量化交易中基于RSI与成交量的高级反转策略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-02-19 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("RSI & Volume Contrarian Strategy", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=10, pyramiding=0)

//---------------------------
// Inputs and Parameters
//---------------------------
rsiPeriod    = input.int(14, title="RSI Period", minval=1)
oversold     = input.int(30, title="RSI Oversold Level", minval=1, maxval=50)
overbought   = input.int(70, title="RSI Overbought Level", minval=50, maxval=100)
volMAPeriod  = input.int(20, title="Volume MA Period", minval=1)

//---------------------------
// Indicator Calculations
//---------------------------
rsiValue = ta.rsi(close, rsiPeriod)
volMA    = ta.sma(volume, volMAPeriod)

//---------------------------
// Trade Logic
//---------------------------

// Long Entry: Look for oversold conditions (RSI < oversold)
//            accompanied by above-average volume (volume > volMA)
// In an uptrend, oversold conditions with high volume may signal a strong reversal opportunity.
longCondition = (rsiValue < oversold) and (volume > volMA)

// Short Entry: When RSI > overbought and volume is above its moving average,
//              the temporary strength in a downtrend can be exploited contrarily.
shortCondition = (rsiValue > overbought) and (volume > volMA)

if longCondition
    strategy.entry("Long", strategy.long)

if shortCondition
    strategy.entry("Short", strategy.short)

// Exit Logic:
// Use a simple RSI midline crossover as an exit trigger.
// For longs, if RSI crosses above 50 (indicating a recovery), exit the long.
// For shorts, if RSI crosses below 50, exit the short.
exitLong  = ta.crossover(rsiValue, 50)
exitShort = ta.crossunder(rsiValue, 50)

if strategy.position_size > 0 and exitLong
    strategy.close("Long", comment="RSI midline exit")
    log.info("strategy.position_size > 0 and exitLong")

if strategy.position_size < 0 and exitShort
    strategy.close("Short", comment="RSI midline exit")
    log.info("strategy.position_size > 0 and exitLong")

//---------------------------
// Visualization
//---------------------------

// Plot the RSI on a separate pane for reference
plot(rsiValue, title="RSI", color=color.blue, linewidth=2)
hline(oversold, title="Oversold", color=color.green)
hline(overbought, title="Overbought", color=color.red)
hline(50, title="Midline", color=color.gray, linestyle=hline.style_dotted)

// Optionally, you may plot the volume moving average on a hidden pane
plot(volMA, title="Volume MA", color=color.purple, display=display.none)

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