ChaoZhang
概述
该策略基于相对强弱指数(RSI)指标进行判断,当RSI高于设定上限时做空,当RSI低于设定下限时做多,属于典型的RSI反转交易策略。策略同时具有参数优化、止损策略等功能,可以通过调整参数适应不同市场环境。
策略原理
策略的核心逻辑包括:
- 计算RSI指标值
- 设置RSI上限和下限
- RSI上穿上限时,看空入场
- RSI下穿下限时,看多入场
- 设置止盈、止损条件
- RSI重新进入区间时或触发止损止盈条件时平仓
RSI指标能显示市场是处于超买还是超卖状态。当RSI高于70时被视为超买,当RSI低于30时被视为超卖。交易策略就是根据RSI的超买超卖状态来判断该建立空头头寸还是多头头寸。
此策略运用RSI指标的经典逻辑,根据RSI的数值与预设上下限的关系来判断建仓方向。同时,策略具有可调整的参数,可以对RSI上下限、止盈止损幅度等进行优化,从而适应市场的变化。
策略优势
- 使用RSI指标可以有效判断市场超买超卖状态
- RSI指标理论依据被广泛接受
- 策略参数可调整,能适应不同品种和市场环境
- 集成止盈止损机制,可以控制风险
策略风险及应对
- RSI发出假信号的可能,导致不必要的亏损
- 需要持续优化RSI参数区间
- 震荡行情中止损可能被frequent触发
应对措施:
- 结合其他指标进行多因子确认,避免假信号
- 根据不同品种特性优化RSI参数区间
- 调整止损位置,降低被套风险
策略优化方向
该策略可以从以下几个方面进行扩展与优化:
采用机器学习自动优化RSI参数区间
增加交易量的确认,避免虚假突破
结合移动均线等指标进行多因子验证
设置自适应止损策略,根据市场波动调整止损幅度
研究交易量变化,判断资金流入流出
组合其他非相关策略,降低整体回撤
总结
该策略使用RSI指标判断超买超卖,是一个简单实用的反转策略。策略可根据市场变化调整参数,也可进行多维度扩展与优化。通过参数优化、多因子验证、自适应止损等改进,可以使策略更稳健可靠。
策略源码
/*backtest
start: 2023-08-19 00:00:00
end: 2023-09-18 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("4All V3", shorttitle="Strategy", overlay=true)
/////////////// Component Code Start ///////////////
testStartYear = input(2011, "Backtest Start Year")
testStartMonth = input(8, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2018, "Backtest Stop Year")
testStopMonth = input(9, "Backtest Stop Month")
testStopDay = input(29, "Backtest Stop Day")
// testStopDay = testStartDay + 1
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FF00 : na
bgcolor(testPeriodBackgroundColor, transp=97)
testPeriod() => true
/////////////// Component Code Stop ///////////////
src = close
len = input(4, minval=1, title="Length")
up = rma(max(change(src), 0), len)
down = rma(-min(change(src), 0), len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsin = input(5)
sn = 100 - rsin
ln = 0 + rsin
/////////////// STRATEGY ///////////////
ts = input(99999, "Trailing Stop") / 10000
tp = input(15, "Take Profit") / 10000
sl = input(23, "Stop Loss") / 10000
pyr = input(1, "Pyramiding")
short = crossover(rsi, sn)
long = crossunder(rsi, ln)
totalLongs = 0
totalLongs := nz(totalLongs[1])
totalShorts = 0
totalShorts := nz(totalShorts[1])
totalLongsPrice = 0
totalLongsPrice := nz(totalLongsPrice[1])
totalShortsPrice = 0
totalShortsPrice := nz(totalShortsPrice[1])
sectionLongs = 0
sectionLongs := nz(sectionLongs[1])
sectionShorts = 0
sectionShorts := nz(sectionShorts[1])
if long
sectionLongs := sectionLongs + 1
sectionShorts := 0
if short
sectionLongs := 0
sectionShorts := sectionShorts + 1
longCondition = long and sectionLongs >= pyr
shortCondition = short and sectionShorts >= pyr
last_long = na
last_short = na
last_long := longCondition ? time : nz(last_long[1])
last_short := shortCondition ? time : nz(last_short[1])
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long_signal = na
last_open_short_signal = na
last_open_long_signal := long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal := short_signal ? open : nz(last_open_short_signal[1])
last_long_signal = na
last_short_signal = na
last_long_signal := long_signal ? time : nz(last_long_signal[1])
last_short_signal := short_signal ? time : nz(last_short_signal[1])
in_long_signal = last_long_signal > last_short_signal
in_short_signal = last_short_signal > last_long_signal
last_high = na
last_low = na
last_high := not in_long_signal ? na : in_long_signal and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_short_signal ? na : in_short_signal and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
long_ts = not na(last_high) and high <= (last_high - ts) //and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) //and low <= last_open_short_signal
long_tp = high >= (last_open_long_signal + tp)
short_tp = low <= (last_open_short_signal - tp)
long_sl = low <= (last_open_long_signal - sl)
short_sl = high >= (last_open_short_signal + sl)
leverage = input(1, "Leverage")
long_call = last_open_long_signal - (0.8 + 0.2 * (1/leverage)) / leverage * last_open_long_signal
short_call = last_open_short_signal + (0.78 + 0.2 * (1/leverage)) / leverage * last_open_short_signal
long_call_signal = low <= long_call
short_call_signal = high >= short_call
if testPeriod()
strategy.entry("Long", strategy.long, when=longCondition)
strategy.entry("Short", strategy.short, when=shortCondition)
strategy.close("Long", when=long_call_signal)
strategy.close("Short", when=short_call_signal)
strategy.close("Long", when=long_tp)
strategy.close("Short", when=short_tp)
strategy.close("Long", when=long_sl)
strategy.close("Short", when=short_sl)
strategy.close("Long", when=long_ts)
strategy.close("Short", when=short_ts)