ChaoZhang
概述
本策略结合了相对强弱指数(RSI)指标和K线形态模式,在RSI达到超买超卖区域时,识别特定的K线形态作为入场信号,实现趋势跟踪。
策略原理
计算RSI指标的值,以30为超卖线,70为超买线。
在RSI上穿30时看做超卖信号,在RSI下穿70时看做超买信号。
在上述信号出现时,判断当前K线或前一根K线是否形成白色/黑色实体、锤头/吊颈线等特定形态。
如果同时满足RSI信号和K线形态条件,则产生买入/卖出信号。
对应的,如果形成多头形态如锤头线等,在RSI超卖时买入;如果形成空头形态如射击星等,在RSI超买时卖出。
识别出双线形态、三线形态等较复杂的组合Candlestick模式,作为入场信号。
RSI回穿中线也作为平仓信号。
策略优势
结合指标和形态,过滤假信号,提高入场的准确性。
识别K线形态,能捕捉较明显的趋势转折点。
利用RSI的超买超卖区域发出信号,增加获利机会。
识别双三线形态组合,能抓住趋势较强的转折点。
RSI回穿中线作为止损/止盈信号,有利锁定盈利。
策略风险
RSI指标存在滞后,可能错过转折点。
部分K线形态信号较弱,可能存在虚假信号。
未考虑突破前高点、回测前低点作为止损止盈信号,存在亏损风险。
未设置移动止损,大幅逆转可能导致亏损扩大。
回测数据不足,可能对参数优化结果产生偏差。
策略优化方向
结合其他指标过滤入场信号,如MACD、布林带等。
添加趋势线作为止损止盈。
根据回测结果优化RSI参数,寻找最佳参数组合。
优化止损止盈策略,如追踪止损、区间止损等。
测试更长时间周期的数据,评估参数稳定性。
根据不同品种、市场情况调整参数。
总结
本策略整合RSI指标和K线形态识别的优势,在超买超卖点挑选高质量信号入场,达到趋势跟踪的效果。同时识别一些较强的组合形态信号,可提高获利概率。但存在一定滞后、假信号的风险,需要与其他手段配合使用,并继续优化。总体来说,该策略融合了多个利多策略思想,如果参数调优到位,应可获得较好的效果。
策略源码
/*backtest
start: 2022-09-15 00:00:00
end: 2023-09-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
/////////////////////////////////////
//@version=2
//@author=sb
strategy("RSI-candlestick Strategy", overlay=true)
src = hlc3, len = input(14, 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))
//plot(rsi, color=purple)
//band1 = hline(70)
//band0 = hline(30)
//band2 = hline(50,linestyle=dotted,color=silver)
//fill(band1, band0, color=#cc99ff, transp=70)
//end premade RSI
oversold = rsi < 30
overbought = rsi > 70
barcolor(oversold? #7fff00 : overbought? red : na )
//
//
level_70 = 70
level_70rsi = rsi > level_70 ? rsi : level_70
level_30 = 30
level_30rsi = rsi < 30 ? rsi : level_30
level_50 = 50
//
//p1 = plot(series=level_70, color=red, linewidth=1, transp=100)
//p2 = plot(series=level_70rsi, color=red, linewidth=1, transp=100)
//p3 = plot(series=level_30, color=green, linewidth=1, transp=100)
//p4 = plot(series=level_30rsi, color=green, linewidth=1, transp=100)
//fill(p1, p2, color=red, transp=50)
//fill(p3, p4, color=#7fff00, transp=50)
/////////////////////////////////////
bullishcriteria = input(title="RSI Bullish Criteria", defval=55, minval=50, maxval=100)
bearishcriteria = input(title="RSI Bearish Criteria", defval=45, minval=0, maxval=50)
range = high - low
body = abs(close - open)
oc2 = min(close, open) + body/2
upperwick = high - max(open, close)
lowerwick = min(open, close) - low
isUp = close > open
isTrendUp = rsi(close, 14) >= bullishcriteria
isTrendDown = rsi(close, 14) <= bearishcriteria
isDoji = abs(close-open)/(high-low) < 0.05
// Single Candlestick Pattern
// white marubozu
wm = (isUp) and (upperwick <= 0.05*body) and (lowerwick <= 0.05*body) and isTrendDown
plotshape(wm, color=green, style=shape.triangleup, location=location.belowbar, title='white marubozu',text='wm')
if (not na(rsi))
if (crossover(rsi, level_30) and (wm or wm[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// black marubozu
bm = (not isUp) and (upperwick <= 0.05*body) and (lowerwick <= 0.05*body) and isTrendUp
plotshape(bm, color=red, style=shape.triangledown, location=location.abovebar, title='black marubozu',text='bm')
if (not na(rsi))
if (crossunder(rsi, level_70)and (bm or bm[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// hammer
