods")
jawOffset = input(0, minval=0, title="Jaw Offset")
teethPeriods = input(13, minval=1, title="Teeth Periods")
teethOffset = input(0, minval=0, title="Teeth Offset")
lipsPeriods = input(34, minval=1, title="Lips Periods")
lipsOffset = input(0, minval=0, title="Lips Offset")
jaws = rsi(close, jawPeriods)
teeth = rsi(close, teethPeriods)
lips = rsi(close, lipsPeriods)
plot(jaws, color=green, offset=jawOffset, title="Jaw")
plot(teeth, color=red, offset=teethOffset, title="Teeth")
plot(lips, color=blue, offset=lipsOffset, title="Lips")
//
// === Signal logic ===
//
LONG_SIGNAL_BOOLEAN = crossover(teeth, lips) and jaws > teeth
SHORT_SIGNAL_BOOLEAN = crossunder(teeth, lips) and jaws < teeth
// === INPUT BACKTEST DATE RANGE ===
strategyType = input(defval="Long Only", options=["Long & Short", "Long Only", "Short Only"])
FromMonth = input(defval = 7, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2018, title = "From Year", minval = 2017)
ToMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 2020, title = "To Year", minval = 2017)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
window() => true
// === STRATEGY BUY / SELL ENTRIES ===
// TODO: update the placeholder LONG_SIGNAL_BOOLEAN and SHORT_SIGNAL_BOOLEAN to signal
// long and short entries
buy() => window() and LONG_SIGNAL_BOOLEAN
sell() => window() and SHORT_SIGNAL_BOOLEAN
if buy()
if (strategyType == "Short Only")
strategy.close("Short")
else
strategy.entry("Long", strategy.long, comment="Long")
if sell()
if (strategyType == "Long Only")
strategy.close("Long")
else
strategy.entry("Short", strategy.short, comment="Short")
// === BACKTESTING: EXIT strategy ===
sl_inp = input(10, title='Stop Loss %', type=float)/100
tp_inp = input(90, title='Take Profit %', type=float)/100
stop_level = strategy.position_avg_price * (1 - sl_inp)
take_level = strategy.position_avg_price * (1 + tp_inp)
strategy.exit("Stop Loss/Profit", "Long", stop=stop_level, limit=take_level)