RSI双枢轴背离量化策略是一种通过检测价格行为与相对强弱指数(RSI)之间的常规看涨和看跌背离来识别潜在反转机会的高级交易策略。该策略采用自动化枢轴点检测算法,结合两种不同的止损/止盈管理方法,在确认背离信号时自动建立头寸。策略核心在于通过精确的数学计算验证价格与RSI指标之间的背离现象,并采用动态风险管理机制确保每笔交易都遵循预设的风险回报比。
RSI双枢轴背离量化策略通过系统化的背离识别和严格的风险管理,提供了一种结构化的反转交易方法。其核心价值在于将传统技术分析概念转化为可量化的交易规则,并通过双模式止损机制适应不同市场环境。策略表现出色需要三个关键要素:适当的参数优化、严格的风险控制和一致性的执行纪律。该策略特别适合有一定波动性但趋势不极端的市场环境,是中级交易者向量化交易过渡的优秀模板。
/*backtest
start: 2024-04-25 00:00:00
end: 2025-04-23 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/
//@version=6
strategy("RSI Divergence Strategy - AliferCrypto", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)
// === RSI Settings ===
rsiLength = input.int(14, minval=1, title="RSI Length", group="RSI Settings", tooltip="Number of periods for RSI calculation")
rsiSource = input.source(close, title="RSI Source", group="RSI Settings", tooltip="Price source used for RSI calculation")
// === Divergence Settings ===
lookLeft = input.int(5, minval=1, title="Pivot Lookback Left", group="Divergence Settings", tooltip="Bars to the left for pivot detection")
lookRight = input.int(5, minval=1, title="Pivot Lookback Right", group="Divergence Settings", tooltip="Bars to the right for pivot detection")
rangeLower = input.int(5, minval=1, title="Min Bars Between Pivots", group="Divergence Settings", tooltip="Minimum bars between pivots to validate divergence")
rangeUpper = input.int(60, minval=1, title="Max Bars Between Pivots", group="Divergence Settings", tooltip="Maximum bars between pivots to validate divergence")
// === SL/TP Method ===
method = input.string("Swing", title="SL/TP Method", options=["Swing", "ATR"], group="SL/TP Settings", tooltip="Choose between swing-based or ATR-based stop and target")
// === Swing Settings ===
swingLook = input.int(20, minval=1, title="Swing Lookback (bars)", group="Swing Settings", tooltip="Bars to look back for swing high/low")
swingMarginPct = input.float(1.0, minval=0.0, title="Swing Margin (%)", group="Swing Settings", tooltip="Margin around swing levels as percentage of price")
rrSwing = input.float(2.0, title="R/R Ratio (Swing)", group="Swing Settings", tooltip="Risk/reward ratio when using swing-based method")
// === ATR Settings ===
atrLen = input.int(14, minval=1, title="ATR Length", group="ATR Settings", tooltip="Number of periods for ATR calculation")
atrMult = input.float(1.5, minval=0.1, title="ATR SL Multiplier", group="ATR Settings", tooltip="Multiplier for ATR-based stop loss calculation")
rrAtr = input.float(2.0, title="R/R Ratio (ATR)", group="ATR Settings", tooltip="Risk/reward ratio when using ATR-based method")
// === RSI Calculation ===
_d = ta.change(rsiSource)
up = ta.rma(math.max(_d, 0), rsiLength)
down = ta.rma(-math.min(_d, 0), rsiLength)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
// === Divergence Detection ===
defPl = not na(ta.pivotlow(rsi, lookLeft, lookRight))
defPh = not na(ta.pivothigh(rsi, lookLeft, lookRight))
rsiAtRR = rsi[lookRight]
barsPl = ta.barssince(defPl)
barsPl1 = barsPl[1]
inRangePL = barsPl1 >= rangeLower and barsPl1 <= rangeUpper
barsPh = ta.barssince(defPh)
barsPh1 = barsPh[1]
inRangePH = barsPh1 >= rangeLower and barsPh1 <= rangeUpper
prevPlRsi = ta.valuewhen(defPl, rsiAtRR, 1)
prevPhRsi = ta.valuewhen(defPh, rsiAtRR, 1)
prevPlPrice = ta.valuewhen(defPl, low[lookRight], 1)
prevPhPrice = ta.valuewhen(defPh, high[lookRight], 1)
bullCond = defPl and low[lookRight] < prevPlPrice and rsiAtRR > prevPlRsi and inRangePL
bearCond = defPh and high[lookRight] > prevPhPrice and rsiAtRR < prevPhRsi and inRangePH
plotshape(bullCond, title="Bullish Divergence", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.tiny)
plotshape(bearCond, title="Bearish Divergence", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.tiny)
// === Entries ===
if bullCond
strategy.entry("Long", strategy.long)
if bearCond
strategy.entry("Short", strategy.short)
// === Pre-calculate SL/TP components ===
swingLow = ta.lowest(low, swingLook)
swingHigh = ta.highest(high, swingLook)
atrValue = ta.atr(atrLen)
// === SL/TP Calculation & Exits ===
var float slPrice = na
var float tpPrice = na
var float rr = na
// Long exits
if strategy.position_size > 0
entryPrice = strategy.position_avg_price
if method == "Swing"
slPrice := swingLow * (1 - swingMarginPct / 100)
rr := rrSwing
else
slPrice := entryPrice - atrValue * atrMult
rr := rrAtr
risk = entryPrice - slPrice
tpPrice := entryPrice + risk * rr
strategy.exit("Exit Long", from_entry="Long", stop=slPrice, limit=tpPrice)
// Short exits
if strategy.position_size < 0
entryPrice = strategy.position_avg_price
if method == "Swing"
slPrice := swingHigh * (1 + swingMarginPct / 100)
rr := rrSwing
else
slPrice := entryPrice + atrValue * atrMult
rr := rrAtr
risk = slPrice - entryPrice
tpPrice := entryPrice - risk * rr
strategy.exit("Exit Short", from_entry="Short", stop=slPrice, limit=tpPrice)
// === Plot SL/TP Levels ===
plot(strategy.position_size != 0 ? slPrice : na, title="Stop Loss", style=plot.style_linebr, color=color.red)
plot(strategy.position_size != 0 ? tpPrice : na, title="Take Profit", style=plot.style_linebr, color=color.green)
// === Alerts ===
alertcondition(bullCond, title="Bull RSI Divergence", message="Bullish RSI divergence detected")
alertcondition(bearCond, title="Bear RSI Divergence", message="Bearish RSI divergence detected")