La stratégie Reversal-Catcher est une stratégie de trading inverse qui utilise l'indicateur de volatilité Bollinger Bands et l'indicateur de dynamique RSI. Elle définit le canal Bollinger Bands et les lignes de surachat/survente RSI comme signaux pour trouver des opportunités d'inversion lorsque la direction de la tendance change.
La stratégie utilise les bandes de Bollinger comme indicateur technique principal, combiné avec le RSI et d'autres indicateurs de dynamique pour vérifier les signaux de trading.
Les avantages de cette stratégie sont les suivants:
Les risques de cette stratégie comprennent:
Pour contrôler les risques, nous pouvons définir un niveau de stop loss pour limiter l'exposition au risque, et optimiser des paramètres comme la période des bandes de Bollinger ou les chiffres du RSI pour améliorer les performances du système.
Les principaux axes d'optimisation sont les suivants:
La stratégie Reversal-Catcher est une stratégie de trading à court terme efficace dans l'ensemble. En combinant le filtrage des tendances et les signaux d'inversion, elle peut éviter de faux signaux lors de la consolidation du marché et éviter de lutter contre la tendance.
/*backtest start: 2023-10-24 00:00:00 end: 2023-11-23 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This is an Open source work. Please do acknowledge in case you want to reuse whole or part of this code. // Please see the documentation to know the details about this. //@version=5 strategy('Strategy:Reversal-Catcher', shorttitle="Reversal-Catcher", overlay=true , currency=currency.NONE, initial_capital=100000) // Inputs src = input(close, title="Source (close, high, low, open etc.") BBlength = input.int(defval=20, minval=1,title="Bollinger Period Length, default 20") BBmult = input.float(defval=1.5, minval=1.0, maxval=4, step=0.1, title="Bollinger Bands Standard Deviation, default is 1.5") fastMovingAvg = input.int(defval=21, minval=5,title="Fast Exponential Moving Average, default 21", group = "Trends") slowMovingAvg = input.int(defval=50, minval=8,title="Slow Exponential Moving Average, default 50", group = "Trends") rsiLenght = input.int(defval=14, title="RSI Lenght, default 14", group = "Momentum") overbought = input.int(defval=70, title="Overbought limit (RSI), default 70", group = "Momentum") oversold = input.int(defval=30, title="Oversold limit (RSI), default 30", group = "Momentum") hide = input.bool(defval=true, title="Hide all plots and legends from the chart (default: true)") // Trade related tradeType = input.string(defval='Both', group="Trade settings", title="Trade Type", options=['Both', 'TrendFollowing', 'Reversal'], tooltip="Consider all types of trades? Or only Trend Following or only Reversal? (default: Both).") endOfDay = input.int(defval=1500, title="Close all trades, default is 3:00 PM, 1500 hours (integer)", group="Trade settings") mktAlwaysOn = input.bool(defval=false, title="Markets that never closed (Crypto, Forex, Commodity)", tooltip="Some markers never closes. For those cases, make this checked. (Default: off)", group="Trade settings") // Utils annotatePlots(txt, val, hide) => if (not hide) var l1 = label.new(bar_index, val, txt, style=label.style_label_left, size = size.tiny, textcolor = color.white, tooltip = txt) label.set_xy(l1, bar_index, val) /////////////////////////////// Indicators ///////////////////// vwap = ta.vwap(src) plot(hide ? na : vwap, color=color.purple, title="VWAP", style = plot.style_line) annotatePlots('VWAP', vwap, hide) // Bollinger Band of present time frame [BBbasis, BBupper, BBlower] = ta.bb(src, BBlength, BBmult) p1 = plot(hide ? na : BBupper, color=color.blue,title="Bollinger Bands Upper Line") p2 = plot(hide ? na : BBlower, color=color.blue,title="Bollinger Bands Lower Line") p3 = plot(hide ? na : BBbasis, color=color.maroon,title="Bollinger Bands Width", style=plot.style_circles, linewidth = 1) annotatePlots('BB-Upper', BBupper, hide) annotatePlots('BB-Lower', BBlower, hide) annotatePlots('BB-Base(20-SMA)', BBbasis, hide) // RSI rsi = ta.rsi(src, rsiLenght) // Trend following ema50 = ta.ema(src, slowMovingAvg) ema21 = ta.ema(src, fastMovingAvg) annotatePlots('21-EMA', ema21, hide) annotatePlots('50-EMA', ema50, hide) // Trend conditions upTrend = ema21 > ema50 downTrend = ema21 < ema50 // Condition to check Special Entry: HH_LL // Long side: hhLLong = barstate.isconfirmed and (low > low[1]) and (high > high[1]) and (close > high[1]) hhLLShort = barstate.isconfirmed and (low < low[1]) and (high < high[1]) and (close < low[1]) longCond = barstate.isconfirmed and (high[1] < BBlower[1]) and (close > BBlower) and (close < BBupper) and hhLLong and ta.crossover(rsi, oversold) and downTrend shortCond = barstate.isconfirmed and (low[1] > BBupper[1]) and (close < BBupper) and (close > BBlower) and hhLLShort and ta.crossunder(rsi, overbought) and upTrend // Trade execute h = hour(time('1'), syminfo.timezone) m = minute(time('1'), syminfo.timezone) hourVal = h * 100 + m totalTrades = strategy.opentrades + strategy.closedtrades if (mktAlwaysOn or (hourVal < endOfDay)) // Entry var float sl = na var float target = na if (longCond) strategy.entry("enter long", strategy.long, 1, limit=na, stop=na, comment="Long[E]") sl := low[1] target := high >= BBbasis ? BBupper : BBbasis alert('Buy:' + syminfo.ticker + ' ,SL:' + str.tostring(math.floor(sl)) + ', Target:' + str.tostring(target), alert.freq_once_per_bar) if (shortCond) strategy.entry("enter short", strategy.short, 1, limit=na, stop=na, comment="Short[E]") sl := high[1] target := low <= BBbasis ? BBlower : BBbasis alert('Sell:' + syminfo.ticker + ' ,SL:' + str.tostring(math.floor(sl)) + ', Target:' + str.tostring(target), alert.freq_once_per_bar) // Exit: target or SL if ((close >= target) or (close <= sl)) strategy.close("enter long", comment=close < sl ? "Long[SL]" : "Long[T]") if ((close <= target) or (close >= sl)) strategy.close("enter short", comment=close > sl ? "Short[SL]" : "Short[T]") else if (not mktAlwaysOn) // Close all open position at the end if Day strategy.close_all(comment = "EoD[Exit]", alert_message = "EoD Exit", immediately = true)