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Dynamic RSI and CCI Combined Multi-factor Quantitative Trading Strategy

Author: ChaoZhang, Date: 2023-11-27 18:54:34
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Overview

This strategy combines dynamic RSI, CCI and multiple MA moving averages to implement a multi-factor driven quantitative trading strategy. The strategy takes into account multiple dimensions such as trend, overbought and oversold to make judgments and generate trading signals.

Strategy Principle

Technical Indicators

  • MA: Calculates average closing price over a period to determine price trend
  • RSI: Judges overbought and oversold levels
  • CCI: Judges overbought and oversold status
  • Stoch KDJ: Judges deviation of stochastic from main trend

Trading Signals

Buy signal: MA12 crosses over MA26, CCI below 100 (oversold), Stoch KDJ below 80 (oversold)

Sell signal: RSI crosses below dynamic threshold, Stoch KDJ above 80 (overbought)

Advantages

  1. Multi-factor driven, comprehensive judgment, lower false signals
  2. Dynamic threshold for sellable, real-time overbought and oversold detection
  3. Combines trend, stochastic, mainstream technical indicators
  4. Adopts multiple parameter tuning, high flexibility

Risks

  1. Overly complex multi-factor combination, difficult parameter tuning
  2. Performance highly related to parameter selection
  3. Requires strict quantitative process for parameter optimization
  4. High curve fitting risk

Optimization

  1. More dataset testing for strategy robustness
  2. Multiple parameter combination testing to find optimum
  3. Add stop loss to reduce maximum drawdown
  4. Add position sizing to avoid chasing and killing
  5. Test adaptability across different products

Conclusion

This strategy combines multiple technical indicators and multi-factor driven judgments with parameter tuning and statistical validation to achieve good results. But higher complexity, need to prevent overfitting, and control position sizing and stop loss to reduce maximum drawdown. Can further expand strategy across products and timeframes.

/*backtest
start: 2023-11-19 00:00:00
end: 2023-11-26 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="ATOM2.0", shorttitle="ATOM V2.0", overlay=false, default_qty_type=strategy.cash, currency=currency.USD, initial_capital=200, default_qty_type=strategy.cash, default_qty_value=100, pyramiding=10)

// Set Parameter MA12
len12 = input(12, minval=1, title="Length")
src12 = input(close, title="Source")
ma12 = sma(src12, len12)
//plot(ma12, color=color.blue, title="MA12")

// Set Parameter MA26
len26 = input(26, minval=1, title="Length")
src26 = input(close, title="Source")
ma26 = sma(src26, len26)
//plot(ma26, color=color.orange, title="MA12")

//Stochastic RSI 14,3,3
smoothK_1 = input(3, minval=1)
smoothD_1 = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
src_1 = input(close, title="RSI Source_1")

rsi1 = rsi(src_1, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK_1)
d = sma(k, smoothD_1)
//plot(k, color=color.red)
//plot(d, color=color.yellow)

//Stochastic RSI 5,4,3
smoothK_2 = input(4, minval=1)
smoothD_2 = input(3, minval=1)
lengthRSI_2 = input(5, minval=1)
lengthStoch_2 = input(5, minval=1)
src_2 = input(close, title="RSI Source_2")

rsi2 = rsi(src_2, lengthRSI_2)
k_2 = sma(stoch(rsi2, rsi2, rsi2, lengthStoch_2), smoothK_2)
d_2 = sma(k_2, smoothD_2)
//plot(k_2, color=color.white)
//plot(d_2, color=color.green)

// CCI
cci = cci(close,26)
//plot(cci,color=color.blue)

// Dynamic RSI
DZbuy = 0.1
DZsell = 0.1
Period = 14
Lb = 60

RSILine = rsi(close,Period)
jh = highest(RSILine, Lb)
jl = lowest(RSILine, Lb)
jc = (wma((jh-jl)*0.5,Period) + wma(jl,Period))
Hiline = jh - jc * DZbuy
Loline = jl + jc * DZsell
R = (4 * RSILine + 3 * RSILine[1] + 2 * RSILine[2] + RSILine[3] ) / 10

plot(R, title='R', color=color.white, linewidth=1, transp=0)
plot(Hiline, title='Hiline', color=color.yellow,  linewidth=1, transp=0)
plot(Loline, title='Loline', color=color.yellow, linewidth=1, transp=0)
plot(jc, title='Jc', color=color.purple,  linewidth=1, transp=50)

col_1 = R > Hiline ? color.red:na
col_2 = R < Loline ? color.green:na

fill(plot(R, title='R', color=color.white, linewidth=1, transp=0), plot(Hiline, title='Hiline', color=color.yellow,  linewidth=1, transp=0), color=col_1,transp=0)
fill(plot(R, title='R', color=color.white, linewidth=1, transp=0), plot(Loline, title='Loline', color=color.yellow, linewidth=1, transp=0), color=col_2,transp=0)
//------------------------------------------------------------------------------
// Calculate qty
// Parameter
fund = 10           // Fund per Contract in USD
leverage = 100     // Leverage
// Buy Condition
buyCondition = (ma12>ma26 and cci<100 and k<80 and d<80 and k_2<80 and d_2<80 and crossover(k_2, d_2))
buy = (buyCondition == input(1))
alertcondition(buy, title='time to Long', message='Long!!!')
//closeBuy = (cci>100 and cci<cci[1] and cci<cci[2])
closeBuy = (crossunder(R, Hiline) and k>80)
alertcondition(closeBuy, title='Time to Close', message='Close Long')

// Submit Orders
strategy.entry(id="Long", qty=(fund*leverage)/close, long=true, when=buyCondition)
strategy.close(id="Long", when=closeBuy)
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