RSI-VWAP 가격 부피 전략은 트렌드를 따르는 전략이다. 트렌드에 피라미딩 및 스톱 로스를 구현하기 위해 상대 강도 지수 (RSI) 와 볼륨 가중 평균 가격 (VWAP) 을 결합합니다. 이 전략은 중장기 트렌드 거래에 적합합니다.
RSI 라인이 과잉 매수 구역에서 과잉 판매 구역으로 떨어지면, 그것은 긴 거리의 트렌드 역전 신호로 간주됩니다. RSI 라인이 과잉 매매 구역에서 과잉 매수 구역으로 상승하면, 그것은 짧은 거리의 트렌드 역전 신호로 간주됩니다.
긴 포지션의 스톱 로스는 최신 입시 가격의 (1-스톱 로스 비율) 로 설정됩니다. 이윤은 평균 보유 가격의 (1+이익 비율) 로 설정됩니다. 짧은 포지션의 설정은 비슷합니다.
각 새로운 엔트리 후, 전략은 신호가 다시 트리거되면 최대 5 개의 추가 피라미딩 엔트리를 허용합니다. 트렌드를 따라 새로운 엔트리마다 포지션 크기가 증가합니다.
RSI 지표와 VWAP 지표를 결합하면 트렌드 반전 지점을 더 잘 식별 할 수 있습니다.
피라미드 엔트리는 트렌드 움직임을 최대한 활용 할 수 있습니다. 엔트리 수가 증가함에 따라 트렌드를 따라 포지션 크기가 점차 확대됩니다.
스톱 로즈는 위험을 효과적으로 제어합니다. 추가 손실을 피하기 위해 손실이 발생하면 출구가 발생합니다.
이윤을 챙기는 사람들은 이윤을 막고 수익을 돌려주지 않습니다.
RSI 지표가 다시 칠되었습니다. 실제 신호 타이밍이 오차할 수 있습니다.
VWAP는 또한 재칠 수 있습니다. 실제 최적의 입구는 후견으로만 결정 될 수 있습니다.
잘못된 스톱 로스 배치로 인해 불필요한 손실이 발생할 수 있습니다.
부적절한 취득 투입은 이익을 실현하는 것을 막을 수 있습니다.
잘못된 트렌드 판단은 장기 또는 짧은 포지션을 지속적으로 보유함으로써 손실을 증가시킬 수 있습니다.
최적의 룩백 기간을 찾기 위해 RSI 매개 변수를 최적화합니다.
더 나은 트렌드 반전 신호를 위해 과소 구매/ 과소 판매 구역을 최적화하십시오.
최적의 접근법을 찾기 위해 다른 피라미드 전략들을 테스트합니다.
가장 좋은 매개 변수를 찾기 위해 정지 및 취득을 최적화하십시오.
다른 지표를 결합하여 추세 반전을 정확하게 감지할 확률을 높여보세요.
RSI-VWAP 전략은 트렌드를 따라가는 피라미드인 RSI와 VWAP를 사용하여 트렌드 역전 지점을 식별하고, 미리 정의된 목표가 달성되면 이익을 취하고 손실로 중단합니다. 리스크 관리와 수익 보호를 균형있게합니다. 추가 최적화는 전략 성능을 향상시킬 수 있습니다. 이 전략은 중장기 트렌드 거래에 경험이 많은 거래자에게 적합합니다.
