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El MTF RSI y la Estrategia STOCH

El autor:¿ Qué pasa?, Fecha: 2022-05-10 10:41:43
Las etiquetas:La SMA

Este intercambio es un indicador donde se puede ver el promedio de diferentes marcos de tiempo.

El RSI es la línea azul La acción es la línea amarilla

Puedes gestionar el tiempo en los parámetros.

La estrategia es tomar una posición cuando las dos líneas se sobrecompran o sobrevenden y cerrar cuando la bolsa y el RSI se mueven hacia el medio.

Prueba posterior

/*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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