ChaoZhang
概述
本策略通过结合123形态反转策略和RSI动量策略,实现双重信号过滤,在趋势反转点位实现高概率 entries。
原理解析
123形态反转策略
该策略来源于Ulf Jensen的《我如何在期货市场上获得三倍收益》一书第183页。其原理是在盘整阶段判断潜在的趋势反转机会。
具体来说,当收盘价连续2日高于前一日收盘价,并且9日Slow K线低于50时,做多;当收盘价连续2日低于前一日收盘价,并且9日Fast K线高于50时,做空。
所以,该策略本质上是以Stochastic指标的快慢线金叉死叉来判断潜在反转机会。
RSI动量策略
该策略利用ROC函数计算价格变化率,再基于价格变化率构建RSI指标,从而判定动量趋势。
当RSI低于买入区时表明价格上涨动量加速,做多;当RSI高于卖出区时表明价格下跌动量加速,做空。
优势
- 123形态反转策略能在盘整之后判断潜在反转点位
- RSI动量策略能够有效过滤假突破
- 两种策略信号累积,形成强力的入场信号
风险
- 123形态容易形成头部重叠或假突破,需配合其他指标过滤
- RSI本身还是以价格为基础,无法完全避免被套
- 双重信号累积时可能会错过较好入场点位
可考虑以下几点来降低风险:
- 调整Stochastic指标的参数,使用更长周期确定趋势
- 调整RSI的参数,使用更低区买入和更高区卖出
- 考虑仅使用单一信号入场
优化方向
- 可测试ROC周期参数,找到对特定品种更合适的参数
- 可测试123形态判定逻辑,例如调整K线快慢线参数
- 可测试RSI区段参数,确定更适合的买入卖出区域
- 可尝试其他指标如MACD取代Stochastic
- 可测试仅使用单一策略信号的效果
总结
本策略通过双重反转信号的验证,能够在趋势反转前提高入场准确率。123形态判定反转机会,RSI动量指标进一步验证反转有效性。策略易于优化和调整参数,用户可以根据不同品种和交易偏好进行测试。但也应注意双重信号可能错过入场时点的风险。总体来说,该策略提供了一种有效判断反转走势的思路和框架。
策略源码
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 17/06/2021
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This is the new-age indicator which is version of RSI calculated upon
// the Rate-of-change indicator.
// The name "Relative Strength Index" is slightly misleading as the RSI
// does not compare the relative strength of two securities, but rather
// the internal strength of a single security. A more appropriate name
// might be "Internal Strength Index." Relative strength charts that compare
// two market indices, which are often referred to as Comparative Relative Strength.
// And in its turn, the Rate-of-Change ("ROC") indicator displays the difference
// between the current price and the price x-time periods ago. The difference can
// be displayed in either points or as a percentage. The Momentum indicator displays
// the same information, but expresses it as a ratio.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
RSI_ROC(RSILength,ROCLength,BuyZone,SellZone) =>
pos = 0.0
xPrice = close
nRes = rsi(roc(xPrice,ROCLength),RSILength)
pos := iff(nRes < BuyZone, -1,
iff(nRes > SellZone, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & RSI based on ROC", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- RSI based on ROC ----")
RSILength = input(20, minval=1)
ROCLength = input(20, minval=1)
BuyZone = input(30, minval=1)
SellZone = input(70, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posRSI_ROC = RSI_ROC(RSILength,ROCLength,BuyZone,SellZone)
pos = iff(posReversal123 == 1 and posRSI_ROC == 1 , 1,
iff(posReversal123 == -1 and posRSI_ROC == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1 )
strategy.entry("Long", strategy.long)
if (possig == -1 )
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )