La estrategia se basa en la divergencia valor-precio cuando el RSI se desvía del precio. El RSI refleja la fuerza mientras que el precio refleja la relación oferta-demanda. Cuando los dos divergen, indica un precio erróneo del mercado para el arbitraje.
También hay divergencias alcistas y bajistas ocultas donde la relación entre el RSI y el precio es opuesta a las divergencias regulares, pero la lógica sigue siendo la misma para obtener ganancias.
La estrategia de divergencia del RSI arbitra los precios erróneos del mercado mediante el análisis de la divergencia entre las señales de valor y precio. Su ventaja radica en la captura oportuna de oportunidades de inversión de tendencia, mientras que su riesgo proviene de la precisión del reconocimiento de la divergencia.
/*backtest start: 2024-01-15 00:00:00 end: 2024-01-22 00:00:00 period: 1m basePeriod: 1m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy(title="Divergence Indicator") len = input.int(title="RSI Period", minval=1, defval=14) src = input(title="RSI Source", defval=close) lbR = input(title="Pivot Lookback Right", defval=5) lbL = input(title="Pivot Lookback Left", defval=5) rangeUpper = input(title="Max of Lookback Range", defval=60) rangeLower = input(title="Min of Lookback Range", defval=5) plotBull = input(title="Plot Bullish", defval=true) plotHiddenBull = input(title="Plot Hidden Bullish", defval=true) plotBear = input(title="Plot Bearish", defval=true) plotHiddenBear = input(title="Plot Hidden Bearish", defval=true) bearColor = color.red bullColor = color.green hiddenBullColor = color.new(color.green, 80) hiddenBearColor = color.new(color.red, 80) textColor = color.white noneColor = color.new(color.white, 100) osc = ta.rsi(src, len) plot(osc, title="RSI", linewidth=2, color=#2962FF) hline(50, title="Middle Line", color=#787B86, linestyle=hline.style_dotted) obLevel = hline(70, title="Overbought", color=#787B86, linestyle=hline.style_dotted) osLevel = hline(30, title="Oversold", color=#787B86, linestyle=hline.style_dotted) fill(obLevel, osLevel, title="Background", color=color.rgb(33, 150, 243, 90)) plFound = na(ta.pivotlow(osc, lbL, lbR)) ? false : true phFound = na(ta.pivothigh(osc, lbL, lbR)) ? false : true _inRange(cond) => bars = ta.barssince(cond == true) rangeLower <= bars and bars <= rangeUpper //------------------------------------------------------------------------------ // Regular Bullish // Osc: Higher Low oscHL = osc[lbR] > ta.valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1]) // Price: Lower Low priceLL = low[lbR] < ta.valuewhen(plFound, low[lbR], 1) // bull : 상승 Condition : 조건 bullCond = plotBull and priceLL and oscHL and plFound // 상승다이버전스? strategy.entry("상승 다이버전스 진입", strategy.long, when = bullCond) strategy.close("상승 다이버전스 진입", when = ta.crossover(osc, 50)) plot( plFound ? osc[lbR] : na, offset=-lbR, title="Regular Bullish", linewidth=2, color=(bullCond ? bullColor : noneColor) ) plotshape( bullCond ? osc[lbR] : na, offset=-lbR, title="Regular Bullish Label", text=" Bull ", style=shape.labelup, location=location.absolute, color=bullColor, textcolor=textColor ) //------------------------------------------------------------------------------ // Hidden Bullish // Osc: Lower Low oscLL = osc[lbR] < ta.valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1]) // Price: Higher Low priceHL = low[lbR] > ta.valuewhen(plFound, low[lbR], 1) hiddenBullCond = plotHiddenBull and priceHL and oscLL and plFound // strategy.entry("히든 상승 다이버전스 진입", strategy.long, when = hiddenBullCond) // strategy.close("히든 상승 다이버전스 진입", when = ta.crossover(osc, 50)) plot( plFound ? osc[lbR] : na, offset=-lbR, title="Hidden Bullish", linewidth=2, color=(hiddenBullCond ? hiddenBullColor : noneColor) ) plotshape( hiddenBullCond ? osc[lbR] : na, offset=-lbR, title="Hidden Bullish Label", text=" H Bull ", style=shape.labelup, location=location.absolute, color=bullColor, textcolor=textColor ) //------------------------------------------------------------------------------ // Regular Bearish // Osc: Lower High oscLH = osc[lbR] < ta.valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1]) // Price: Higher High priceHH = high[lbR] > ta.valuewhen(phFound, high[lbR], 1) // bear : 하락 bearCond = plotBear and priceHH and oscLH and phFound // strategy.entry("하락 다이버전스 진입", strategy.short, when = bearCond) // strategy.close("하락 다이버전스 진입", when = ta.crossunder(osc, 50)) plot( phFound ? osc[lbR] : na, offset=-lbR, title="Regular Bearish", linewidth=2, color=(bearCond ? bearColor : noneColor) ) plotshape( bearCond ? osc[lbR] : na, offset=-lbR, title="Regular Bearish Label", text=" Bear ", style=shape.labeldown, location=location.absolute, color=bearColor, textcolor=textColor ) //------------------------------------------------------------------------------ // Hidden Bearish // Osc: Higher High oscHH = osc[lbR] > ta.valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1]) // Price: Lower High priceLH = high[lbR] < ta.valuewhen(phFound, high[lbR], 1) hiddenBearCond = plotHiddenBear and priceLH and oscHH and phFound // strategy.entry("히든 하락 다이버전스 진입", strategy.short, when = hiddenBearCond) // strategy.close("히든 하락 다이버전스 진입", when = ta.crossunder(osc, 50)) plot( phFound ? osc[lbR] : na, offset=-lbR, title="Hidden Bearish", linewidth=2, color=(hiddenBearCond ? hiddenBearColor : noneColor) ) plotshape( hiddenBearCond ? osc[lbR] : na, offset=-lbR, title="Hidden Bearish Label", text=" H Bear ", style=shape.labeldown, location=location.absolute, color=bearColor, textcolor=textColor )