This strategy combines Bollinger Bands and RSI indicators to generate trading signals. It monitors whether the closing prices of three candlesticks break through the upper or lower bands at the same time, and combines the Vortex indicator and RSI indicator to confirm trading signals.
The strategy is mainly based on the following principles:
The main advantages of this strategy are:
The strategy also has some risks:
Risk control measures include:
The strategy can be optimized in the following aspects:
This strategy combines multiple indicators for judgment. While ensuring signal reliability, it also has some problems. Through parameter optimization, enriched signal sources, adjusted judgment logic and stop loss, etc., the stability and profitability of the strategy can be further enhanced. It provides a good idea for quantitative trading.
/*backtest start: 2024-01-01 00:00:00 end: 2024-01-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © Noway0utstorm //@version=5 strategy(title='RSI + BB over 3 bar+--- vortex0.71.3 ', shorttitle='NoWaytruongphuthinh', format=format.price, precision=4,overlay = true) length = input(20, title="Length") mult = input(2.0, title="Multiplier") source = close basis = ta.sma(source, length) dev = mult * ta.stdev(source, length) upperBand = basis + dev lowerBand = basis - dev isClosedBar = ta.change(time("15")) var bool closeAboveUpperBand = false var bool closeBelowLowerBand = false // Vortex Indicator Settings period_ = input.int(14, title='Period', minval=2) VMP = math.sum(math.abs(high - low[1]), period_) VMM = math.sum(math.abs(low - high[1]), period_) STR = math.sum(ta.atr(1), period_) VIP = VMP / STR VIM = VMM / STR // lengthrsi = input(14, title="RSI Length") overboughtLevel = input(70, title="Overbought Level") oversoldLevel = input(30, title="Oversold Level") sourcersi = close rsiValue = ta.rsi(sourcersi, lengthrsi) shouldShort = rsiValue > overboughtLevel shouldLong = rsiValue < oversoldLevel if bool(isClosedBar[1]) and bool(isClosedBar[2]) and bool(isClosedBar[3]) if close[1] > upperBand[1] and close[2] > upperBand[2] and close[3] > upperBand[3] and VIP > 1.25 and VIM < 0.7 and rsiValue > overboughtLevel strategy.entry("Short", strategy.short) closeAboveUpperBand := false // Reset the condition when entering a new Short position if close[1] < lowerBand[1] and close[2] < lowerBand[2] and close[3] < lowerBand[3] and VIP < 0.7 and VIM > 1.25 and rsiValue < oversoldLevel strategy.entry("Long", strategy.long) closeBelowLowerBand := false // Reset the condition when entering a new Long position if strategy.position_size > 0 // Check if there is an open Long position closeAboveUpperBand := close > upperBand // Update the condition based on close price if closeAboveUpperBand strategy.close("Long",disable_alert=true) // Close the Long position if close price is above upper band if strategy.position_size < 0 // Check if there is an open Short position closeBelowLowerBand := close < lowerBand // Update the condition based on close price if closeBelowLowerBand strategy.close("Short",disable_alert=true) // Close the Short position if close price is below lower band // Plots plot(basis, color=color.orange, title="Basis") p1 = plot(upperBand, color=color.blue, title="Upper Band") p2 = plot(lowerBand, color=color.blue, title="Lower Band") fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6