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Leveraged RSI Strategy in Pine Script

Author: ChaoZhang, Date: 2023-12-29 10:46:35
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Overview

This strategy aims to solve the problem that Pine Script cannot set leverage during backtesting to achieve compound interest with leverage. The strategy dynamically calculates the position size based on the strategy equity, set leverage ratio and closing price.

Strategy Logic

  1. Set precision precision to control the precision of position size
  2. Set leverage ratio leverage, default is 1x
  3. Calculate position size: Lev = math.max(math.round(strategy.equity * leverage / close), 0), make it proportional to equity and leverage
  4. Entry signal: long when RSI breaks above 30 from below; short when RSI breaks below 70 from above
  5. Place order with calculated size Lev

Advantage Analysis

  1. Solve the problem that Pine Script cannot set leverage
  2. Position size changes proportionally with equity changes, achieving compound interest with leverage
  3. RSI filtered, avoiding unnecessary trades
  4. Precision precision is adjustable to meet different requirements

Risk Analysis

  1. Excessive leverage can easily cause liquidation
  2. Need to adjust leverage and position size properly to control risk

Optimization Direction

  1. Can test stability under different parameters
  2. Can incorporate stop loss to further control risk
  3. Can consider multi-factor model to improve strategy performance

Summary

This strategy implements leverage setting in Pine Script, solving the problem that backtesting cannot simulate leverage, calculates position size linked to equity to achieve compound interest with leverage. The strategy is simple and effective, can be further optimized, and worth learning.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
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/
// © RingsCherrY

//@version=5
strategy("How to use Leverage in PineScript", overlay=true, pyramiding=1, initial_capital=1000000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_order_fills=false, slippage=0, commission_type=strategy.commission.percent, commission_value=0.04)

//////////////////////////////////////////
////////////////Indicators////////////////
//////////////////////////////////////////

length = input( 14 )
overSold = input( 30 )
overBought = input( 70 )
price = close
vrsi = ta.rsi(price, length)
co = ta.crossover(vrsi, overSold)
cu = ta.crossunder(vrsi, overBought)

//////////////////////////////////////////
/////////////////Leverage/////////////////
//////////////////////////////////////////


//The number of decimal places for each position opening, i.e., the accuracy
precision = input.int(1,title='Precision')

//Leverage, the default is 1, here is not recommended to open a high leverage

leverage = input.int(1,title='Leverage',minval = 1, maxval = 100 ,step = 1)

//Calculate the number of open contracts, here using equity for calculation, considering that everyone compound interest is used for trading equity
Lev = math.max(math.round(strategy.equity * leverage  / close , precision), 0)

if (not na(vrsi))
	if (co)
		strategy.entry("RsiLE", strategy.long,qty = Lev, comment="RsiLE")
	if (cu)
		strategy.entry("RsiSE", strategy.short,qty = Lev, comment="RsiSE")
//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
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