Dual R Indicators Strategy

Overview

This strategy uses dual R indicators combined with SMA lines to determine trends and generate trading signals for USDJPY. The dual R indicators include Parabolic SAR trailing stop indicator and RSI overbought-oversold indicator. It judges trends and overbought-oversold situations through dual R indicators, and generates buy and sell signals with SMA lines.

Principles

The strategy mainly utilizes the following three technical indicators:

1. Parabolic SAR trailing stop indicator: It shows potential stop loss points and can be used to determine price trends and potential reversal points. The code calculates and plots SAR values based on parameter settings.

2. RSI overbought-oversold indicator: It judges whether prices are overbought or oversold. The code sets RSI parameters and overbought/oversold threshold values, and calculates and plots the RSI curve.

3. SMA lines: It calculates and plots the 10-day and 20-day SMA lines.

Combining the three indicators, the buy and sell point logic is as follows:

Go long when close goes above 182-day SMA line, 10-day SMA crosses above 20-day SMA, and RSI breaks through 30 oversold line from below.

Go short when close goes below 182-day SMA line, 10-day SMA crosses below 20-day SMA, and RSI breaks through 70 overbought line from above.

Advantages

The strategy has the following advantages:

1. Using dual R indicators to determine trend direction can effectively confirm trading signals. RSI for overbought-oversold and SAR for trend reversal work together for more reliability.

2. Adding SMA filter helps avoid false breakouts. Relying solely on RSI may miss opportunities, SMA adds confidence.

3. 15-min timeframe captures short-term breakouts timely. For intraday trading, 15-min is optimal to capitalize on short-term trends.

4. 2.5 months of 15-min backtest data sufficiently validates strategy. 15-min data over 2.5 months can basically determine reliability.

Risks

There are some risks:

1. Limited backtest data cannot fully represent future performance. 2.5 months is insufficient to determine long-term validity.

2. RSI may give false signals, deviating from actual price moves.

3. SMA has lagging effect. It reacts slower to price changes, missing good entry points.

4. Intraday trading has higher risks. More impacted by news and overnight position risks.

Optimization

Some ways to optimize the strategy:

1. Expand backtest timeframe to 6 months or 1 year for more sufficient validation.

2. Try other indicators like KDJ, MACD to complement or replace RSI for more reliable signals.

3. Optimize SMA combinations, like 5-day and 20-day, or adding longer SMAs, for more solid breakouts.

4. Add stop loss mechanisms to control single trade loss, like intraday or trailing stop loss.

5. Optimize take profit, like trailing stop or partial profits, to lock in more gains.

Conclusion

The strategy overall uses dual R indicators for overbought-oversold and SMA for filters to implement USDJPY intraday trading. It has advantage of catching short-term trends but also risks like insufficient backtest data. It can be further improved by expanding timeframe, optimizing parameters, adding stop loss/take profit.