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MTF RSI & STOCH Strategy

Author: ChaoZhang, Date: 2022-05-10 10:41:43
Tags: SMA

This sharing is an indicator where you can see the average of different time frames.

The RSI is the blue line The Stock is the yellow line

You can manage the timeframe in the parameters.

The strategy is to take position when the two lines get overbought or oversold and close when the stoch and RSI goes to the middle.

backtest

img

/*backtest
start: 2021-05-09 00:00:00
end: 2022-05-08 23:59:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

////////////////////////////////////////// MTF Stochastic & RSI Strategy ©️ bykzis /////////////////////////////////////////
//

// *** Inspired by "Binance CHOP Dashboard" from @Cazimiro and "RSI MTF Table" from @mobester16 *** and LOT OF COPY of Indicator-Jones MTF Scanner
// 
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

//@version=5
//strategy('MTF RSI & STOCH Strategy', overlay=false,initial_capital=100, currency=currency.USD, commission_value=0.01, commission_type=strategy.commission.percent)


// Pair list
var string GRP1       = '══════════    General    ══════════'
overbought = input.int(80, 'Overbought Level', minval=1, group=GRP1)
oversold = input.int(20, 'Oversold Level', minval=1, group=GRP1)


/// Timeframes
var string GRP2       = '══════════   Timeframes   ══════════'
timeframe1 = input.timeframe(title="Timeframe 1", defval="W", group=GRP2)
timeframe2 = input.timeframe(title="Timeframe 2", defval="D", group=GRP2)
timeframe3 = input.timeframe(title="Timeframe 3", defval="240", group=GRP2)
timeframe4 = input.timeframe(title="Timeframe 4", defval="60", group=GRP2)

// RSI settings
var string GRP3       = '══════════   RSI settings   ══════════'
rsiLength = input.int(14, minval=1, title='RSI length', group=GRP3)
rsiSource = input(close, 'RSI Source', group=GRP3)
rsioverbought = input.int(70, 'RSI Overbought Level', minval=1, group=GRP3)
rsioversold = input.int(30, 'RSI Oversold Level', minval=1, group=GRP3)


/// Get RSI values of each timeframe /////////////////////////////////////////////////////
rsi = ta.rsi(rsiSource, rsiLength)
callRSI(id,timeframe) =>
    rsiValue = request.security(id, str.tostring(timeframe), rsi, gaps=barmerge.gaps_off)
    rsiValue

RSI_TF1 = callRSI(syminfo.tickerid, timeframe1)
RSI_TF2 = callRSI(syminfo.tickerid, timeframe2)
RSI_TF3 = callRSI(syminfo.tickerid, timeframe3)
RSI_TF4 = callRSI(syminfo.tickerid, timeframe4)




/////// Calculate Averages /////////////////////////////////////////////////////////////////
calcAVG(valueTF1, valueTF2, valueTF3, valueTF4) =>
    math.round((valueTF1 + valueTF2 + valueTF3 + valueTF4) / 4, 2)

AVG=calcAVG(RSI_TF1, RSI_TF2, RSI_TF3, RSI_TF4)



// Stochastic settings
var string GRP4       = '══════════   Stochastic settings   ══════════'
periodK = input.int(14, '%K length', minval=1, group=GRP4)
smoothK = input.int(3, 'Smooth K', minval=1, group=GRP4)
stochSource = input(close, 'Stochastic Source', group=GRP4)
stochoverbought = input.int(70, 'Stochastic Overbought Level', minval=1, group=GRP4)
stochoversold = input.int(30, 'Stochastic Oversold Level', minval=1, group=GRP4)


/// Get Stochastic values of each timeframe ////////////////////////////////////////////////
stoch = ta.sma(ta.stoch(stochSource, high, low, periodK), smoothK)
getStochastic(id,timeframe) =>
    stochValue = request.security(id, str.tostring(timeframe), stoch, gaps=barmerge.gaps_off)
    stochValue

Stoch_TF1 = getStochastic(syminfo.tickerid, timeframe1)
Stoch_TF2 = getStochastic(syminfo.tickerid, timeframe2)
Stoch_TF3 = getStochastic(syminfo.tickerid, timeframe3)
Stoch_TF4 = getStochastic(syminfo.tickerid, timeframe4)


AVG_STOCH=calcAVG(Stoch_TF1, Stoch_TF2, Stoch_TF3, Stoch_TF4)


plot(AVG, color = color.blue, title='RSI')
plot(AVG_STOCH, color = color.yellow,title='STOCH')
hline(rsioverbought,color=color.red)
hline(rsioversold, color=color.lime)
hline(50, color=color.white)

//============ signal Generator ==================================//

if AVG <= rsioversold and AVG_STOCH <=stochoversold 
    strategy.entry('Buy_Long', strategy.long)

    
strategy.close("Buy_Long",when=(AVG_STOCH >=70 and AVG >=50 and close >=strategy.position_avg_price),comment="Long_OK")

if AVG >=rsioverbought and AVG_STOCH >=stochoverbought
    strategy.entry('Buy_Short', strategy.short)


strategy.close("Buy_Short",when=(AVG_STOCH <=30 and AVG <=50 and close <=strategy.position_avg_price),comment="Short_OK")


///////////////////////////////////////////////////////////////////////////////////////////
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