本策略基于RSI指标的均线回归特征设计。RSI超买超卖时会发生回归,形成交易机会。该策略通过RSI指标判断超买超卖状态,采取均线回归方式建立多空仓位,达到系统化交易目的。
策略原理:
计算RSI指标值,设置超买线和超卖线,典型参数为超买线60,超卖线30。
当RSI从上向下跌破超买线时,进行卖出操作,建立短仓。
当RSI从下向上突破超卖线时,进行买入操作,建立多仓。
多仓止损线为入场价乘以(1-止损比例),短仓止损线为入场价乘以(1+止损比例)。
当价格击穿止损线时,进行止损退出。
该策略的优势包括:
利用RSI指标的回归特征,可以顺势捕捉趋势回调带来的交易机会。
采用突破建仓方式,可以及时捕捉趋势转折。
设置止损线,可以控制单笔损失。
该策略的风险包括:
RSI指标发出假信号的概率较大,应结合其他指标确认。
止损点靠近入场点会频繁被止损,应适当放宽止损范围。
回归交易时机选择不当可能导致持仓时间过长。
总之,RSI均线回归策略通过捕捉RSI指标的回归机会进行交易。该策略可以顺势而为,有效控制单笔损失。但RSI指标的可靠性较低,投资者需审慎采用,并辅助以其他技术指标进行确认,优化止损机制,以期获得长期稳定回报。
/*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"}] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © relevantLeader16058 //@version=4 strategy(shorttitle='RSI Bot Strategy',title='Quadency Mean Reversion Bot Strategy', overlay=true, initial_capital = 100, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.08) //Backtest dates start = input(defval = timestamp("08 Mar 2021 00:00 -0600"), title = "Start Time", type = input.time) finish = input(defval = timestamp("9 Mar 2021 23:59 -0600"), title = "Start Time", type = input.time) window() => true // create function "within window of time" // Complete Control over RSI inputs and source price calculations lengthRSI = input(14, minval=1) source = input(title="Source", type=input.source, defval=close) strat = input(title="Strategy", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"]) strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1 stoploss = input(5.00, "Stop Loss %") oversold= input(30) overbought= input(60) // Standard RSI Calculation RSI = rsi(close, lengthRSI) stLossLong=(1-(stoploss*.01)) stLossShort=(1+(stoploss*.01)) //Long and Short Strategy Logic GoLong = crossunder(RSI, oversold) and window() GoShort = crossover(RSI, overbought) and window() // Strategy Entry and Exit if (GoLong) if strat_val > -1 strategy.entry("LONG", strategy.long) if strat_val < 1 strategy.close("SHORT") if (GoShort) if strat_val > -1 strategy.close("LONG") if strat_val < 1 strategy.entry("SHORT", strategy.short) LongStopLoss = barssince(GoLong)<barssince(GoShort) and crossunder(low, valuewhen(GoLong, close, 0)*stLossLong) ShortStopLoss = barssince(GoLong)>barssince(GoShort) and crossover(high, valuewhen(GoShort, close, 0)*stLossShort) if (ShortStopLoss) strategy.close("SHORT") if (LongStopLoss) strategy.close("LONG")