ChaoZhang
概述
本策略通过追踪RSI指标错过的超买超卖信号实现反转交易。当RSI指标从超买区域回落时产生追踪做多信号,从超卖区域反弹时产生追踪做空信号,以捕捉反转机会。
策略原理
信号判定
RSI指标用于判断超买超卖。当RSI上穿设定的超买线时为超买信号,下穿超卖线时为超卖信号。
overbought = rsi > uplimit
oversold = rsi < dnlimit
若前一根K线RSI指标处于超买状态,当前K线RSI指标退出超买状态,产生追踪做多信号up1;若前一根K线RSI指标处于超卖状态,当前K线RSI指标退出超卖状态,产生追踪做空信号dn1。
up1 = bar == -1 and strategy.position_size == 0 and overbought[1] and overbought == false
dn1 = bar == 1 and strategy.position_size == 0 and oversold[1] and oversold == false
退出判定
当持仓方向与K线实体方向一致时,并且实体突破其10周期平均值的一半时,产生退出信号。
exit = (((strategy.position_size > 0 and bar == 1) or
(strategy.position_size < 0 and bar == -1)) and
body > abody / 2)
策略优势
追踪RSI指标错过的反转信号,避免需要及时捕捉超买超卖点的困难。
利用RSI指标的反转属性,捕捉反转机会。
结合K线实体方向和大小进行退出判断,避免反弹后继续追踪。
风险及解决方法
RSI指标发出假信号的风险
- 解决方法:结合其他指标进行确认,避免错信。
追踪信号时,价格可能已经发生一定回调,亏损风险大
- 解决方法:降低入场仓位,或优化入场时机。
部分反弹无法获利就发出退出信号的风险
- 解决方法:优化退出判定逻辑,提高持仓获利机会。
优化思路
优化参数设定,如超买超卖线、回看周期等,针对不同市场调整。
调整仓位管理方式,如追踪信号时降低仓位。
优化入场时机,在追踪信号基础上,添加其他条件限制。
优化退出方式,提高获利概率,如引入移动止盈等方式。
优化止损方式,降低亏损风险,如引入移动止损、扇形止损等。
总结
本策略基于RSI指标的超买超卖信号实现追踪反转交易。策略具有追踪反转信号的优势,但也存在一定的假信号风险和亏损风险。通过持续优化,可以进一步提高策略的稳定性和收益率。
策略源码
/*backtest
start: 2023-09-20 00:00:00
end: 2023-09-27 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=2
strategy(title = "Noro's Anti RSI Strategy v1.0", shorttitle = "Anti RSI str 1.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usemar = input(false, defval = false, title = "Use Martingale")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
rsiperiod1 = input(14, defval = 14, minval = 2, maxval = 50, title = "RSI Period")
rsilimit1 = input(25, defval = 25, minval = 1, maxval = 100, title = "RSI limit")
showarr = input(false, defval = false, title = "Show Arrows")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//RSI
uprsi1 = rma(max(change(close), 0), rsiperiod1)
dnrsi1 = rma(-min(change(close), 0), rsiperiod1)
rsi = dnrsi1 == 0 ? 100 : uprsi1 == 0 ? 0 : 100 - (100 / (1 + uprsi1 / dnrsi1))
uplimit = 100 - rsilimit1
dnlimit = rsilimit1
//Body
body = abs(close - open)
abody = sma(body, 10)
//Signals
bar = close > open ? 1 : close < open ? -1 : 0
overbought = rsi > uplimit
oversold = rsi < dnlimit
up1 = bar == -1 and strategy.position_size == 0 and overbought[1] and overbought == false
dn1 = bar == 1 and strategy.position_size == 0 and oversold[1] and oversold == false
up2 = bar == -1 and strategy.position_size > 0 and overbought == false
dn2 = bar == 1 and strategy.position_size < 0 and oversold == false
norma = overbought == false and oversold == false
exit = (((strategy.position_size > 0 and bar == 1) or (strategy.position_size < 0 and bar == -1)) and body > abody / 2)
//Arrows
col = exit ? black : up1 or dn1 or up2 or dn2 ? blue : na
needup = up1 or up2
needdn = dn1 or dn2
needexitup = exit and strategy.position_size < 0
needexitdn = exit and strategy.position_size > 0
plotarrow(showarr and needup ? 1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needdn ? -1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needexitup ? 1 : na, colorup = black, colordown = black, transp = 0)
plotarrow(showarr and needexitdn ? -1 : na, colorup = black, colordown = black, transp = 0)
//Trading
profit = exit ? ((strategy.position_size > 0 and close > strategy.position_avg_price) or (strategy.position_size < 0 and close < strategy.position_avg_price)) ? 1 : -1 : profit[1]
mult = usemar ? exit ? profit == -1 ? mult[1] * 2 : 1 : mult[1] : 1
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 * mult : lot[1]
if up1 or up2
if strategy.position_size < 0
strategy.close_all()
strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if dn1 or dn2
if strategy.position_size > 0
strategy.close_all()
strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59) or exit
strategy.close_all()