h = (isUp) and (lowerwick >= 2*body) and (upperwick <= 0.1*body) and isTrendDown
plotshape(h, color=green, style=shape.triangleup, location=location.belowbar, title='hammer',text='h')
if (not na(rsi))
if (crossover(rsi, level_30) and (h or h[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// hanging man
hm = (not isUp) and (lowerwick >= 2*body) and (upperwick <= 0.1*body) and isTrendUp
plotshape(hm, color=red, style=shape.triangledown, location=location.abovebar, title='hanging man',text='hm')
if (not na(rsi))
if (crossunder(rsi, level_70)and (hm or hm[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// inverted hammer
ih = (isUp) and (upperwick >= 2*body) and (lowerwick <= 0.1*body) and isTrendDown
plotshape(ih, color=green, style=shape.triangleup, location=location.belowbar, title='inverted hammer',text='ih')
//if (not na(rsi))
// if (crossover(rsi, level_30) and (ih or ih[1]))
// strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// shooting star
ss = (not isUp) and (upperwick >= 2*body) and (lowerwick <= 0.1*body) and isTrendUp
plotshape(ss, color=red, style=shape.triangledown, location=location.abovebar, title='shooting star',text='ss')
if (not na(rsi))
if (crossunder(rsi, level_70)and (ss or ss[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// Double Candlestick Pattern
// bullish engulfing
bulle = not isDoji[1] and (not isUp[1] and isUp) and (close > open[1] and open < close[1]) and isTrendDown
plotshape(bulle, color=green, style=shape.triangleup, location=location.belowbar, title='bullish engulfing', text='e')
// bearish engulfing
beare = not isDoji[1] and (isUp[1] and not isUp) and (open > close[1] and close < open[1]) and isTrendUp
plotshape(beare, color=red, style=shape.triangledown, location=location.abovebar, title='bearish engulfing',text='e')
// tweezer bottom
twb = (not isUp[1] and isUp) and (min(lowerwick,lowerwick[1])/max(lowerwick,lowerwick[1]) >= 0.99) and (min(low,low[1])/max(low,low[1]) >= 0.99) and isTrendDown
plotshape(twb, color=green, style=shape.triangleup, location=location.belowbar, title='tweezer bottom', text='tb')
if (not na(rsi))
if (crossover(rsi, level_30) and (twb or twb[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// tweezer top
twt = (isUp[1] and not isUp) and (min(upperwick,upperwick[1])/max(upperwick,upperwick[1]) >= 0.99) and (min(high,high[1])/max(high,high[1]) >= 0.99) and isTrendUp
plotshape(twt, color=red, style=shape.triangledown, location=location.abovebar, title='tweezer top',text='tt')
if (not na(rsi))
if (crossunder(rsi, level_70)and (twt or twt[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// Trible Candlestick Pattern
// three white soldier
tws = (not isUp[3] and isUp[2] and isUp[1] and isUp) and (body[1]>body[2]) and (upperwick<0.1*body and lowerwick<0.1*body) and isTrendDown
plotshape(tws, color=green, style=shape.triangleup, location=location.belowbar, title='three white soldiers',text='tws')
if (not na(rsi))
if (crossover(rsi, level_30) and (tws or tws[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// three black crows
