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2. बहु-अवधि आरएसआई ग्रिड ट्रेडिंग रणनीति

बहु-अवधि आरएसआई ग्रिड ट्रेडिंग रणनीति

लेखक:चाओझांग, दिनांकः 2023-11-23 17:50:13
टैगः

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---

/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["MinLot",0.001,358374]]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66

//@version=4
strategy(title="7-RSI strategy", overlay=true)

// inputs
src = input(close, "Source RSI", type = input.source)
bot_res = input(title="Bot period", type=input.resolution, defval="1")
srcin_bot = input(ohlc4, "Source Bot", type = input.source)
src_bot = security(syminfo.tickerid, bot_res, srcin_bot)

tradeDirection = input(title="Trade Direction", type=input.string,
     options=["Long Bot", "Short Bot"], defval="Long Bot")


rsi1_res = input(title="RSI-1 period", type=input.resolution, defval="1", group="indicators")
rsi1_Len = input(14, minval=1, title="RSI-1 Length", group="indicators")
rsi2_res = input(title="RSI-2 period", type=input.resolution, defval="5", group="indicators")
rsi2_Len = input(14, minval=1, title="RSI-2 Length", group="indicators")
rsi3_res = input(title="RSI-3 period", type=input.resolution, defval="15", group="indicators")
rsi3_Len = input(14, minval=1, title="RSI-3 Length", group="indicators")
rsi4_res = input(title="RSI-4 period", type=input.resolution, defval="30", group="indicators")
rsi4_Len = input(14, minval=1, title="RSI-4 Length", group="indicators")
rsi5_res = input(title="RSI-5 period", type=input.resolution, defval="60", group="indicators")
rsi5_Len = input(14, minval=1, title="RSI-5 Length", group="indicators")
rsi6_res = input(title="RSI-6 period", type=input.resolution, defval="120", group="indicators")
rsi6_Len = input(14, minval=1, title="RSI-6 Length", group="indicators")
rsi7_res = input(title="RSI-7 period", type=input.resolution, defval="1D", group="indicators")
rsi7_Len = input(14, minval=1, title="RSI-7 Length", group="indicators")

longProfitPerc = input(title="Long Bot Take Profit (%)",
     type=input.float, minval=0.0, step=0.05, defval=0.5, group="Long Bot") * 0.01
st_long_orders = input(title="Long Bot Step orders (%)",
     type=input.float, minval=0.0, step=0.1, defval=2.0, group="Long Bot") * 0.01

rsi1_low = input(100, title="RSI-1 <", group="Long Bot")
rsi2_low = input(100, title="RSI-2 <", group="Long Bot")
rsi3_low = input(100, title="RSI-3 <", group="Long Bot")
rsi4_low = input(100, title="RSI-4 <", group="Long Bot")
rsi5_low = input(100, title="RSI-5 <", group="Long Bot")
rsi6_low = input(100, title="RSI-6 <", group="Long Bot")
rsi7_low = input(100, title="RSI-7 <", group="Long Bot")

shortProfitPerc = input(title="Short Bot Take Profit (%)",
     type=input.float, minval=0.0, step=0.05, defval=0.5, group="Short Bot") * 0.01
st_short_orders = input(title="Short Bot Step orders (%)",
     type=input.float, minval=0.0, step=0.1, defval=2.0, group="Short Bot") * 0.01

rsi1_up = input(0, title="RSI-1 >", group="Short Bot")
rsi2_up = input(0, title="RSI-2 >", group="Short Bot")
rsi3_up = input(0, title="RSI-3 >", group="Short Bot")
rsi4_up = input(0, title="RSI-4 >", group="Short Bot")
rsi5_up = input(0, title="RSI-5 >", group="Short Bot")
rsi6_up = input(0, title="RSI-6 >", group="Short Bot")
rsi7_up = input(0, title="RSI-7 >", group="Short Bot")

//indicators
rsi1 = rsi(src, rsi1_Len)
rsi1_sec = security(syminfo.tickerid, rsi1_res, rsi1)
rsi2 = rsi(src, rsi2_Len)
rsi2_sec = security(syminfo.tickerid, rsi2_res, rsi2)
rsi3 = rsi(src, rsi3_Len)
rsi3_sec = security(syminfo.tickerid, rsi3_res, rsi3)
rsi4 = rsi(src, rsi4_Len)
rsi4_sec = security(syminfo.tickerid, rsi4_res, rsi4)
rsi5 = rsi(src, rsi5_Len)
rsi5_sec = security(syminfo.tickerid, rsi5_res, rsi5)
rsi6 = rsi(src, rsi6_Len)
rsi6_sec = security(syminfo.tickerid, rsi6_res, rsi6)
rsi7 = rsi(src, rsi7_Len)
rsi7_sec = security(syminfo.tickerid, rsi7_res, rsi7)