/*backtest
start: 2023-09-07 00:00:00
end: 2023-10-07 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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//@version=4
// strategy("RSI-VWAP", overlay=true, initial_capital = 1000, currency = "USD", pyramiding = 5, default_qty_type = strategy.cash, default_qty_value = 1000, commission_value = 0.04)
//Uncomment for alerts
//study("RSI-VWAP INDICATOR", overlay=true)
// ================================================================================================================================================================================
// VARIABLES
// ================================================================================================================================================================================
var bool longCondition = na, var bool shortCondition = na, var bool Xlong = na,
var int CondIni_Xlong = 0, var bool XlongCondition = na
var float last_open_longCondition = na, var float last_open_shortCondition = na
var int last_longCondition = 0, var int last_shortCondition = 0
var int last_long_sl = na, var int last_short_sl = na
var bool CondIni_long_sl = 0, var bool CondIni_short_sl = 0
var int nLongs = na, var int nShorts = na, var int pyr = na
var float sum_long = 0.0, var float sum_short = 0.0
var float Position_Price = 0.0, Position_Price := nz(Position_Price[1])
var bool Final_Long_sl = na, var bool Final_Short_sl = na, var bool Act_sl = na, var float sl = na
var int last_long_tp = na, var int last_short_tp = na
var bool CondIni_long_tp = 0, var bool CondIni_short_tp = 0
var float Quantity = na, var float Increase = na
var float sum_qty_l = na, var float sum_qty_s = na
// ================================================================================================================================================================================
// RSI VWAP INDICATOR
// ================================================================================================================================================================================
// Initial inputs
Positions = input("LONG ONLY", "LONG / SHORT", options = ["LONG & SHORT","LONG ONLY"])
Long_only = Positions == "LONG ONLY" ? true : na
Act_RSI_VWAP = input(true, "RSI VOLUME WEIGHTED AVERAGE PRICE")
RSI_VWAP_length = input(17, "RSI-VWAP LENGTH")
RSI_VWAP_overSold = input(19, "RSI-VWAP OVERSOLD", type=input.float)
RSI_VWAP_overBought = input(80, "RSI-VWAP OVERBOUGHT", type=input.float)
// RSI with VWAP as source
RSI_VWAP = rsi(vwap(close), RSI_VWAP_length)
// Plotting, overlay=false
//r=plot(RSI_VWAP, color = RSI_VWAP > RSI_VWAP_overBought ? color.red : RSI_VWAP < RSI_VWAP_overSold ? color.lime : color.teal, title="rsi", linewidth=2, style=plot.style_line)
//h1=plot(RSI_VWAP_overBought, color = color.gray, style=plot.style_stepline)
//h2=plot(RSI_VWAP_overSold, color = color.gray, style=plot.style_stepline)
//fill(r,h1, color = RSI_VWAP > RSI_VWAP_overBought ? color.red : na, transp = 75)
//fill(r,h2, color = RSI_VWAP < RSI_VWAP_overSold ? color.lime : na, transp = 75)
// ================================================================================================================================================================================
// STRATEGY
// ================================================================================================================================================================================
// Long/Short/Xlong Conditions
longCondition := (crossover(RSI_VWAP, RSI_VWAP_overSold)) and (nz(nLongs[1]) < pyr)
shortCondition := (crossunder(RSI_VWAP, RSI_VWAP_overBought)) and (nz(nShorts[1]) < pyr) and not Long_only
Xlong := (crossunder(RSI_VWAP, RSI_VWAP_overBought)) and Long_only
CondIni_Xlong := longCondition ? 1 : Xlong ? -1 : nz(CondIni_Xlong[1])
XlongCondition := Xlong and nz(CondIni_Xlong[1]) == 1
// Get the price of the last opened long or short
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])
// Get the bar time of the last opened long or short
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])
// In long/short conditions
in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition
// ================================================================================================================================================================================
// PRICE AVERAGE / PYRAMIDING
// ================================================================================================================================================================================
// Pyramiding
pyr := input(5, "PYRAMIDING 🎢")
// Counting long & short iterations
nLongs := nz(nLongs[1])
nShorts := nz(nShorts[1])
// Longs Counter
if longCondition or (Final_Long_sl and not Act_sl)
nLongs := nLongs + 1
nShorts := na
// Shorts Counter
if shortCondition or (Final_Short_sl and not Act_sl)
nLongs := na
nShorts := nShorts + 1
// Quantity Factor
QF_l = Quantity+(Increase*(nLongs-1))
QF_s = Quantity+(Increase*(nShorts-1))
