该策略基于QQE指标和RSI指标,通过计算RSI指标的平滑移动平均值和动态震荡幅度,构建多空信号区间。当RSI指标突破上轨时产生做多信号,突破下轨时产生做空信号。策略的主要思路是利用RSI指标的趋势特性和QQE指标的波动特性,捕捉市场的趋势变化和波动机会。
该策略基于RSI指标和QQE指标构建多空信号,具有趋势捕捉和波动把握的特点。策略逻辑清晰,参数较少,适合进行进一步的优化和改进。但是策略也存在一定的风险,如回撤控制、参数设置等方面需要进一步完善。未来可以从止损机制、参数优化、信号丰富、不同市场适应性等方面对策略进行优化,以提高策略的稳健性和盈利能力。
/*backtest
start: 2023-05-21 00:00:00
end: 2024-05-26 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/
//@version=4
// modified by swigle
// thanks colinmck
strategy("QQE signals bot", overlay=true)
RSI_Period = input(14, title='RSI Length')
SF = input(5, title='RSI Smoothing')
QQE = input(4.236, title='Fast QQE Factor')
ThreshHold = input(10, title="Thresh-hold")
src = close
Wilders_Period = RSI_Period * 2 - 1
Rsi = rsi(src, RSI_Period)
RsiMa = ema(Rsi, SF)
AtrRsi = abs(RsiMa[1] - RsiMa)
MaAtrRsi = ema(AtrRsi, Wilders_Period)
dar = ema(MaAtrRsi, Wilders_Period) * QQE
longband = 0.0
shortband = 0.0
trend = 0
DeltaFastAtrRsi = dar
RSIndex = RsiMa
newshortband = RSIndex + DeltaFastAtrRsi
newlongband = RSIndex - DeltaFastAtrRsi
longband := RSIndex[1] > longband[1] and RSIndex > longband[1] ? max(longband[1], newlongband) : newlongband
shortband := RSIndex[1] < shortband[1] and RSIndex < shortband[1] ? min(shortband[1], newshortband) : newshortband
cross_1 = cross(longband[1], RSIndex)
trend := cross(RSIndex, shortband[1]) ? 1 : cross_1 ? -1 : nz(trend[1], 1)
FastAtrRsiTL = trend == 1 ? longband : shortband
// Find all the QQE Crosses
QQExlong = 0
QQExlong := nz(QQExlong[1])
QQExshort = 0
QQExshort := nz(QQExshort[1])
QQExlong := FastAtrRsiTL < RSIndex ? QQExlong + 1 : 0
QQExshort := FastAtrRsiTL > RSIndex ? QQExshort + 1 : 0
//Conditions
qqeLong = QQExlong == 1 ? FastAtrRsiTL[1] - 50 : na
qqeShort = QQExshort == 1 ? FastAtrRsiTL[1] - 50 : na
// Plotting
plotshape(qqeLong, title="QQE long", text="Long", textcolor=color.white, style=shape.labelup, location=location.belowbar, color=color.green, size=size.tiny)
plotshape(qqeShort, title="QQE short", text="Short", textcolor=color.white, style=shape.labeldown, location=location.abovebar, color=color.red, size=size.tiny)
// trade
//if qqeLong > 0
strategy.entry("buy long", strategy.long, 100, when=qqeLong)
if qqeShort > 0
strategy.close("buy long")
// strategy.exit("close_position", "buy long", loss=1000)
// strategy.entry("sell", strategy.short, 1, when=strategy.position_size > 0)