//RSI
rsi1_up_signal = rsi1_sec > rsi1_up
rsi1_low_signal = rsi1_sec < rsi1_low
rsi2_up_signal = rsi2_sec > rsi2_up
rsi2_low_signal = rsi2_sec < rsi2_low
rsi3_up_signal = rsi3_sec > rsi3_up
rsi3_low_signal = rsi3_sec < rsi3_low
rsi4_up_signal = rsi4_sec > rsi4_up
rsi4_low_signal = rsi4_sec < rsi4_low
rsi5_up_signal = rsi5_sec > rsi5_up
rsi5_low_signal = rsi5_sec < rsi5_low
rsi6_up_signal = rsi6_sec > rsi6_up
rsi6_low_signal = rsi6_sec < rsi6_low
rsi7_up_signal = rsi7_sec > rsi7_up
rsi7_low_signal = rsi7_sec < rsi7_low


//Buy & Sell
Buy = rsi1_low_signal and rsi2_low_signal and rsi3_low_signal and rsi4_low_signal and rsi5_low_signal and rsi6_low_signal and rsi7_low_signal
Sell = rsi1_up_signal and rsi2_up_signal and rsi3_up_signal and rsi4_up_signal and rsi5_up_signal and rsi6_up_signal and rsi7_up_signal

// input into trading conditions
longOK  = (tradeDirection == "Long Bot")
shortOK = (tradeDirection == "Short Bot")

// in entry orders price
longEntryPrice1 = src_bot * (1 - (st_long_orders))
longEntryPrice2 = src_bot * (1 - (st_long_orders*2))
longEntryPrice3 = src_bot * (1 - (st_long_orders*3))
longEntryPrice4 = src_bot * (1 - (st_long_orders*4))
longEntryPrice5 = src_bot * (1 - (st_long_orders*5))
longEntryPrice6 = src_bot * (1 - (st_long_orders*6))
longEntryPrice7 = src_bot * (1 - (st_long_orders*7))
longEntryPrice8 = src_bot * (1 - (st_long_orders*8))
longEntryPrice9 = src_bot * (1 - (st_long_orders*9))
longEntryPrice10 = src_bot * (1 - (st_long_orders*10))
longEntryPrice11 = src_bot * (1 - (st_long_orders*11))
longEntryPrice12 = src_bot * (1 - (st_long_orders*12))
longEntryPrice13 = src_bot * (1 - (st_long_orders*13))
longEntryPrice14 = src_bot * (1 - (st_long_orders*14))
longEntryPrice15 = src_bot * (1 - (st_long_orders*15))
longEntryPrice16 = src_bot * (1 - (st_long_orders*16))
longEntryPrice17 = src_bot * (1 - (st_long_orders*17))
longEntryPrice18 = src_bot * (1 - (st_long_orders*18))
longEntryPrice19 = src_bot * (1 - (st_long_orders*19))

shortEntryPrice1 = src_bot * (1 + st_short_orders)
shortEntryPrice2 = src_bot * (1 + (st_short_orders*2))
shortEntryPrice3 = src_bot * (1 + (st_short_orders*3))
shortEntryPrice4 = src_bot * (1 + (st_short_orders*4))
shortEntryPrice5 = src_bot * (1 + (st_short_orders*5))
shortEntryPrice6 = src_bot * (1 + (st_short_orders*6))
shortEntryPrice7 = src_bot * (1 + (st_short_orders*7))
shortEntryPrice8 = src_bot * (1 + (st_short_orders*8))
shortEntryPrice9 = src_bot * (1 + (st_short_orders*9))
shortEntryPrice10 = src_bot * (1 + (st_short_orders*10))
shortEntryPrice11 = src_bot * (1 + (st_short_orders*11))
shortEntryPrice12 = src_bot * (1 + (st_short_orders*12))
shortEntryPrice13 = src_bot * (1 + (st_short_orders*13))
shortEntryPrice14 = src_bot * (1 + (st_short_orders*14))
shortEntryPrice15 = src_bot * (1 + (st_short_orders*15))
shortEntryPrice16 = src_bot * (1 + (st_short_orders*16))
shortEntryPrice17 = src_bot * (1 + (st_short_orders*17))
shortEntryPrice18 = src_bot * (1 + (st_short_orders*18))
shortEntryPrice19 = src_bot * (1 + (st_short_orders*19))

// take profit price
longExitPrice  = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)

