The Fast RSI Reversal Trading Strategy generates trading signals by combining Fast RSI indicator, candlestick body filter, min/max price filter and SMA filter to determine trend reversal points for low-risk reversal trading. The strategy aims to capture short-term reversal opportunities.
The strategy is mainly based on the following indicators for judgement:
Fast RSI Indicator: Calculates RSI using RMA function to make it more sensitive in order to capture overbought/oversold signals faster.
Candlestick Body Filter: Requires candlestick body size to exceed 1/5 of EMA body average to filter low volatility situations.
Min/Max Price Filter: Judges if price reaches new high or new low to confirm trend reversal.
SMA Filter: Requires price to break SMA line for additional confirmation.
Trading signals are generated when multiple conditions above trigger simultaneously. The specific logic is:
Long entry: Fast RSI below oversold level AND Candle body > 1/5 of EMA body AND Min price breakout AND Price crosses above SMA
Short entry: Fast RSI above overbought level AND Candle body > 1/5 of EMA body AND Max price breakout AND Price crosses below SMA
Exit: Fast RSI back to normal range
The strategy has the following advantages:
The strategy also has some risks:
Can further optimize by:
Overall this is a low-risk short-term mean reversal trading strategy. It identifies trading signals with Fast RSI and uses multiple filters to reduce false signals, achieving controllable risk reversal trading. The strategy can be further optimized and has great potential.
/*backtest start: 2024-02-01 00:00:00 end: 2024-02-26 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //Noro //2018 //@version=3 strategy(title = "Noro's Fast RSI Strategy v1.4", shorttitle = "Fast RSI str 1.4", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 5) //Settings needlong = input(true, defval = true, title = "Long") needshort = input(true, defval = true, title = "Short") usersi = input(true, defval = true, title = "Use Fast RSI Strategy") usemm = input(true, defval = true, title = "Use Min/Max Strategy") usesma = input(true, defval = true, title = "Use SMA Filter") smaperiod = input(20, defval = 20, minval = 2, maxval = 1000, title = "SMA Filter Period") rsiperiod = input(7, defval = 7, minval = 2, maxval = 50, title = "RSI Period") limit = input(30, defval = 30, minval = 1, maxval = 100, title = "RSI limit") rsisrc = input(close, defval = close, title = "RSI Price") rsibars = input(1, defval = 1, minval = 1, maxval = 20, title = "RSI Bars") mmbars = input(1, defval = 1, minval = 1, maxval = 5, title = "Min/Max Bars") showsma = input(false, defval = false, title = "Show SMA Filter") showarr = input(false, defval = false, title = "Show Arrows") fromyear = input(2018, defval = 2018, minval = 1900, maxval = 2100, title = "From Year") toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year") frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month") tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month") fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day") today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day") //Fast RSI fastup = rma(max(change(rsisrc), 0), rsiperiod) fastdown = rma(-min(change(rsisrc), 0), rsiperiod) fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown)) //Limits bar = close > open ? 1 : close < open ? -1 : 0 uplimit = 100 - limit dnlimit = limit //RSI Bars upsignal = fastrsi > uplimit ? 1 : 0 dnsignal = fastrsi < dnlimit ? 1 : 0 uprsi = sma(upsignal, rsibars) == 1 dnrsi = sma(dnsignal, rsibars) == 1 //Body body = abs(close - open) emabody = ema(body, 30) //MinMax Bars min = min(close, open) max = max(close, open) minsignal = min < min[1] and bar == -1 and bar[1] == -1 ? 1 : 0 maxsignal = max > max[1] and bar == 1 and bar[1] == 1 ? 1 : 0 mins = sma(minsignal, mmbars) == 1 maxs = sma(maxsignal, mmbars) == 1 //SMA Filter sma = sma(close, smaperiod) colorsma = showsma ? blue : na plot(sma, color = colorsma, linewidth = 3) //Signals up1 = bar == -1 and (strategy.position_size == 0 or close < strategy.position_avg_price) and dnrsi and body > emabody / 5 and usersi dn1 = bar == 1 and (strategy.position_size == 0 or close > strategy.position_avg_price) and uprsi and body > emabody / 5 and usersi up2 = mins and (close > sma or usesma == false) and usemm dn2 = maxs and (close < sma or usesma == false) and usemm exit = ((strategy.position_size > 0 and fastrsi > dnlimit and bar == 1) or (strategy.position_size < 0 and fastrsi < uplimit and bar == -1)) and body > emabody / 2 //Arrows col = exit ? black : up1 or dn1 ? blue : up2 or dn2 ? red : na needup = up1 or up2 needdn = dn1 or dn2 needexitup = exit and strategy.position_size < 0 needexitdn = exit and strategy.position_size > 0 plotarrow(showarr and needup ? 1 : na, colorup = blue, colordown = blue, transp = 0) plotarrow(showarr and needdn ? -1 : na, colorup = blue, colordown = blue, transp = 0) plotarrow(showarr and needexitup ? 1 : na, colorup = black, colordown = black, transp = 0) plotarrow(showarr and needexitdn ? -1 : na, colorup = black, colordown = black, transp = 0) //Trading if up1 or up2 strategy.entry("Long", strategy.long, needlong == false ? 0 : na) if dn1 or dn2 strategy.entry("Short", strategy.short, needshort == false ? 0 : na) if time > timestamp(toyear, tomonth, today, 00, 00) or exit strategy.close_all()