// Price average of your position according to the quantities
if longCondition
sum_long := nz(last_open_longCondition)*QF_l + nz(sum_long[1])
sum_short := 0.0
sum_qty_l := QF_l + nz(sum_qty_l[1])
sum_qty_s := na
if Final_Long_sl and not Act_sl
sum_long := ((1-(sl/100))*last_open_longCondition)*QF_l + nz(sum_long[1])
sum_short := 0.0
sum_qty_l := QF_l + nz(sum_qty_l[1])
sum_qty_s := na
if shortCondition
sum_short := nz(last_open_shortCondition)*QF_s + nz(sum_short[1])
sum_long := 0.0
sum_qty_s := QF_s + nz(sum_qty_s[1])
sum_qty_l := na
if Final_Short_sl and not Act_sl
sum_long := 0.0
sum_short := ((1+(sl/100))*last_open_shortCondition)*QF_s + nz(sum_short[1])
sum_qty_s := QF_s + nz(sum_qty_s[1])
sum_qty_l := na
// Calculating and Plotting the price average
Position_Price := nz(Position_Price[1])
Position_Price := longCondition or (Final_Long_sl and not Act_sl) ? sum_long/(sum_qty_l) : shortCondition or (Final_Short_sl and not Act_sl) ? sum_short/(sum_qty_s) : na
plot(Position_Price[1], title = "Average Price", color = in_longCondition ? color.blue : color.red, linewidth = 2, style = plot.style_cross, transp = 0)
// ================================================================================================================================================================================
// STOP LOSS / RE-ENTRY
// ================================================================================================================================================================================
// SL initial inputs
Act_sl := input(true, "ACTIVATE SL / DEACTIVATE RE-ENTRY")
sl := input(7.5, "STOP LOSS / RE-ENTRY %", type = input.float, minval = 0, step = 0.5)
// Initial SL conditions
long_sl = crossunder(low, (1-(sl/100))*last_open_longCondition) and in_longCondition and not longCondition
short_sl = crossover(high, (1+(sl/100))*last_open_shortCondition) and in_shortCondition and not shortCondition
// Get the time of the last sl
last_long_sl := long_sl ? time : nz(last_long_sl[1])
last_short_sl := short_sl ? time : nz(last_short_sl[1])
// Sl counter
CondIni_long_sl := long_sl ? 1 : longCondition ? -1 : nz(CondIni_long_sl[1])
CondIni_short_sl := short_sl ? 1 : shortCondition ? -1 : nz(CondIni_short_sl[1])
// Final SL conditions
Final_Long_sl := long_sl and nz(CondIni_long_sl[1]) == -1 and in_longCondition and not longCondition
Final_Short_sl := short_sl and nz(CondIni_short_sl[1]) == -1 and in_shortCondition and not shortCondition
// ================================================================================================================================================================================
// TAKE PROFIT
// ================================================================================================================================================================================
// Take Profit input
Act_tp = input(false, "ACTIVATE TAKE PROFIT")
tp = input(10.0, "TAKE PROFIT %", type = input.float, minval = 0, step = 0.5)
// Initial TP conditions
long_tp = crossover(high, (1+(tp/100))*fixnan(Position_Price)) and in_longCondition and not longCondition and not Final_Long_sl and Act_tp
short_tp = crossunder(low, (1-(tp/100))*fixnan(Position_Price)) and in_shortCondition and not shortCondition and not Final_Short_sl and Act_tp
// Get the time of the last tp
last_long_tp := long_tp ? time : nz(last_long_tp[1])
last_short_tp := short_tp ? time : nz(last_short_tp[1])
// Tp signal ordering
CondIni_long_tp := (Final_Long_sl and Act_sl) or XlongCondition ? 1 : longCondition ? -1 : nz(CondIni_long_tp[1])
CondIni_short_tp := Final_Short_sl and Act_sl ? 1 : shortCondition ? -1 : nz(CondIni_short_tp[1])
// Final tp condition
Final_Long_tp = long_tp and last_longCondition > nz(last_long_tp[1]) and nz(CondIni_long_tp[1]) == -1
Final_Short_tp = short_tp and last_shortCondition > nz(last_short_tp[1]) and nz(CondIni_short_tp[1]) == -1
if Final_Long_tp or (Final_Long_sl and Act_sl) or XlongCondition
sum_long := 0.0
nLongs := na
CondIni_long_sl := 1
sum_qty_l := na
if Final_Short_tp or (Final_Short_sl and Act_sl)
sum_short := 0.0
nShorts := na
CondIni_short_sl := 1
sum_qty_s := na
// ================================================================================================================================================================================
// SIGNALS
// ================================================================================================================================================================================
// Longs
// label.new(
// x = longCondition[1] ? time : na,
// y = na,
// text = 'LONG '+tostring(nLongs),
// color = color.blue,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
// // Shorts
// label.new(
// x = shortCondition[1] ? time : na,
// y = na,
// text = 'SHORT '+tostring(nShorts),
// color = color.red,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// // XLongs
// label.new(
// x = XlongCondition[1] ? time : na,
// y = na,
// text = 'XLONG',
