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- Larry Connors RSI2均值回归策略
Larry Connors RSI2均值回归策略
Author:
homily, Date: 2020-05-13 13:55:18
Tags:
(*backtest
start: 2018-01-01 00:00:00
end: 2020-05-12 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["TradeAmount",5000,126961],["MaxAmountOnce",5000,126961],["ContractType","quarter",126961]]
*)
//https://school.stockcharts.com/doku.php?id=trading_strategies:rsi2
//http://gbeced.github.io/pyalgotrade/docs/v0.20/html/sample_rsi2.html
liang:=INTPART(1*MONEYTOT*REF(C,1)/100);
LC := REF(CLOSE,1);
RSI2: SMA(MAX(CLOSE-LC,0),2,1)/SMA(ABS(CLOSE-LC),2,1)*100;
ma1:=MA(CLOSE,Y);
CLOSE>ma1 AND RSI2>90,SK(liang);
CLOSE>ma1 AND RSI2<10,BP(SKVOL);
CLOSE<ma1 AND RSI2<10,BK(liang);
CLOSE<ma1 AND RSI2>90,SP(BKVOL);
AUTOFILTER;
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