本策略是一个结合了双均线和RSI指标的趋势跟踪交易系统。策略通过短期和长期移动平均线的交叉来确定市场趋势方向,同时利用RSI指标在超买超卖区域寻找更优的入场时机,实现趋势跟踪与动量反转的完美结合。策略采用百分比资金管理方式,每次交易投入账户总额的10%,有效控制风险。
策略使用10周期和50周期的简单移动平均线(SMA)来识别趋势。当短期均线上穿长期均线且RSI低于30时,系统发出做多信号;当短期均线下穿长期均线且RSI高于70时,系统发出做空信号。平仓方面,当RSI超过70时平掉多单,当RSI低于30时平掉空单。这种设计既保证了趋势方向的准确性,又能在价格超涨超跌时及时止盈。
这是一个将趋势跟踪与动量反转完美结合的量化交易策略。通过双均线判断趋势方向,利用RSI寻找最优入场点,既保证了交易方向的准确性,又能在价格超涨超跌时及时获利了结。策略的成功关键在于参数的合理设置和风险的有效控制。通过不断优化和改进,策略有望在不同市场环境下都能取得稳定收益。
/*backtest
start: 2024-10-12 00:00:00
end: 2024-11-11 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Super Advanced Strategy", overlay=true)
// Configuração de parâmetros
shortMAPeriod = input.int(10, title="Período da Média Móvel Curta", minval=1)
longMAPeriod = input.int(50, title="Período da Média Móvel Longa", minval=1)
rsiPeriod = input.int(14, title="Período do RSI", minval=1)
// Cálculo das Médias Móveis
shortMA = ta.sma(close, shortMAPeriod)
longMA = ta.sma(close, longMAPeriod)
// Cálculo do RSI
rsi = ta.rsi(close, rsiPeriod)
// Plotando as Médias Móveis
plot(shortMA, title="Média Móvel Curta", color=color.blue, linewidth=2)
plot(longMA, title="Média Móvel Longa", color=color.red, linewidth=2)
// Adicionando linhas horizontais para os níveis de sobrecomprado e sobrevendido
hline(70, "Sobrecomprado", color=color.red, linestyle=hline.style_dashed)
hline(30, "Sobrevendido", color=color.green, linestyle=hline.style_dashed)
// Condições de entrada
buyCondition = (shortMA > longMA) and (rsi < 30)
sellCondition = (shortMA < longMA) and (rsi > 70)
// Entradas de ordens
if (buyCondition)
strategy.entry("Compra", strategy.long)
if (sellCondition)
strategy.entry("Venda", strategy.short)
// Saídas de ordens
if (rsi > 70)
strategy.close("Compra")
if (rsi < 30)
strategy.close("Venda")
// Exibir as condições de compra e venda no gráfico
plotshape(buyCondition, style=shape.labelup, location=location.belowbar, color=color.green, size=size.small, title="Sinal de Compra", text="BUY")
plotshape(sellCondition, style=shape.labeldown, location=location.abovebar, color=color.red, size=size.small, title="Sinal de Venda", text="SELL")