This strategy combines Bollinger Bands, RSI, multiple moving averages, and the MACD indicator to construct a complete trading system. Firstly, it uses Bollinger Bands to determine price volatility and the position of the price relative to the middle band to identify trends. Simultaneously, it employs the RSI indicator to assess overbought and oversold conditions and detect potential trend reversals using RSI divergences. Multiple moving averages are used for trend tracking and determining support and resistance levels. Finally, the MACD indicator is also used to assist in judging trends and potential reversals. By comprehensively considering these indicators, the strategy formulates entry and exit conditions to build a complete trading strategy.
This strategy constructs a relatively comprehensive trading system from multiple dimensions, including trend identification, overbought and oversold judgments, multi-time scale analysis, and position control. However, the strategy needs further optimization in dealing with choppy markets and extreme events, and it lacks more systematic parameter optimization and risk control. In the future, the strategy can continue to improve in terms of more refined signal filtering, dynamic weight adjustment, and response to extreme events. Through continuous backtesting optimization and live trading verification, this strategy has the potential to grow into a robust and sustainable quantitative trading strategy.
/*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=5 strategy("Bollinger Bands + RSI Strategy with MA", overlay=true) // Bollinger Bands length = input.int(20, title="BB Length") mult = input.float(2.0, title="BB Mult") basis = ta.sma(close, length) dev = mult * ta.stdev(close, length) upper_band = basis + dev lower_band = basis - dev // RSI rsi_length = input.int(14, title="RSI Length") rsi_oversold = input.int(30, title="RSI Oversold", minval=0, maxval=100) rsi_overbought = input.int(70, title="RSI Overbought", minval=0, maxval=100) rsi = ta.rsi(close, rsi_length) // RSI Divergence rsi_divergence_bottom = ta.crossunder(rsi, rsi_oversold) rsi_divergence_peak = ta.crossunder(rsi_overbought, rsi) // Moving Averages ma34 = ta.sma(close, 34) ma89 = ta.sma(close, 89) ma144 = ta.sma(close, 144) ma233 = ta.sma(close, 233) ma377 = ta.sma(close, 377) ma610 = ta.sma(close, 610) // MACD Calculation [macd_line, signal_line, _] = ta.macd(close, 12, 26, 9) macd_histogram = macd_line - signal_line // MACD Divergence macd_divergence_bottom = ta.crossunder(macd_histogram, 0) macd_divergence_peak = ta.crossover(macd_histogram, 0) // Conditions for Buy and Sell basis_gt_ma34 = basis > ma34 ma34_gt_ma89 = ma34 > ma89 // Entry condition buy_condition = basis_gt_ma34 and ma34_gt_ma89 sell_condition = basis <ma34 // Calculate position size position_size = 1.0 // 100% capital initially // Update position size based on conditions if (sell_condition) position_size := 0.5 // Sell half of the position if (not basis_gt_ma34) position_size := 0.0 // Sell all if basis < ma34 // Entry and exit strategy if (buy_condition) strategy.entry("Buy", strategy.long, qty=position_size) if (sell_condition) strategy.close("Buy") // Plot Bollinger Bands and Moving Averages bb_fill_color = basis > basis[1] ? color.new(color.blue, 90) : color.new(color.blue, 10) plot(basis, color=color.blue, title="Basis") plot(upper_band, color=color.red, title="Upper Band") plot(lower_band, color=color.green, title="Lower Band") fill(plot1=plot(upper_band), plot2=plot(lower_band), color=bb_fill_color, title="BB Fill") plot(ma34, color=color.orange, title="MA34") plot(ma89, color=color.purple, title="MA89") plot(ma144, color=color.gray, title="MA144") plot(ma233, color=color.blue, title="MA233") plot(ma377, color=color.red, title="MA377") plot(ma610, color=color.green, title="MA610") // Plot RSI Divergence plotshape(series=rsi_divergence_bottom, style=shape.triangleup, location=location.abovebar, color=color.green, size=size.small) plotshape(series=rsi_divergence_peak, style=shape.triangledown, location=location.belowbar, color=color.red, size=size.small) // Plot MACD Histogram Divergence plotshape(series=macd_divergence_bottom, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small) plotshape(series=macd_divergence_peak, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6