// take profit values for confirmation
plot(series=(strategy.position_size > 0) ? longExitPrice : na,
     color=color.green, style=plot.style_circles,
     linewidth=3, title="Long Take Profit")
plot(series=(strategy.position_size < 0) ? shortExitPrice : na,
     color=color.red, style=plot.style_circles,
     linewidth=3, title="Short Take Profit")


// entry orders

if (strategy.position_size == 0)
    strategy.order(id="Long0", long=true, limit=src_bot, when=longOK and Buy)
	strategy.order(id="Long1", long=true, limit=longEntryPrice1, when=longOK and Buy)
	strategy.order(id="Long2", long=true, limit=longEntryPrice2, when=longOK and Buy)
	strategy.order(id="Long3", long=true, limit=longEntryPrice3, when=longOK and Buy)
	strategy.order(id="Long4", long=true, limit=longEntryPrice4, when=longOK and Buy)
	strategy.order(id="Long5", long=true, limit=longEntryPrice5, when=longOK and Buy)
	strategy.order(id="Long6", long=true, limit=longEntryPrice6, when=longOK and Buy)
	strategy.order(id="Long7", long=true, limit=longEntryPrice7, when=longOK and Buy)
	strategy.order(id="Long8", long=true, limit=longEntryPrice8, when=longOK and Buy)
	strategy.order(id="Long9", long=true, limit=longEntryPrice9, when=longOK and Buy)
	strategy.order(id="Long10", long=true, limit=longEntryPrice10, when=longOK and Buy)
	strategy.order(id="Long11", long=true, limit=longEntryPrice11, when=longOK and Buy)
	strategy.order(id="Long12", long=true, limit=longEntryPrice12, when=longOK and Buy)
	strategy.order(id="Long13", long=true, limit=longEntryPrice13, when=longOK and Buy)
	strategy.order(id="Long14", long=true, limit=longEntryPrice14, when=longOK and Buy)
	strategy.order(id="Long15", long=true, limit=longEntryPrice15, when=longOK and Buy)
	strategy.order(id="Long16", long=true, limit=longEntryPrice16, when=longOK and Buy)
	strategy.order(id="Long17", long=true, limit=longEntryPrice17, when=longOK and Buy)
	strategy.order(id="Long18", long=true, limit=longEntryPrice18, when=longOK and Buy)
	strategy.order(id="Long19", long=true, limit=longEntryPrice19, when=longOK and Buy)

if (strategy.position_size == 0)
    strategy.order(id="Short0", long=false, limit=src_bot, when=shortOK and Sell)
	strategy.order(id="Short1", long=false, limit=shortEntryPrice1, when=shortOK and Sell)
	strategy.order(id="Short2", long=false, limit=shortEntryPrice2, when=shortOK and Sell)
	strategy.order(id="Short3", long=false, limit=shortEntryPrice3, when=shortOK and Sell)
	strategy.order(id="Short4", long=false, limit=shortEntryPrice4, when=shortOK and Sell)
	strategy.order(id="Short5", long=false, limit=shortEntryPrice5, when=shortOK and Sell)
	strategy.order(id="Short6", long=false, limit=shortEntryPrice6, when=shortOK and Sell)
	strategy.order(id="Short7", long=false, limit=shortEntryPrice7, when=shortOK and Sell)
	strategy.order(id="Short8", long=false, limit=shortEntryPrice8, when=shortOK and Sell)
	strategy.order(id="Short9", long=false, limit=shortEntryPrice9, when=shortOK and Sell)
	strategy.order(id="Short10", long=false, limit=shortEntryPrice10, when=shortOK and Sell)
	strategy.order(id="Short11", long=false, limit=shortEntryPrice11, when=shortOK and Sell)
	strategy.order(id="Short12", long=false, limit=shortEntryPrice12, when=shortOK and Sell)
	strategy.order(id="Short13", long=false, limit=shortEntryPrice13, when=shortOK and Sell)
	strategy.order(id="Short14", long=false, limit=shortEntryPrice14, when=shortOK and Sell)
	strategy.order(id="Short15", long=false, limit=shortEntryPrice15, when=shortOK and Sell)
	strategy.order(id="Short16", long=false, limit=shortEntryPrice16, when=shortOK and Sell)
	strategy.order(id="Short17", long=false, limit=shortEntryPrice17, when=shortOK and Sell)
	strategy.order(id="Short18", long=false, limit=shortEntryPrice18, when=shortOK and Sell)
	strategy.order(id="Short19", long=false, limit=shortEntryPrice19, when=shortOK and Sell)

// exit position based on take profit price

if (strategy.position_size > 0)
    strategy.order(id="exit_Long", long=false, limit=longExitPrice, qty=strategy.position_size)

if (strategy.position_size < 0)
    strategy.order(id="exit_Short", long=true, limit=shortExitPrice, qty=abs(strategy.position_size))

---

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