// color = color.yellow,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// // Tp on longs
// label.new(
// x = Final_Long_tp ? time : na,
// y = na,
// text = 'TP '+tostring(tp)+'%',
// color = color.orange,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
ltp = iff(Final_Long_tp, (fixnan(Position_Price)*(1+(tp/100))), na), plot(ltp, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Tp on shorts
// label.new(
// x = Final_Short_tp ? time : na,
// y = na,
// text = 'TP '+tostring(tp)+'%',
// color = color.orange,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
stp = iff(Final_Short_tp, (fixnan(Position_Price)*(1-(tp/100))), na), plot(stp, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Sl on Longs
// label.new(
// x = Final_Long_sl ? time : na,
// y = na,
// text = Act_sl ? ('SL '+tostring(sl)+'%') : ('RE '+tostring(sl)+'%'),
// color = color.green,
// textcolor = color.black,
// style = label.style_labelup,
// xloc = xloc.bar_time,
// yloc = yloc.belowbar,
// size = size.tiny
// )
// Sl on Longs dot
lsl = iff(Final_Long_sl, (last_open_longCondition*(1-(sl/100))), na), plot(lsl, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// Sl on Shorts
// label.new(
// x = Final_Short_sl ? time : na,
// y = na,
// text = Act_sl ? ('SL '+tostring(sl)+'%') : ('RE '+tostring(sl)+'%'),
// color = color.maroon,
// textcolor = color.black,
// style = label.style_labeldown,
// xloc = xloc.bar_time,
// yloc = yloc.abovebar,
// size = size.tiny
// )
// Sl on Shorts dot
ssl = iff(Final_Short_sl, (last_open_shortCondition*(1+(sl/100))), na), plot(ssl, style=plot.style_cross, linewidth=3, color = color.white, editable = false)
// ================================================================================================================================================================================
// BACKTEST
// ================================================================================================================================================================================
// Backtest inputs
Act_BT = input(true, "BACKTEST 💹")
Quantity := input(1000, "$ QUANTITY 1ST ENTRY")/close
Increase := input(500, "$ INCREASE NEXT ENTRY")/close
// Backtest Period inputs
testStartYear = input(2019, "BACKTEST START YEAR ⏲️", minval = 1980, maxval = 2222)
testStartMonth = input(01, "BACKTEST START MONTH", minval = 1, maxval = 12)
testStartDay = input(01, "BACKTEST START DAY", minval = 1, maxval = 31)
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2222, "BACKTEST STOP YEAR", minval=1980, maxval = 2222)
testStopMonth = input(12, "BACKTEST STOP MONTH", minval=1, maxval=12)
testStopDay = input(31, "BACKTEST STOP DAY", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
// Backtest Condition
testPeriod = true
// Backtest entries
if (Act_BT and not na(RSI_VWAP) and testPeriod)
strategy.entry("Long", strategy.long, qty = QF_l, when = longCondition or (Final_Long_sl and not Act_sl))
strategy.close("Long", when = XlongCondition)
strategy.entry("Short", strategy.short, qty = QF_s, when = (shortCondition or (Final_Short_sl and not Act_sl)))
strategy.exit("XL", "Long", limit = Act_tp ? (fixnan(Position_Price)*(1+(tp/100))) : na, stop = (Act_sl ? (1-(sl/100))*last_open_longCondition : na))
strategy.exit("XS", "Short", limit = Act_tp ? (fixnan(Position_Price)*(1-(tp/100))) : na, stop = (Act_sl ? (1+(sl/100))*last_open_shortCondition : na))
// ================================================================================================================================================================================
// ALERTS
// ================================================================================================================================================================================
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 1, title="Long 1 Alert",
message = "LONG1")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 2, title="Long 2 Alert",
message = "LONG2")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 3, title="Long 3 Alert",
message = "LONG3")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 4, title="Long 4 Alert",
message = "LONG4")
alertcondition((longCondition[1] or (Final_Long_sl and not Act_sl)) and nLongs == 5, title="Long 5 Alert",
message = "LONG5")
alertcondition(Final_Long_tp or (Final_Long_sl and Act_sl), title="TPL/SLL Alert",
message = "TPL/SLL")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 1, title="Short 1 Alert",
message = "SHORT1")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 2, title="Short 2 Alert",
message = "SHORT2")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 3, title="Short 3 Alert",
message = "SHORT3")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 4, title="Short 4 Alert",
message = "SHORT4")
alertcondition((shortCondition[1] or (Final_Short_sl and not Act_sl)) and nShorts == 5, title="Short 5 Alert",
message = "SHORT5")
alertcondition(Final_Short_tp or (Final_Short_sl and Act_sl), title="TPS/SLS Alert",
message = "TPS/SLS")
// by Xaviz