ChaoZhang
概述
玻尔带RSI震荡交易策略是一种联合使用玻尔带指标和相对强弱指数(RSI)指标的短线震荡交易策略。该策略通过捕捉价格在玻尔带上下轨之间的震荡波动获得利润。
原理
首先,该策略使用玻尔带指标分析价格波动的上下限。当价格接近上轨时为超买,接近下轨时为超卖。
其次,结合RSI指标判断超买超卖的强弱。RSI高于70为超买,低于30为超卖。
当价格触碰玻尔带下轨,且RSI显示超卖时,做多;当价格触碰玻尔带上轨,且RSI显示超买时,做空。
优势
玻尔带指标能准确定位价格的波动范围。
RSI指标避免盲目做多做空。
利用价位回归特性,获利概率较大。
频繁交易,具有持续盈利能力。
适用于不同品种和时间周期。
风险
玻尔带参数设置不当,无法定位关键价位。
RSI参数设置不合理,产生假信号。
反弹力度不足,止损被触发。
需承受较高交易频率所带来的滑点成本。
波动市场中难以抓住趋势。
应对方法
优化参数,使玻尔带贴近实际波动范围。
调整RSI周期,确保能过滤噪音。
移动止损追踪价格,减少套利损失。
选择交易量充足的品种,降低滑点影响。
可辅助其他指标来确定趋势方向。
总结
玻尔带RSI震荡交易策略,能够有效捕捉价格在范围内的双向波动。通过参数调优和风险管理,可以获得稳定收益。这是一个值得推荐的短线量化交易策略。
策略源码
/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Swing trading strategy FOREX ", shorttitle="BB+RSI", overlay=true)
////////////////////////////////////////////////////////////////////////////////
// BACKTESTING RANGE
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2022, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
//
//
///////////// RSI
RSIlength = input(6,title="RSI Period Length")
RSIoverSold = input(defval = 65, title = "RSIoverSold", minval = 1, maxval = 100)
RSIoverBought = input(defval = 35, title = "RSIoverBought", minval = 1, maxval = 100)
price = close
vrsi = rsi(price, RSIlength)
///////////// Bollinger Bands
BBlength = input(200, minval=1,title="Bollinger Period Length")
BBmult = 2 // input(2.0, minval=0.001, maxval=50,title="Bollinger Bands Standard Deviation")
BBbasis = sma(price, BBlength)
BBdev = BBmult * stdev(price, BBlength)
BBupper = BBbasis + BBdev
BBlower = BBbasis - BBdev
source = close
buyEntry = crossover(source, BBlower)
sellEntry = crossunder(source, BBupper)
plot(BBbasis, color=color.aqua,title="Bollinger Bands SMA Basis Line")
p1 = plot(BBupper, color=color.silver,title="Bollinger Bands Upper Line")
p2 = plot(BBlower, color=color.silver,title="Bollinger Bands Lower Line")
fill(p1, p2)
///////////// Colors
switch1=input(true, title="Enable Bar Color?")
switch2=input(true, title="Enable Background Color?")
TrendColor = RSIoverBought and (price[1] > BBupper and price < BBupper) and BBbasis < BBbasis[1] ? color.red : RSIoverSold and (price[1] < BBlower and price > BBlower) and BBbasis > BBbasis[1] ? color.green : na
barcolor(switch1?TrendColor:na)
bgcolor(switch2?TrendColor:na,transp=50)
///////////// RSI + Bollinger Bands Strategy
//for buy
cond1=crossover(vrsi, RSIoverSold)
cond2=crossover(source, BBlower)
//for sell
cond3=crossunder(vrsi, RSIoverBought)
cond4=crossunder(source, BBupper)
if (not na(vrsi))
if (cond1 and cond2 and time_cond)
strategy.entry("RSI_BB_LONG", strategy.long, stop=BBlower, comment="LONG",alert_message = "long")
else
strategy.cancel(id="RSI_BB_LONG")
if (cond3 and cond4 and time_cond)
strategy.entry("RSI_BB_SHORT", strategy.short, stop=BBupper, comment="SHORT",alert_message = "short")
//strategy.close("RSI_BB_LONG")
else
strategy.cancel(id="RSI_BB_SHORT")
//strategy.exit("closelong", "RSI_BB_LONG" , profit = close * 0.01 / syminfo.mintick, loss = close * 0.01 / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "RSI_BB_SHORT" , profit = close * 0.01 / syminfo.mintick, loss = close * 0.01 / syminfo.mintick, alert_message = "closeshort")
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)
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