该策略是一个结合了动量指标RSI和趋势指标EMA的复合型交易系统。它在1分钟和5分钟两个时间周期上运行,通过RSI的超买超卖信号以及三重EMA的趋势判断来进行交易决策。策略既包含趋势跟踪又包含均值回归的特点,能够在不同市场环境下捕捉交易机会。
策略采用21/50/200日三重EMA作为趋势判断基准,同时结合改良版的RSI指标(采用Chebyshev方法计算)来识别市场超买超卖状态。在1分钟周期上,当RSI突破94时开启做空,跌破4时平仓,并在RSI回归50时设置保本止损。在5分钟周期上,当价格跌破200日EMA并反弹时开启做多,在RSI超买或跌破中值时平仓。策略通过仓位管理变量inPositionLong和inPositionShort来避免重复入场。
该策略通过结合多个技术指标和多重时间周期分析来提高交易的稳定性和可靠性。虽然存在一定的风险,但通过合理的仓位管理和止损机制可以实现风险的有效控制。策略的优化空间较大,通过引入更多的技术指标和优化参数可以进一步提升策略的表现。
/*backtest
start: 2023-11-12 00:00:00
end: 2024-07-10 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Combined RSI Primed and 3 EMA Strategy", overlay=true)
// Input for EMA lengths
emaLength1 = input(21, title="EMA Length 1")
emaLength2 = input(50, title="EMA Length 2")
emaLength3 = input(200, title="EMA Length 3")
// Input for RSI settings
rsiLength = input(14, title="RSI Length")
rsiOverbought = input(94, title="RSI Overbought Level")
rsiNeutral = input(50, title="RSI Neutral Level")
rsiOversold = input(4, title="RSI Oversold Level")
// Calculate EMAs
ema1 = ta.ema(close, emaLength1)
ema2 = ta.ema(close, emaLength2)
ema3 = ta.ema(close, emaLength3)
// Calculate RSI using Chebyshev method from RSI Primed
rsi(source) =>
up = math.max(ta.change(source), 0)
down = -math.min(ta.change(source), 0)
rs = up / down
rsiValue = down == 0 ? 100 : 100 - (100 / (1 + rs))
rsiValue
rsiValue = rsi(close)
// Plot EMAs
plot(ema1, color=color.red, title="EMA 21")
plot(ema2, color=color.white, title="EMA 50")
plot(ema3, color=color.blue, title="EMA 200")
// Plot RSI for visual reference
hline(rsiOverbought, "Overbought", color=color.red)
hline(rsiNeutral, "Neutral", color=color.gray)
hline(rsiOversold, "Oversold", color=color.green)
plot(rsiValue, color=color.blue, title="RSI")
// Trading logic with position management
var bool inPositionShort = false
var bool inPositionLong = false
// Trading logic for 1-minute timeframe
if (rsiValue > rsiOverbought and not inPositionShort)
strategy.entry("Sell", strategy.short)
inPositionShort := true
if (rsiValue < rsiOversold and inPositionShort)
strategy.close("Sell")
inPositionShort := false
if (ta.crossover(rsiValue, rsiNeutral) and inPositionShort)
strategy.exit("Break Even", "Sell", stop=close)
// Trading logic for 5-minute timeframe
var float lastBearishClose = na
if (close < ema3 and close[1] >= ema3) // Check if the current close is below EMA200
lastBearishClose := close
if (not na(lastBearishClose) and close > lastBearishClose and not inPositionLong)
strategy.entry("Buy", strategy.long)
inPositionLong := true
if (rsiValue > rsiOverbought and inPositionLong)
strategy.close("Buy")
inPositionLong := false
if (ta.crossunder(rsiValue, rsiNeutral) and inPositionLong)
strategy.exit("Break Even", "Buy", stop=close)
lastBearishClose := na // Reset after trade execution