This is a trading strategy system that combines the RSI momentum indicator with the ATR volatility indicator. The strategy identifies potential trading opportunities by monitoring RSI crossovers with its moving average while using the ATR indicator as a volatility filter to ensure sufficient market volatility. The strategy operates during European trading hours (8:00-21:00 Prague time) on a 5-minute timeframe with fixed take-profit and stop-loss levels.
The core logic is based on several key components: 1. RSI indicator identifies oversold (below 45) and overbought (above 55) regions 2. RSI crossovers with its moving average trigger entry signals 3. ATR indicator filters low volatility environments, only allowing trades above threshold 4. Trading time restricted to 8:00-21:00 Prague time 5. Fixed stop-loss and take-profit strategy set at 5000 points
Specific trading rules: - Long conditions: RSI crosses above its MA below 45, meeting time and volatility criteria - Short conditions: RSI crosses below its MA above 55, meeting time and volatility criteria - Exit conditions: Automatic closure at take-profit or stop-loss levels
The strategy constructs a relatively complete trading system by combining RSI and ATR indicators. Its main strengths lie in multiple filtering mechanisms and comprehensive risk management, though limitations exist. Through proposed optimizations, the strategy shows potential for improved performance. The key is continuous parameter adjustment and optimization based on actual trading conditions to maintain adaptability.
/*backtest start: 2024-11-10 00:00:00 end: 2024-12-09 08:00:00 period: 3h basePeriod: 3h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Custom RSI + ATR Strategy", overlay=true) // === Настройки индикаторов === rsi_length = input.int(14, minval=1, title="RSI Length") rsi_ma_length = input.int(10, minval=1, title="RSI MA Length") atr_length = input.int(14, minval=1, title="ATR Length") atr_threshold = input.float(0.5, minval=0.1, title="ATR Threshold") // === Параметры стоп-лосса и тейк-профита === stop_loss_ticks = input.int(5000, title="Stop Loss Ticks") take_profit_ticks = input.int(5000, title="Take Profit Ticks") // === Получение значений индикаторов === rsi = ta.rsi(close, rsi_length) rsi_ma = ta.sma(rsi, rsi_ma_length) atr_value = ta.atr(atr_length) // === Время для открытия сделок === start_time = timestamp("Europe/Prague", year, month, dayofmonth, 8, 0) end_time = timestamp("Europe/Prague", year, month, dayofmonth, 21, 0) in_trading_hours = (time >= start_time and time <= end_time) // === Условие по волатильности === volatility_filter = atr_value > atr_threshold // === Условия для лонгов === long_condition = ta.crossover(rsi, rsi_ma) and rsi < 45 and in_trading_hours and volatility_filter if (long_condition) strategy.entry("Long", strategy.long) strategy.exit("Take Profit/Stop Loss", "Long", stop=low - stop_loss_ticks * syminfo.mintick, limit=high + take_profit_ticks * syminfo.mintick) // === Условия для шортов === short_condition = ta.crossunder(rsi, rsi_ma) and rsi > 55 and in_trading_hours and volatility_filter if (short_condition) strategy.entry("Short", strategy.short) strategy.exit("Take Profit/Stop Loss", "Short", stop=high + stop_loss_ticks * syminfo.mintick, limit=low - take_profit_ticks * syminfo.mintick) // === Отображение индикаторов на графике === plot(rsi, color=color.blue, title="RSI") plot(rsi_ma, color=color.red, title="RSI MA") hline(45, "RSI 45", color=color.green) hline(55, "RSI 55", color=color.red) plot(atr_value, color=color.orange, title="ATR", linewidth=2) hline(atr_threshold, "ATR Threshold", color=color.purple)