多时间框架RSI与EMA交叉量化动量策略

/*backtest
start: 2024-03-13 00:00:00
end: 2025-03-13 00:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("RSI & EMA Crossover Strategy with Daily & Weekly RSI Filter", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === INPUTS ===
rsiLength = input(14, "RSI Length")
rsiOverbought = input(70, "RSI Overbought")
rsiOversold = input(30, "RSI Oversold")
dailyRSIThresholdBuy = input(55, "Daily RSI Buy Threshold")
dailyRSIThresholdSell = input(45, "Daily RSI Sell Threshold")
weeklyRSIThresholdBuy = input(55, "Weekly RSI Buy Threshold")
weeklyRSIThresholdSell = input(45, "Weekly RSI Sell Threshold")

ema1Length = input(13, "EMA 1 Length")
ema2Length = input(21, "EMA 2 Length")
ema3Length = input(34, "EMA 3 Length")
ema4Length = input(55, "EMA 4 Length")

// === RSI CALCULATION ===
currentRSI = ta.rsi(close, rsiLength)
dailyRSI = request.security(syminfo.tickerid, "D", ta.rsi(close, rsiLength), lookahead=barmerge.lookahead_on)
weeklyRSI = request.security(syminfo.tickerid, "W", ta.rsi(close, rsiLength), lookahead=barmerge.lookahead_on)

// === EMA CALCULATIONS ===
ema1 = ta.ema(close, ema1Length)
ema2 = ta.ema(close, ema2Length)
ema3 = ta.ema(close, ema3Length)
ema4 = ta.ema(close, ema4Length)

// === BUY CONDITION ===
buySignal = ta.crossover(ema1, ema2) and dailyRSI > dailyRSIThresholdBuy and weeklyRSI > weeklyRSIThresholdBuy

// === SELL CONDITION ===
sellSignal = ta.crossunder(ema1, ema2) and dailyRSI < dailyRSIThresholdSell and weeklyRSI < weeklyRSIThresholdSell

// === EXIT CONDITIONS ===
exitLong = ta.crossunder(ema1, ema3) or close < ema4
exitShort = ta.crossover(ema1, ema3) or close > ema4

// === STRATEGY EXECUTION ===
if (buySignal)
    strategy.close("Short")  // Close short position before opening long
    strategy.entry("Long", strategy.long)
if (sellSignal)
    strategy.close("Long")  // Close long position before opening short
    strategy.entry("Short", strategy.short)

if (exitLong)
    strategy.close("Long")
if (exitShort)
    strategy.close("Short")

// === PLOTTING SIGNALS ===
plotshape(series=buySignal, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal")
plotshape(series=sellSignal, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell Signal")

// === ALERTS ===
alertcondition(buySignal, title="Buy Alert", message="Buy Signal Triggered")
alertcondition(sellSignal, title="Sell Alert", message="Sell Signal Triggered")
alertcondition(exitLong, title="Exit Long Alert", message="Exit Long Position")
alertcondition(exitShort, title="Exit Short Alert", message="Exit Short Position")

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