该策略是一个基于RSI(相对强弱指标)和CCI(顺势指标)的双重技术分析交易系统。它通过结合这两个经典技术指标的超买超卖信号,配合风险回报比和固定止损的方式,构建了一个完整的交易决策框架。策略的核心在于通过双重指标的交叉确认来提高交易信号的可靠性,同时融入了完善的风险管理机制。
策略主要基于以下几个核心原理运作: 1. 使用14周期的RSI指标和20周期的CCI指标作为信号生成的基础 2. 入场信号的触发条件: - 多头入场:RSI低于20(超卖)且CCI低于-200 - 空头入场:RSI高于80(超买)且CCI高于200 3. 风险管理设计: - 采用固定百分比止损(默认1%) - 基于风险回报比(默认2.0)自动计算止盈位置 4. 可视化系统: - 在图表上标注买卖信号点 - 绘制止损止盈参考线
这是一个将经典技术指标与现代风险管理理念相结合的完整交易系统。通过双重技术指标的确认机制提高了信号可靠性,配合严格的风险控制措施,形成了一个逻辑严密、实用性强的交易策略。虽然存在一定的局限性,但通过持续优化和完善,该策略具有良好的实战应用前景。继续在波动率感知、趋势确认和风险管理等方面进行优化,将进一步提升策略的稳定性和实用性。
/*backtest
start: 2024-12-29 00:00:00
end: 2025-01-05 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// TradingView Pine Script for RSI & CCI-Based Strategy
//@version=6
strategy("RSI & CCI Strategy", overlay=true)
// User Inputs
rsiLength = input.int(14, title="RSI Length")
rsiOverbought = input.int(80, title="RSI Overbought Level")
rsiOversold = input.int(20, title="RSI Oversold Level")
cciLength = input.int(20, title="CCI Length")
cciOverbought = input.int(200, title="CCI Overbought Level")
cciOversold = input.int(-200, title="CCI Oversold Level")
riskRewardRatio = input.float(2.0, title="Risk-Reward Ratio")
fixedStopLoss = input.float(1.0, title="Fixed Stop Loss (Percentage)", minval=0.1)
// RSI and CCI Calculations
rsi = ta.rsi(close, rsiLength)
cci = ta.cci(close, cciLength)
// Entry Conditions
longCondition = (rsi < rsiOversold) and (cci < cciOversold)
shortCondition = (rsi > rsiOverbought) and (cci > cciOverbought)
// Initialize variables for stop loss and take profit
var float longStopLoss = na
var float longTakeProfit = na
var float shortStopLoss = na
var float shortTakeProfit = na
// Plot Buy and Sell Signals
if (longCondition)
label.new(bar_index, low, "BUY", style=label.style_label_up, color=color.green, textcolor=color.white)
longEntryPrice = close
longStopLoss := longEntryPrice * (1 - fixedStopLoss / 100)
longTakeProfit := longEntryPrice + (longEntryPrice - longStopLoss) * riskRewardRatio
// line.new(bar_index, longEntryPrice, bar_index, longStopLoss, color=color.red, width=1, extend=extend.none)
// line.new(bar_index, longEntryPrice, bar_index, longTakeProfit, color=color.green, width=1, extend=extend.none)
if (shortCondition)
label.new(bar_index, high, "SELL", style=label.style_label_down, color=color.red, textcolor=color.white)
shortEntryPrice = close
shortStopLoss := shortEntryPrice * (1 + fixedStopLoss / 100)
shortTakeProfit := shortEntryPrice - (shortStopLoss - shortEntryPrice) * riskRewardRatio
// line.new(bar_index, shortEntryPrice, bar_index, shortStopLoss, color=color.green, width=1, extend=extend.none)
// line.new(bar_index, shortEntryPrice, bar_index, shortTakeProfit, color=color.red, width=1, extend=extend.none)
// Strategy Information and Alerts
if (longCondition)
strategy.entry("Long", strategy.long)
strategy.exit("Take Profit/Stop Loss", from_entry="Long", limit=longTakeProfit, stop=longStopLoss)
if (shortCondition)
strategy.entry("Short", strategy.short)
strategy.exit("Take Profit/Stop Loss", from_entry="Short", limit=shortTakeProfit, stop=shortStopLoss)