该策略是一种基于RSI(相对强弱指数)与其移动平均线(MA)交叉的摆动交易策略,专为4小时图表设计。策略通过RSI与MA的金叉和死叉生成交易信号,并结合多种风险管理工具,包括固定止损/止盈、追踪止损和反转退出机制。策略还设置了连续亏损限制,当连续亏损超过两次时暂停交易,直到次日重置。
该策略通过RSI与MA的交叉信号实现摆动交易,结合多层次风险管理工具,平衡了盈利潜力和风险控制。其优势在于清晰的逻辑和严格的纪律性,但需进一步优化以适应不同市场环境。未来可通过多指标融合和动态参数提升稳健性。
/*backtest
start: 2024-04-23 00:00:00
end: 2024-09-06 00:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/
//@version=5
strategy("📈 RX Swing ", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1)
// === INPUTS ===
rsiLength = input.int(14, title="RSI Length")
maLength = input.int(14, title="RSI MA Length")
maType = input.string("SMA", options=["SMA", "EMA"], title="MA Type for RSI")
sl_pct = input.float(1.5, title="Stop Loss %", minval=0.0)
tp_pct = input.float(2.5, title="Take Profit %", minval=0.0)
capitalPerTrade = input.float(15000, title="Capital Per Trade (INR)", minval=1)
lotSize = input.int(50, title="Lot Size (Nifty Options Lot)", minval=1)
trail_points = input.float(10, title="Trailing SL Points", minval=0.1)
// === CALCULATIONS ===
rsi = ta.rsi(close, rsiLength)
rsiMA = maType == "SMA" ? ta.sma(rsi, maLength) : ta.ema(rsi, maLength)
longSignal = ta.crossover(rsi, rsiMA)
shortSignal = ta.crossunder(rsi, rsiMA)
// === TRADING WINDOW ===
canTrade = true
exitTime = false
// === STATE VARIABLES ===
var float entryPrice = na
var bool inTrade = false
var string tradeDir = ""
var int lossCount = 0
var float trailHigh = na
var float trailLow = na
// === EXIT TRIGGER ===
exitNow = false
exitReason = ""
// === POSITION SIZE BASED ON CAPITAL ===
positionSize = (capitalPerTrade / close) * lotSize
// === ENTRY LOGIC (AFTER CLOSE OF CANDLE) ===
if (canTrade and lossCount < 2)
if (longSignal and not inTrade and barstate.isconfirmed) // Ensure the signal happens after candle close
strategy.entry("Buy Call", strategy.long, qty=positionSize)
entryPrice := close
trailHigh := close
inTrade := true
tradeDir := "CALL"
else if (shortSignal and not inTrade and barstate.isconfirmed) // Ensure the signal happens after candle close
strategy.entry("Buy Put", strategy.short, qty=positionSize)
entryPrice := close
trailLow := close
inTrade := true
tradeDir := "PUT"
// === TRAILING STOP-LOSS LOGIC ===
if (inTrade)
if (tradeDir == "CALL")
trailHigh := math.max(trailHigh, close)
if (close <= trailHigh - trail_points)
strategy.close("Buy Call", comment="CALL Trailing SL Hit")
exitNow := true
exitReason := "Trail SL"
inTrade := false
lossCount := lossCount + 1
if (tradeDir == "PUT")
trailLow := math.min(trailLow, close)
if (close >= trailLow + trail_points)
strategy.close("Buy Put", comment="PUT Trailing SL Hit")
exitNow := true
exitReason := "Trail SL"
inTrade := false
lossCount := lossCount + 1
// === REVERSAL EXIT LOGIC ===
if (inTrade)
if (tradeDir == "CALL" and shortSignal)
strategy.close("Buy Call", comment="CALL Exit on Reversal")
exitNow := true
exitReason := "Reversal"
inTrade := false
if (strategy.position_size < 0)
lossCount := lossCount + 1
if (tradeDir == "PUT" and longSignal)
strategy.close("Buy Put", comment="PUT Exit on Reversal")
exitNow := true
exitReason := "Reversal"
inTrade := false
if (strategy.position_size > 0)
lossCount := lossCount + 1
// === TP/SL EXIT LOGIC ===
if (inTrade)
tpLevel = entryPrice * (1 + tp_pct / 100)
slLevel = entryPrice * (1 - sl_pct / 100)
if (strategy.position_size > 0)
if (close >= tpLevel)
strategy.close("Buy Call", comment="CALL TP Hit")
exitNow := true
exitReason := "TP"
inTrade := false
else if (close <= slLevel)
strategy.close("Buy Call", comment="CALL SL Hit")
exitNow := true
exitReason := "SL"
inTrade := false
lossCount := lossCount + 1
if (strategy.position_size < 0)
tpLevel = entryPrice * (1 - tp_pct / 100)
slLevel = entryPrice * (1 + sl_pct / 100)
if (close <= tpLevel)
strategy.close("Buy Put", comment="PUT TP Hit")
exitNow := true
exitReason := "TP"
inTrade := false
else if (close >= slLevel)
strategy.close("Buy Put", comment="PUT SL Hit")
exitNow := true
exitReason := "SL"
inTrade := false
lossCount := lossCount + 1
// === RESET LOSS COUNT ON NEW DAY ===
if (hour == 9 and minute == 15)
lossCount := 0
// === MARKUPS ===
plotshape(longSignal and canTrade and lossCount < 2 and barstate.isconfirmed, title="📗 CALL Entry", location=location.belowbar, style=shape.triangleup, color=color.green, size=size.small, text="CALL")
plotshape(shortSignal and canTrade and lossCount < 2 and barstate.isconfirmed, title="📕 PUT Entry", location=location.abovebar, style=shape.triangledown, color=color.red, size=size.small, text="PUT")
plotshape(exitNow and exitReason == "TP", location=location.belowbar, style=shape.xcross, color=color.green, size=size.tiny, title="✅ TP Exit", text="TP")
plotshape(exitNow and exitReason == "SL", location=location.abovebar, style=shape.xcross, color=color.red, size=size.tiny, title="❌ SL Exit", text="SL")
plotshape(exitNow and exitReason == "Reversal", location=location.abovebar, style=shape.circle, color=color.fuchsia, size=size.tiny, title="🔁 Reversal Exit", text="REV")
plotshape(exitNow and exitReason == "Trail SL", location=location.abovebar, style=shape.square, color=color.yellow, size=size.tiny, title="🔂 Trailing SL Exit", text="Trail")