RSI动量震荡波段雷达交易策略:基于ATR风险管理的RSI/MA交叉系统

/*backtest
start: 2024-05-30 00:00:00
end: 2025-05-29 00:00:00
period: 3d
basePeriod: 3d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mramoraf

//@version=6
strategy("RSI SwingRadar", overlay = true, 
     calc_on_order_fills = true,      // Recalculate on order fills to handle intra-bar fills
     currency = currency.USDT,        // Use USDT as the account currency
     initial_capital = 10000,         // Starting capital for backtest
     default_qty_type = strategy.percent_of_equity,  
     default_qty_value = 100,         // Risk 100% of equity per trade
     commission_type=strategy.commission.cash_per_contract,
     commission_value = 0.01)         // Commission per contract



// ── Inputs ─────────────────────────────────────────────────────────────────────

rr = input.float(4, 'Risk:Reward')                      // Reward:risk ratio
atrMulti = input.float(0.5, 'Atr Multiplier', tooltip = 'Stop Loss is calculated based on ATR value so the larger you set your ATR Multiplier, the larger your stop is going to be.')  
rsiOversold = input.int(35, 'RSI Oversold')              // Threshold for oversold
rsiOverbought = input.int(65, 'RSI Overbought')          // Threshold for overbought



// ── Indicator Calculations ────────────────────────────────────────────────────

rsi = ta.rsi(close, 14)        // 14-period RSI
rsiMA = ta.sma(rsi, 14)        // 14-period simple MA of RSI
atr = ta.atr(14)               // 14-period Average True Range



// ── Entry Conditions ──────────────────────────────────────────────────────────

buyCondition = ta.crossover(rsi, rsiMA) and rsi[1] < rsiOversold  
// Trigger long when RSI crosses above its MA AND previous RSI was below oversold



// ── Trade Variables ───────────────────────────────────────────────────────────

var float TradeStop   = na      // Will hold dynamic stop-loss price
var float TradeTarget = na      // Will hold dynamic take-profit price



// ── Entry Logic ──────────────────────────────────────────────────────────────

if buyCondition and barstate.isconfirmed and strategy.position_size == 0
    // Calculate stop: ATR distance below the low
    TradeStop := low - atr * atrMulti
    // Distance from entry to stop
    tradeStopSize = close - TradeStop
    // Calculate target: entry plus R:R multiple of stop distance
    TradeTarget := close + tradeStopSize * rr
    // Enter long trade
    strategy.entry('Long', strategy.long)



// ── Exit Logic ────────────────────────────────────────────────────────────────

strategy.exit('Exit', from_entry = 'Long', stop = TradeStop, limit = TradeTarget)
// Exits the 'Long' trade on either the stop-loss or take-profit price



// ── Visuals ───────────────────────────────────────────────────────────────────

fill(plot(strategy.position_size != 0 ? TradeStop : na, 'Stop Loss', color=color.red, style = plot.style_linebr), 
     plot(strategy.position_size != 0 ? strategy.position_avg_price : na, 'Entry Price', color=color.white, style = plot.style_linebr), 
     color.new(color.red, 85)
     )

fill(plot(strategy.position_size != 0 ? strategy.position_avg_price : na, 'Entry Price', color=color.white, style = plot.style_linebr),
     plot(strategy.position_size != 0 ? TradeTarget : na, 'Take Profit', color=color.green, style=plot.style_linebr),
     color.new(color.green, 85))

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