ChaoZhang
概述
这是一个结合ADX和RSI指标的趋势跟踪策略。策略利用RSI判断超买超卖情况发出交易信号,同时用ADX判断市场趋势,过滤掉趋势不明显的交易,可以有效避免震荡市场的套牢。
策略原理
使用7周期RSI判断超买超卖
- RSI低于30时视为超卖
- RSI高于70时视为超买
使用ADX判断趋势
- ADX高于30则认为趋势明显
- ADX低于30则认为趋势不明显
入场规则
- 当RSI低于30且ADX高于30时做多
- 当RSI高于70且ADX高于30时做空
止盈止损
- 有可选的止盈止损方式,可以选择收盘止盈止损或振荡止盈止损
- 收盘止盈止损方式是以收盘价格为标准
- 振荡止盈止损方式是以近期价格波动的最高最低点为标准
优势分析
RSI指标可以有效判断超买超卖点,减少买点陷阱和卖点陷阱
ADX指标可以过滤掉趋势不明显的情况,避免在震荡行情中被套牢
可选的止盈止损方式可以更好地控制风险
策略简单明了,容易理解实现,适合新手学习
策略参数优化空间大,可以通过调整RSI周期、超买超卖区间、ADX平滑周期等参数进行优化
风险分析
RSI存在回调风险,超买超卖信号可能出现回调再反转
ADX判断趋势存在滞后,可能错过趋势转折点
止盈止损点设定不合理可能带来亏损
策略较为朴素,存在超优化风险
需要进行参数优化以达到更好的效果
优化方向
可以优化RSI的参数,调整超买超卖区間,找到最佳参数组合
可以测试不同周期的ADX,找到判断趋势最佳的参数
可以测试不同的止盈止损方式,找到最适合策略的设置
可以加入趋势过滤指标,避免逆势交易
可以结合其它指标进行组合,使策略更具优势
总结
本策略整合了RSI和ADX两个经典指标的优势,可以有效发现趋势且避开震荡,是一种简单实用的趋势跟踪策略。策略优化空间较大,通过调整参数组合可以获得更好的效果。总体来说,该策略适合作为新手学习算法交易的入门策略,也可以作为模块集成到更复杂的策略系统中。
策略源码
/*backtest
start: 2023-09-19 00:00:00
end: 2023-09-26 00:00:00
period: 15m
basePeriod: 5m
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/
// © tweakerID
// This is a strategy that uses the 7 Period RSI to buy when the indicator is shown as oversold (OS) and sells when
// the index marks overbought (OB). It also uses the ADX to determine whether the trend is ranging or trending
// and filters out the trending trades. Seems to work better for automated trading when the logic is inversed (buying OB
// and selling the OS) wihout stop loss.
//@version=4
strategy("ADX + RSI Strat", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=100, commission_value=0.04, calc_on_every_tick=false)
direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))
//SL & TP Inputs
i_SL=input(false, title="Use Swing Lo/Hi Stop Loss & Take Profit")
i_SwingLookback=input(20, title="Swing Lo/Hi Lookback")
i_SLExpander=input(defval=0, step=.2, title="SL Expander")
i_TPExpander=input(defval=0, step=.2, title="TP Expander")
i_reverse=input(true, title="Reverse Trades")
//SL & TP Calculations
SwingLow=lowest(i_SwingLookback)
SwingHigh=highest(i_SwingLookback)
bought=strategy.position_size != strategy.position_size[1]
LSL=valuewhen(bought, SwingLow, 0)-((valuewhen(bought, atr(14), 0))*i_SLExpander)
SSL=valuewhen(bought, SwingHigh, 0)+((valuewhen(bought, atr(14), 0))*i_SLExpander)
lTP=strategy.position_avg_price + (strategy.position_avg_price-(valuewhen(bought, SwingLow, 0))+((valuewhen(bought, atr(14), 0))*i_TPExpander))
sTP=strategy.position_avg_price - (valuewhen(bought, SwingHigh, 0)-strategy.position_avg_price)-((valuewhen(bought, atr(14), 0))*i_TPExpander)
islong=strategy.position_size > 0
isshort=strategy.position_size < 0
SL= islong ? LSL : isshort ? SSL : na
TP= islong ? lTP : isshort ? sTP : na
//RSI Calculations
RSI=rsi(close, 7)
OS=input(30, step=5)
OB=input(80, step=5)
//ADX Calculations
adxlen = input(14, title="ADX Smoothing")
dilen = input(14, title="DI Length")
dirmov(len) =>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, len)
plus = fixnan(100 * rma(plusDM, len) / truerange)
minus = fixnan(100 * rma(minusDM, len) / truerange)
[plus, minus]
adx(dilen, adxlen) =>
[plus, minus] = dirmov(dilen)
sum = plus + minus
adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
sig = adx(dilen, adxlen)
adxlevel=input(30, step=5)
//Entry Logic
BUY = sig < adxlevel and (RSI < OS)
SELL = sig < adxlevel and (RSI > OB)
//Entries
strategy.entry("long", strategy.long, when=i_reverse?SELL:BUY)
strategy.entry("short", strategy.short, when=not i_reverse?SELL:BUY)
//Exits
if i_SL
strategy.exit("longexit", "long", stop=SL, limit=TP)
strategy.exit("shortexit", "short", stop=SL, limit=TP)
//Plots
plot(i_SL ? SL : na, color=color.red, style=plot.style_cross, title="SL")
plot(i_SL ? TP : na, color=color.green, style=plot.style_cross, title="TP")
plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup")
plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup")