1. スクエア
2. 価格逆転RSIコンボ戦略

価格逆転RSIコンボ戦略

作者: リン・ハーンチャオチャン, 日付: 2023年12月22日 11:53:11
タグ:

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/*backtest
start: 2023-12-14 00:00:00
end: 2023-12-21 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 16/08/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// The RSI is a very popular indicator that follows price activity. 
// It calculates an average of the positive net changes, and an average 
// of the negative net changes in the most recent bars, and it determines 
// the ratio between these averages. The result is expressed as a number 
// between 0 and 100. Commonly it is said that if the RSI has a low value, 
// for example 30 or under, the symbol is oversold. And if the RSI has a 
// high value, 70 for example, the symbol is overbought. 
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos


mRSI(Length,Oversold,Overbought) =>
    pos = 0.0
    xRSI = rsi(close, Length)
    pos:=iff(xRSI > Overbought, 1,
	       iff(xRSI < Oversold, -1, nz(pos[1], 0)))   
    pos

strategy(title="Combo Backtest 123 Reversal & RSI", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- RSI ----")
LengthRSI = input(12, minval=1)
Oversold = input(30, minval=1)
Overbought = input(70, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posmRSI = mRSI(LengthRSI,Oversold,Overbought)
pos = iff(posReversal123 == 1 and posmRSI == 1 , 1,
	   iff(posReversal123 == -1 and posmRSI == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1 ) 
    strategy.entry("Long", strategy.long)
if (possig == -1 )
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

---

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