tbc = (isUp[3] and not isUp[2] and not isUp[1] and not isUp) and (body[1]>body[2]) and (upperwick<0.1*body and lowerwick<0.1*body) and isTrendUp
plotshape(tbc, color=red, style=shape.triangledown, location=location.abovebar, title='three black crows',text='tbc')
if (not na(rsi))
if (crossunder(rsi, level_70)and (tbc or tbc[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// morning star
ms = (not isUp[1]) and (abs(close[1]-open[1])/(high[1]-low[1]) < 0.1) and (close > oc2[2] and close < open[2]) and isTrendDown
plotshape(ms, color=green, style=shape.triangleup, location=location.belowbar, title='morning star',text='ms')
if (not na(rsi))
if (crossover(rsi, level_30) and (ms or ms[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// evening star
es = (isUp[1]) and (abs(close[1]-open[1])/(high[1]-low[1]) < 0.1) and (close < oc2[2] and close > open[2]) and isTrendUp
plotshape(es, color=red, style=shape.triangledown, location=location.abovebar, title='evening star',text='es')
//if (not na(rsi))
// if (crossunder(rsi, level_70)and (es or es[1]))
// strategy.entry("RsiSE", strategy.short, comment="RsiSE")
// three inside up
tiu = (not isUp[2]) and (close[1] > oc2[2] and close[1] < open[2]) and (close > high[2]) and isTrendDown
plotshape(tiu, color=green, style=shape.triangleup, location=location.belowbar, title='three inside up',text='tiu')
if (not na(rsi))
if (crossover(rsi, level_30) and (tiu or tiu[1]))
strategy.entry("RsiLE", strategy.long, comment="RsiLE")
// three inside down
tid = (isUp[2]) and (close[1] < oc2[2] and close[1] > open[2]) and (close < low[2]) and isTrendUp
plotshape(tid, color=red, style=shape.triangledown, location=location.abovebar, title='three inside down',text='tid')
if (not na(rsi))
if (crossunder(rsi, level_70)and (tid or tid[1]))
strategy.entry("RsiSE", strategy.short, comment="RsiSE")
if (not na(rsi))
if (crossover(rsi, level_70))
//strategy.exit("RsiSE")
//if(chk[1]==0 or chk[2]==0 or chk[3]==0 or chk[4]==0 or chk[5]==0 or chk[6]==0 or chk[7]==0 or chk[8]==0 or chk[9]==0 or chk[10]==0)
//if(crossover(col[1],zero) or crossover(col[2],zero) or crossover(col[3],zero) or crossover(col[4],zero) or crossover(col[5],zero) or crossover(col[6],zero) or crossover(col[7],zero) or crossover(col[8],zero))
//strategy.entry("RsiLE", strategy.long,0, comment="RsiLE")
strategy.entry("RsiSE", strategy.short,0, comment="RsiSE")
if (crossunder(rsi, level_30))
//strategy.entry("RsiSE", strategy.short,0, comment="RsiSE")
strategy.entry("RsiLE", strategy.long,0, comment="RsiLE")
//if (not na(rsi))
// if (crossover(rsi, level_50))
//strategy.exit("RsiSE")
//if(chk[1]==0 or chk[2]==0 or chk[3]==0 or chk[4]==0 or chk[5]==0 or chk[6]==0 or chk[7]==0 or chk[8]==0 or chk[9]==0 or chk[10]==0)
//if(crossover(col[1],zero) or crossover(col[2],zero) or crossover(col[3],zero) or crossover(col[4],zero) or crossover(col[5],zero) or crossover(col[6],zero) or crossover(col[7],zero) or crossover(col[8],zero))
// strategy.entry("RsiSE", strategy.short,0, comment="RsiSE")
// else
// strategy.exit("RsiSE")
// if (crossunder(rsi, level_50))
// strategy.entry("RsiLE", strategy.long,0, comment="RsiLE")
// else
// strategy.exit("RsiLE")