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RSI MTF et stratégie STOCH

Auteur:ChaoZhang est là., Date: 2022-05-10 à 10h41
Les étiquettes:SMA

Ce partage est un indicateur où vous pouvez voir la moyenne de différentes périodes.

Le RSI est la ligne bleue Le stock est la ligne jaune

Vous pouvez gérer le délai dans les paramètres.

La stratégie consiste à prendre position lorsque les deux lignes sont surachetées ou survendues et à fermer lorsque le stock et le RSI vont au milieu.

test de retour

img

/*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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