收缩带Bollinger与RSI组合策略
Author: ChaoZhang, Date: 2024-01-30 15:15:32Tags:
概述
该策略将布林带和相对强弱指标(RSI)组合使用,识别出布林带收缩期配合RSI上升的机会,采取趋势跟踪止损以控制风险。
策略原理
本策略的交易逻辑核心在于识别布林带的收缩,并在RSI呈上升态势时判断趋势处于上涨初期。具体来说,当20日布林带中轨上的标准差小于ATR*2时,我们判定布林带发生收缩;同时,若10日和14日的RSI都呈上升趋势,那么我们预测价格即将突破布林带上轨,采取做多策略。
进入场内后,我们采用ATR安全距离+随价格上涨的止损方式来锁定利润并控制风险。当价格超过止损线或RSI过热(14日RSI超过70,10日RSI超过14日RSI)时平仓。
优势分析
本策略最大优势在于利用布林带收缩来判断行情整理期,结合RSI指标预测价格的突破方向。此外,采用适应性止损而不是固定止损,可以根据市场波动程度来灵活调整,从而在保证风险可控的前提下获得更大收益。
风险分析
本策略的主要风险在于识别布林带收缩和RSI上升时,行情可能是假突破。此外,在止损方面,波动过大时适应性止损可能无法及时止损。可以通过改进止损方式(例如曲线止损)来降低此风险。
优化方向
本策略可以从以下几个方面进行优化:
改进布林带参数设置,优化判断收缩效果
尝试不同的RSI周期参数
测试其他止损方式(曲线止损、回看止损等)的效果
根据不同品种特性调整参数
总结
本策略综合利用布林带和RSI的互补性,在控制风险的前提下获得较好回撤收益比。后续可从止损方式、参数选择等方面进行优化,使策略更适用于不同交易品种。
/*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"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © DojiEmoji
//
//@version=4
strategy("[KL] BOLL + RSI Strategy",overlay=true,pyramiding=1)
// Timeframe {
backtest_timeframe_start = input(defval = timestamp("01 Apr 2016 13:30 +0000"), title = "Backtest Start Time", type = input.time)
USE_ENDTIME = input(false,title="Define backtest end-time (If false, will test up to most recent candle)")
backtest_timeframe_end = input(defval = timestamp("01 May 2021 19:30 +0000"), title = "Backtest End Time (if checked above)", type = input.time)
within_timeframe = true
// }
// Bollinger bands (sdv=2, len=20) {
BOLL_length = 20, BOLL_src = close, SMA20 = sma(BOLL_src, BOLL_length), BOLL_sDEV_x2 = 2 * stdev(BOLL_src, BOLL_length)
BOLL_upper = SMA20 + BOLL_sDEV_x2, BOLL_lower = SMA20 - BOLL_sDEV_x2
plot(SMA20, "Basis", color=#872323, offset = 0)
BOLL_p1 = plot(BOLL_upper, "BOLL Upper", color=color.navy, offset = 0, transp=50)
BOLL_p2 = plot(BOLL_lower, "BOLL Lower", color=color.navy, offset = 0, transp=50)
fill(BOLL_p1, BOLL_p2, title = "Background", color=#198787, transp=85)
// }
// Volatility Indicators {
ATR_x2 = atr(BOLL_length) * 2 // multiplier aligns with BOLL
avg_atr = sma(ATR_x2, input(1,title="No. of candles to lookback when determining ATR is decreasing"))
plot(SMA20+ATR_x2, "SMA20 + ATR_x2", color=color.gray, offset = 0, transp=50)
plot(SMA20-ATR_x2, "SMA20 - ATR_x2", color=color.gray, offset = 0, transp=50)
plotchar(ATR_x2, "ATR_x2", "", location = location.bottom)
//}
// Trailing stop loss {
TSL_source = low
var entry_price = float(0), var stop_loss_price = float(0)
trail_profit_line_color = color.green
if strategy.position_size == 0 or not within_timeframe
trail_profit_line_color := color.black
stop_loss_price := TSL_source - ATR_x2
else if strategy.position_size > 0
stop_loss_price := max(stop_loss_price, TSL_source - ATR_x2)
plot(stop_loss_price, color=trail_profit_line_color)
if strategy.position_size > 0 and stop_loss_price > stop_loss_price[1]
alert("Stop loss limit raised", alert.freq_once_per_bar)
// } end of Trailing stop loss
//Buy setup - Long positions {
is_squeezing = ATR_x2 > BOLL_sDEV_x2
if is_squeezing and within_timeframe and not is_squeezing[1]
alert("BOLL bands are squeezing", alert.freq_once_per_bar)
else if not is_squeezing and within_timeframe and is_squeezing[1]
alert("BOLL bands stopped squeezing", alert.freq_once_per_bar)
ema_trend = ema(close, 20)
concat(a, b) =>
concat = a
if a != ""
concat := concat + ", "
concat := concat + b
concat
// }
// Sell setup - Long position {
rsi_10 = rsi(close, 10), rsi_14 = rsi(close, 14)
overbought = rsi_14 > input(70,title="[Exit] RSI(14) value considered as overbought") and rsi_10 > rsi_14
// } end of Sell setup - Long position
// MAIN: {
if within_timeframe
entry_msg = ""
exit_msg = ""
// ENTRY {
conf_count = 0
volat_decr = avg_atr <= avg_atr[1]
rsi_upslope = rsi_10 > rsi_10[1] and rsi_14 > rsi_14[1]
if volat_decr and rsi_upslope and is_squeezing and strategy.position_size == 0
strategy.entry("Long",strategy.long, comment=entry_msg)
entry_price := close
stop_loss_price := TSL_source - ATR_x2
// }
// EXIT {
if strategy.position_size > 0
bExit = false
if close <= entry_price and TSL_source <= stop_loss_price
exit_msg := concat(exit_msg, "stop loss [TSL]")
bExit := true
else if close > entry_price and TSL_source <= stop_loss_price
exit_msg := concat(exit_msg, "take profit [TSL]")
bExit := true
else if overbought
exit_msg := concat(exit_msg, "overbought")
bExit := true
strategy.close("Long", when=bExit, comment=exit_msg)
// }
// }
// CLEAN UP:
if strategy.position_size == 0 and not is_squeezing
entry_price := 0
stop_loss_price := float(0)
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