This strategy is based on the Wyckoff Methodology, combining the Relative Strength Index (RSI) and Volume Moving Average (Volume MA) to identify the accumulation and distribution phases of the market, generating buy and sell signals. Additionally, the strategy employs a dynamic drawdown stop-loss mechanism to control risk by setting a maximum drawdown threshold.
The RSI Dynamic Drawdown Stop-Loss Strategy identifies the accumulation and distribution phases of the market by combining RSI and volume indicators while employing a dynamic drawdown stop-loss mechanism to control risk. The strategy considers both market trend and risk management, making it practical to some extent. However, the strategy’s performance depends on the choice of indicator parameters and market characteristics, requiring continuous optimization and adjustment to improve its stability and profitability.
/*backtest start: 2024-05-07 00:00:00 end: 2024-06-06 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Wyckoff Methodology Strategy with Max Drawdown", overlay=true) // Define input parameters length = input(14, title="RSI Length") overbought = input(70, title="RSI Overbought Level") oversold = input(30, title="RSI Oversold Level") volume_length = input(20, title="Volume MA Length") initial_capital = input(10000, title="Initial Capital") max_drawdown = input(500, title="Max Drawdown") // Calculate RSI rsi = ta.rsi(close, length) // Calculate Volume Moving Average vol_ma = ta.sma(volume, volume_length) // Identify Accumulation Phase accumulation = ta.crossover(rsi, oversold) and volume > vol_ma // Identify Distribution Phase distribution = ta.crossunder(rsi, overbought) and volume > vol_ma // Plot RSI hline(overbought, "Overbought", color=color.red) hline(oversold, "Oversold", color=color.green) plot(rsi, title="RSI", color=color.blue) // Plot Volume and Volume Moving Average plot(volume, title="Volume", color=color.orange, style=plot.style_histogram) plot(vol_ma, title="Volume MA", color=color.purple) // Variables to track drawdown var float max_equity = initial_capital var float drawdown = 0.0 // Update max equity and drawdown current_equity = strategy.equity if (current_equity > max_equity) max_equity := current_equity drawdown := max_equity - current_equity // Generate Buy and Sell Signals if (accumulation and drawdown < max_drawdown) strategy.entry("Buy", strategy.long) if (distribution and drawdown < max_drawdown) strategy.entry("Sell", strategy.short) // Plot Buy and Sell signals on chart plotshape(series=accumulation, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal", text="BUY") plotshape(series=distribution, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell Signal", text="SELL") // Close positions if drawdown exceeds max drawdown if (drawdown >= max_drawdown) strategy.close_all("Max Drawdown Exceeded") // Set strategy exit conditions strategy.close("Buy", when=distribution or drawdown >= max_drawdown) strategy.close("Sell", when=accumulation or drawdown >= max_drawdown) // Display drawdown on chart plot(drawdown, title="Drawdown", color=color.red, linewidth=2, style=plot.style_stepline)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6