该策略是一个基于相对强弱指标(RSI)和动能振荡器(AO)协同作用的量化交易策略。策略主要通过捕捉RSI突破50水平线与AO处于负值区域的配合信号来识别潜在的做多机会。策略采用百分比止盈止损机制来管理风险,默认使用账户10%的资金进行交易。
策略的核心逻辑基于两个技术指标的协同配合: 1. RSI指标:使用14周期的RSI指标监测价格动量,当RSI突破50中轴线时视为上涨动能确立。 2. AO指标:通过对比5周期和34周期的移动平均线计算价格动量,当AO为负值时表明市场处于超卖区域。 3. 入场条件:当RSI突破50且AO为负值时开仓做多,这意味着捕捉到价格在超卖区域出现反转信号。 4. 出场条件:采用2%的止盈和1%的止损设置,确保每笔交易的风险收益比合理。
这是一个结合RSI和AO指标的趋势追踪策略,通过捕捉超卖区域的反转信号进行做多交易。策略设计合理,风险控制到位,但仍有优化空间。建议交易者在实盘使用前进行充分的历史回测,并根据实际市场情况调整参数设置。策略适合风险承受能力较强、对技术分析有一定理解的交易者使用。
/*backtest
start: 2024-10-01 00:00:00
end: 2024-10-31 23:59:59
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title="🐂 BUY Only - RSI Crossing 50 + AO Negative", shorttitle="🐂 AO<0 RSI+50 Strategy", overlay=true)
// -----------------------------
// --- User Inputs ---
// -----------------------------
// RSI Settings
rsiPeriod = input.int(title="RSI Period", defval=14, minval=1)
// AO Settings
aoShortPeriod = input.int(title="AO Short Period", defval=5, minval=1)
aoLongPeriod = input.int(title="AO Long Period", defval=34, minval=1)
// Strategy Settings
takeProfitPerc = input.float(title="Take Profit (%)", defval=2.0, minval=0.0, step=0.1)
stopLossPerc = input.float(title="Stop Loss (%)", defval=1.0, minval=0.0, step=0.1)
// -----------------------------
// --- Awesome Oscillator (AO) Calculation ---
// -----------------------------
// Calculate the Awesome Oscillator
ao = ta.sma(hl2, aoShortPeriod) - ta.sma(hl2, aoLongPeriod)
// Detect AO Crossing Zero
aoCrossOverZero = ta.crossover(ao, 0)
aoCrossUnderZero = ta.crossunder(ao, 0)
// -----------------------------
// --- Relative Strength Index (RSI) Calculation ---
// -----------------------------
// Calculate RSI
rsiValue = ta.rsi(close, rsiPeriod)
// Detect RSI Crossing 50
rsiCrossOver50 = ta.crossover(rsiValue, 50)
rsiCrossUnder50 = ta.crossunder(rsiValue, 50)
// -----------------------------
// --- Plotting Arrows and Labels ---
// -----------------------------
// Plot AO Cross Over Arrow (AO+)
plotshape(series=aoCrossOverZero,
location=location.belowbar,
color=color.green,
style=shape.labelup,
title="AO Crosses Above Zero",
text="AO+",
textcolor=color.white,
size=size.small)
// Plot AO Cross Under Arrow (AO-)
plotshape(series=aoCrossUnderZero,
location=location.abovebar,
color=color.red,
style=shape.labeldown,
title="AO Crosses Below Zero",
text="AO-",
textcolor=color.white,
size=size.small)
// Plot RSI Cross Over Arrow (RSI Up)
plotshape(series=rsiCrossOver50,
location=location.belowbar,
color=color.blue,
style=shape.labelup,
title="RSI Crosses Above 50",
text="RSI Up",
textcolor=color.white,
size=size.small)
// Plot RSI Cross Under Arrow (RSI Down)
plotshape(series=rsiCrossUnder50,
location=location.abovebar,
color=color.orange,
style=shape.labeldown,
title="RSI Crosses Below 50",
text="RSI Down",
textcolor=color.white,
size=size.small)
// -----------------------------
// --- Buy Signal Condition ---
// -----------------------------
// Define Buy Signal: AO is negative and previous bar's RSI > 50
buySignal = (ao < 0) and (rsiValue[1] > 50)
// Plot Buy Signal
plotshape(series=buySignal,
location=location.belowbar,
color=color.lime,
style=shape.triangleup,
title="Buy Signal",
text="BUY",
textcolor=color.black,
size=size.small)
// -----------------------------
// --- Strategy Execution ---
// -----------------------------
// Entry Condition
if buySignal
strategy.entry("Long", strategy.long)
// Exit Conditions
// Calculate Stop Loss and Take Profit Prices
if strategy.position_size > 0
// Entry price
entryPrice = strategy.position_avg_price
// Stop Loss and Take Profit Levels
stopLevel = entryPrice * (1 - stopLossPerc / 100)
takeProfitLevel = entryPrice * (1 + takeProfitPerc / 100)
// Submit Stop Loss and Take Profit Orders
strategy.exit("Exit Long", from_entry="Long", stop=stopLevel, limit=takeProfitLevel)