多重指标融合交易策略
多重指标融合交易策略通过综合运用RSI、TD Sequential、MACD和布林带等多个指标的信号,在趋势行情中捕捉较高概率的交易机会。
策略原理:
计算14周期RSI,设定RSIdifference参数作为买入卖出的阈值,当RSI低于(50 - RSIdifference)则产生买入信号,当RSI高于(50 + RSIdifference)则产生卖出信号。
计算MACD指标,当MACD历史柱连续5柱为正值时产生买入信号,当连续5柱为负值时产生卖出信号。
计算TD Sequential指标,当TD连续2柱上涨时判定为买入信号,当TS连续2柱下跌时判定为卖出信号。
计算20日布林带,价格突破上轨和下轨时产生相应的买入卖出信号。
只有当RSI、MACD、TD Sequential的三个指标同时发出同方向的信号时,且布林带无背离信号时,才生成最终的买入卖出决策。
根据止盈止损参数设定收益目标和止损点。
该策略综合多个指标的优势,避免单一指标的假信号。同时通过布林带指标过滤,可在趋势行情中获得较高概率的交易机会。但指标参数设定需要反复测试优化,且必须保证同时满足四个指标条件时信号较少,避免过度交易。
总体来说,该多重指标策略能在趋势明显时获取较高概率的交易机会,但需要仔细参数优化,且指标信号必须审慎处理,避免过于积极交易。
/*backtest
start: 2022-09-05 00:00:00
end: 2023-09-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("RSI, TD Seq, MACD, BB Strategy - Calculation",overlay=true)
RSIDifference = input(-7, minval=-50, maxval=50, title="RSI Difference")
TD = close > close[4] ?nz(TD[1])+1:0
TS = close < close[4] ?nz(TS[1])+1:0
TDUp = TD - valuewhen(TD < TD[1], TD , 1 )
TDDn = TS - valuewhen(TS < TS[1], TS , 1 )
TDcheckUP = iff(TD == 2, true, false)
TDCheckDOWN = iff(TS == 2, true, false)
[_, _, histLine] = macd(close, 12, 26, 9)
MACDCheckDown = iff(histLine > 0 and histLine[1] > 0 and histLine[2] > 0 and histLine[3] > 0 and histLine[4] > 0, true, false)
MACDCheckUp = iff(histLine < 0 and histLine[1] < 0 and histLine[2] < 0 and histLine[3] < 0 and histLine[4] < 0, true, false)
RSICal = rsi(close, 14)
RSICalNewUp = 50 + RSIDifference
RSICalNewDown = 50 - RSIDifference
RSICheckUp = iff(RSICal <= RSICalNewUp, true, false)
RSICheckDown = iff(RSICal >= RSICalNewDown, true, false)
basis = sma(close, 20)
dev = 2 * stdev(close, 20)
upperBB = basis + dev
lowerBB = basis - dev
BBCheckUp = iff(close > upperBB, true, false)
BBCheckDown = iff(close < lowerBB, true, false)
//BBCheckUp = false
//BBCheckDown = false
BuyCheck = iff(TDcheckUP == true and MACDCheckUp == true and RSICheckUp == true and BBCheckUp == false, true, false)
SellCheck = iff(TDCheckDOWN == true and MACDCheckDown == true and RSICheckDown == true and BBCheckDown == false, true, false)
ProfitStratA = input(50, minval=0, maxval=10000, title="Profit", step=0.5)
useStopLoss = input(false, title="Use Stop Loss?")
LossstratA = input(145, minval=0, maxval=10000, title="Stop Loss", step=0.5)
ProfitStrat = ProfitStratA * 10
Lossstrat = useStopLoss ? LossstratA * 10 : 1000000
if (strategy.position_size > 0)
strategy.exit("BuyClose", "Buy", profit=ProfitStrat, loss=Lossstrat)
if (strategy.position_size < 0)
strategy.exit("SellClose", "Sell", profit=ProfitStrat, loss=Lossstrat)
if (BuyCheck == true and strategy.position_size == 0)
strategy.entry("Buy", strategy.long, comment="Long Entry")
if (SellCheck == true and strategy.position_size == 0)
strategy.entry("Sell", strategy.short, comment="Short Entry")
//plotshape(BuyCheck, color=blue, transp=0, style=shape.arrowup, text="Buy\n", location=location.belowbar)
//plotshape(SellCheck, color=orange, transp=0, style=shape.arrowdown, text="Sell\n", location=location.abovebar)