Esta estrategia negocia extremos del RSI utilizando el indicador rápido del RSI y filtra las entradas basadas en el tamaño del cuerpo de la vela para evitar golpes de arco.
Estrategia lógica:
Calcular el RSI rápido y establecer umbrales de sobrecompra/sobreventa.
Calcular la EMA del tamaño del cuerpo de la vela para el filtrado del cuerpo.
Ir largo cuando el RSI cruza por encima de la línea de sobrecompra y el cuerpo por encima de la mitad de la EMA.
Salida cuando el RSI cruce de nuevo por debajo del umbral original y el cuerpo sobre la EMA.
Min/max puede proporcionar una verificación adicional de la señal.
Ventajas:
RSI rápido acelera la generación de señal evitando el retraso.
Los filtros de tamaño corporal reducen el ruido insignificante de las velas.
Min/max mejora la calidad de la señal.
Riesgos:
El filtrado corporal puede omitir algunas señales válidas.
Los Whipsaws todavía son posibles para el RSI en mercados variados.
Se requiere una gestión estricta del riesgo para las operaciones de inversión.
En resumen, esta estrategia combina el RSI rápido y el filtrado del tamaño corporal para una detección más rápida pero más robusta de sobrecompra/sobreventa.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-11 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title = "Noro's Fast RSI Strategy v1.3", shorttitle = "Fast RSI str 1.3", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 5)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
rsiperiod = input(7, defval = 7, minval = 2, maxval = 50, title = "RSI Period")
limit = input(30, defval = 30, minval = 1, maxval = 100, title = "RSI limit")
rsisrc = input(close, defval = close, title = "RSI Price")
rb = input(1, defval = 1, minval = 1, maxval = 5, title = "RSI Bars")
usemm = input(false, defval = false, title = "Use Min/Max")
showarr = input(false, defval = false, title = "Show Arrows")
fromyear = input(2018, defval = 2018, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Fast RSI
fastup = rma(max(change(rsisrc), 0), rsiperiod)
fastdown = rma(-min(change(rsisrc), 0), rsiperiod)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))
//Limits
bar = close > open ? 1 : close < open ? -1 : 0
uplimit = 100 - limit
dnlimit = limit
//RSI Bars
ur = fastrsi > uplimit
dr = fastrsi < dnlimit
uprsi = rb == 1 and ur ? 1 : rb == 2 and ur and ur[1] ? 1 : rb == 3 and ur and ur[1] and ur[2] ? 1 : rb == 4 and ur and ur[1] and ur[2] and ur[3] ? 1 : rb == 5 and ur and ur[1] and ur[2] and ur[3] and ur[4] ? 1 : 0
dnrsi = rb == 1 and dr ? 1 : rb == 2 and dr and dr[1] ? 1 : rb == 3 and dr and dr[1] and dr[2] ? 1 : rb == 4 and dr and dr[1] and dr[2] and dr[3] ? 1 : rb == 5 and dr and dr[1] and dr[2] and dr[3] and dr[4] ? 1 : 0
//Body
body = abs(close - open)
emabody = ema(body, 30)
//MinMax
min = min(close, open)
max = max(close, open)
//Signals
up1 = bar == -1 and (strategy.position_size == 0 or close < strategy.position_avg_price) and dnrsi and body > emabody / 4
dn1 = bar == 1 and (strategy.position_size == 0 or close > strategy.position_avg_price) and uprsi and body > emabody / 4
up2 = min < min[1] and bar == -1 and bar[1] == -1 and usemm
dn2 = max > max[1] and bar == 1 and bar[1] == 1 and usemm
exit = ((strategy.position_size > 0 and fastrsi > dnlimit and bar == 1) or (strategy.position_size < 0 and fastrsi < uplimit and bar == -1)) and body > emabody / 2
//Arrows
col = exit ? black : up1 or dn1 ? blue : up2 or dn2 ? red : na
needup = up1 or (up2 and usemm)
needdn = dn1 or (dn2 and usemm)
needexitup = exit and strategy.position_size < 0
needexitdn = exit and strategy.position_size > 0
plotarrow(showarr and needup ? 1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needdn ? -1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needexitup ? 1 : na, colorup = black, colordown = black, transp = 0)
plotarrow(showarr and needexitdn ? -1 : na, colorup = black, colordown = black, transp = 0)
//Trading
if up1 or up2
strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if dn1 or dn2
strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if time > timestamp(toyear, tomonth, today, 00, 00) or exit
strategy.close_all()