RSI与布林带量化策略

Author: ChaoZhang, Date: 2024-01-24 14:56:02
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RSI与布林带量化策略

概述

该策略主要利用相对强弱指标(RSI)与布林带进行交易信号判断。具体来说,是在RSI低位与布林带下轨交叉时做多,RSI高位与布林带上轨交叉时做空。

策略原理

该策略首先计算RSI指标和布林带。RSI指标反映交易品的相对强弱,当RSI低于超卖区(默认30)时代表交易品处于超卖区,此时买入。布林带包括上轨、中轨和下轨,能很好反映价格的波动范围。布林带下轨附近买入,上轨附近卖出,可以获取比较稳定的信号。该策略结合RSI指标与布林带进行交易信号判断,当RSI指标从超卖区上升到超卖区之上(默认30),并且价格从布林带下轨之下上升到布林带下轨之上时产生买入信号;当RSI指标从超买区下降到超买区之下(默认70),并且价格从布林带上轨之上下降到布林带上轨之下时产生卖出信号。

策略优势

结合RSI指标与布林带,提高信号判断准确性
RSI指标过滤了部分噪音信号
布林带反映了目前市场波动的大体区间,信号比较可靠
交易策略较为严格,避免了无效交易的出现

策略风险

布林带参数设置不当可能会使交易信号不准确
RSI超买超卖区参数设置不合适也可能影响信号判断
策略较为严格,可能会错过部分交易机会

风险解决方法: 1. 对布林带参数和RSI参数进行优化,找到最佳参数组合 2. 适当放宽策略的交易条件,增加一定量的无效交易以获取更多机会

策略优化方向

对RSI参数和布林带参数进行测试与优化,找到最优参数
增加止损策略,以控制交易风险
考虑加入其它技术指标进行信号验证,如MACD等
测试不同品种和时间周期的参数优化效果

总结

该策略整体较为稳健,有效地结合了RSI指标和布林带止损。通过对参数的测试与优化,可以进一步提高策略的效果。同时也需要警惕由于策略较为严格可能带来的信号漏失风险。总的来说,该策略为一可靠的量化交易策略。

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("BB + RSI 20MIN,", shorttitle="BBRSI 20MIN", overlay=true )
     
     // Strategy Tester Start Time
sYear = input(2019, title = "Start Year")
sMonth = input(04, title = "Start Month", minval = 01, maxval = 12)
sDay = input(01, title = "Start Day", minval = 01, maxval = 31)
sHour = input(00, title = "Start Hour", minval = 00, maxval = 23)
sMinute = input(00, title = "Start Minute", minval = 00, maxval = 59)
startTime = true


///////////// RSI
RSIlength = input(9,title="RSI Period Length") 
RSIoverSold = input(30, minval=1,title="RSIL")
RSIoverBought = input(69, minval=1,title="RSIh")
price = open
vrsi = rsi(price, RSIlength)


///////////// Bollinger Bands
BBlength = input(60, minval=1,title="Bollinger Period Length")
BBmult = input(2.0, minval=0.001, maxval=50,title="Bb")
BBbasis = sma(price, BBlength)
BBdev = BBmult * stdev(price, BBlength)
BBupper = BBbasis + BBdev
BBlower = BBbasis - BBdev
source = close
buyEntry = crossover(source, BBlower)
sellEntry = crossunder(source, BBupper)
plot(BBbasis, color=aqua,title="Bollinger Bands SMA Basis Line")
p1 = plot(BBupper, color=silver,title="Bollinger Bands Upper Line")
p2 = plot(BBlower, color=silver,title="Bollinger Bands Lower Line")
fill(p1, p2)


///////////// Colors
switch1=input(true, title="Enable Bar Color?")
switch2=input(true, title="Enable Background Color?")
TrendColor = RSIoverBought and (price[1] > BBupper and price < BBupper) and BBbasis < BBbasis[1] ? red : RSIoverSold and (price[1] < BBlower and price > BBlower) and BBbasis > BBbasis[1] ? green : na
barcolor(switch1?TrendColor:na)
bgcolor(switch2?TrendColor:na,transp=50)


///////////// RSI + Bollinger Bands Strategy
if (not na(vrsi))

    if (crossover(vrsi, RSIoverSold) and crossover(source, BBlower))
        strategy.entry("RSI_BB_L", strategy.long and startTime, stop=BBlower,  comment="RSI_BB_L")
    else
        strategy.cancel(id="RSI_BB_L")
        
    if (crossunder(vrsi, RSIoverBought) and crossunder(source, BBupper))
        strategy.entry("RSI_BB_S", strategy.short and startTime, stop=BBupper,comment="RSI_BB_S")
    else
        strategy.cancel(id="RSI_BB_S")

//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)

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