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RSI 反转交叉动量盈利目标量化交易策略

Author: ChaoZhang, Date: 2024-07-29 15:56:41
Tags: RSI

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---

/*backtest
start: 2024-06-01 00:00:00
end: 2024-06-30 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("1H RSI Reversal Scalping Bot with Profit Target", overlay=true)

// Input settings
rsiPeriod = input(14, title="RSI Period")
overboughtLevel = input(70, title="Overbought Level")
oversoldLevel = input(30, title="Oversold Level")
entryOverbought = input(69, title="Entry Overbought Level")
entryOversold = input(31, title="Entry Oversold Level")
profitTarget = input(2000, title="Profit Target (in USD)")
tradeSize = input(2, title="Trade Size (Lots)")

// RSI Calculation
rsi = ta.rsi(close, rsiPeriod)

// Entry conditions
longCondition = ta.crossover(rsi, entryOversold) and ta.valuewhen(ta.crossunder(rsi, oversoldLevel), rsi, 0) < entryOversold
shortCondition = ta.crossunder(rsi, entryOverbought) and ta.valuewhen(ta.crossover(rsi, overboughtLevel), rsi, 0) > entryOverbought

// Calculate profit in ticks
tickValue = syminfo.pointvalue
profitTicks = profitTarget / (tickValue * tradeSize)

// Determine the profit target level in price units
longExitPrice = strategy.position_avg_price + profitTicks * syminfo.mintick
shortExitPrice = strategy.position_avg_price - profitTicks * syminfo.mintick

// Plotting entry and exit points
plotshape(series=longCondition, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal")
plotshape(series=shortCondition, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell Signal")

// Strategy execution
if (longCondition)
    strategy.entry("Long", strategy.long, qty=tradeSize)
if (shortCondition)
    strategy.entry("Short", strategy.short, qty=tradeSize)

// Close long position if profit target met
if (strategy.position_size > 0 and close >= longExitPrice)
    strategy.close("Long")

// Close short position if profit target met
if (strategy.position_size < 0 and close <= shortExitPrice)
    strategy.close("Short")

// Plot expected close markers
var label expectedCloseMarker = na
if (longCondition)
    expectedCloseMarker := label.new(x=bar_index, y=longExitPrice, text="Expected Close", style=label.style_label_down, color=color.blue, textcolor=color.white, size=size.small)
if (shortCondition)
    expectedCloseMarker := label.new(x=bar_index, y=shortExitPrice, text="Expected Close", style=label.style_label_up, color=color.blue, textcolor=color.white, size=size.small)

// Plot RSI for reference
// hline(overboughtLevel, "Overbought", color=color.red)
// hline(oversoldLevel, "Oversold", color=color.green)
// plot(rsi, color=color.purple, title="RSI")

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