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基于RSI-V形态的短线盈利策略-RSI-V-shaped-Pattern-Swing-Trading-Strategy.md

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Name

基于RSI-V形态的短线盈利策略-RSI-V-shaped-Pattern-Swing-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

这个策略基于RSI指标的V形态,配合EMA均线过滤,形成较为可靠的短线盈利策略。它可以捕捉到价格在超卖区域反弹形成的机会,通过RSI指标的V形态信号精确做多,达到在短线上获利的目的。

策略原理

  1. 使用20日线在50日线之上作为长线多头的判断
  2. RSI形成V形态,表示超卖反弹机会
    • 前一K线最低点低于前两K线的最低点
    • 当前K线RSI高于前两根K线的RSI
  3. RSI上穿30作为V形态完成的信号,做多
  4. 止损设在入场价8%以下
  5. RSI穿过70开始 tzinfo 头寸,止损移至入场价
  6. RSI穿过90开始 tzinfo 3/4头寸
  7. RSI穿过10 / 止损触发,全部平仓

优势分析

  1. 使用EMA均线判断大趋势方向,避免逆势操作
  2. RSI V形态判断超卖区域反弹机会,捕捉反转趋势
  3. 多重止损机制控制风险

风险分析

  1. 大面市下行可能无法止损,造成较大亏损
  2. RSI V形态信号可能存在错误,导致不必要的亏损

优化方向

  1. 优化RSI参数,寻找更加可靠的RSI V形态
  2. 结合其他指标判断反转信号可靠性
  3. 优化止损策略,在防止过于激进的同时及时止损

总结

本策略整合EMA均线过滤和RSI V形态判断,形成了一套较为可靠的短线操作策略。它可以有效抓住超卖区域反弹的机会,在短线上实现盈利。通过不断优化参数和模型,完善止损机制,这套策略可以进一步增强稳定性和盈利能力。它为量化交易者打开了另一扇短线盈利的大门。

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Overview

This strategy is based on the V-shaped pattern formed by the RSI indicator, combined with EMA filters, to develop a reliable short-term profitable trading strategy. It captures rebound opportunities when the price is oversold by accurately going long through RSI’s V-shaped signals, for the purpose of making profits in the short run.

Strategy Logic

  1. Use 20-day EMA above 50-day EMA as the judgment of long-term uptrend
  2. RSI forms V-shaped pattern, indicating oversold rebound opportunities
    • Previous bar's low is lower than previous 2 bars' low
    • Current bar’s RSI is higher than previous 2 bars’ RSI
  3. RSI crosses above 30 as the completion signal of V-shaped pattern to go long
  4. Set stop loss at 8% below entry price
  5. When RSI crosses 70, start closing positions and move stop loss to entry price
  6. When RSI crosses 90, close 3/4 positions
  7. When RSI goes below 10 / stop loss triggered, close all positions

Advantage Analysis

  1. Use EMA to judge overall market direction, avoid trading against the trend
  2. RSI V-shaped pattern captures mean-reverting opportunities when oversold
  3. Multiple stop loss mechanisms to control risks

Risk Analysis

  1. Strong downtrend may incur unstoppable losses
  2. RSI V-shaped signals may give false signals, leading to unnecessary losses

Optimization Directions

  1. Optimize RSI parameters to find more reliable V-shaped patterns
  2. Incorporate other indicators to enhance reliability of reversal signals
  3. Refine stop loss strategy, balance between preventing over-aggressiveness and timely stop loss

Summary

This strategy integrates EMA filter and RSI V-shaped pattern judgment to form a reliable short-term trading strategy. It can effectively seize the rebound opportunities when oversold. With continuous optimization on parameters and models, improving stop loss mechanisms, this strategy can be further enhanced in stability and profitability. It opens the door of profitable swing trading for quant traders.

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Strategy Arguments

Argument Default Description
v_input_1 5 RSI Period
v_input_2 8 Stop Loss %

Source (PineScript)

/*backtest
start: 2023-12-12 00:00:00
end: 2024-01-11 00:00:00
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/
// © mohanee

//@version=4
//strategy("RSI V Pattern", overlay=true)
strategy(title="RSI V Pattern", overlay=false )

//Strategy Rules
//ema20 is above ema50  --- candles are colored  green on the chart
//RSI value sharply coming up which makes a V shape ,  colored in yellow on the chart
//RSI V pattern should occur from below 30    

len = input(title="RSI Period", minval=1, defval=5)
stopLoss = input(title="Stop Loss %", minval=1, defval=8)

myRsi = rsi(close,len)

longEmaVal=ema(close,50)
shortEmaVal=ema(close,20)

//plot emas 
//plot(longEmaVal, title="Long EMA" ,linewidth=2, color=color.orange, trackprice=true)
//plot(shortEmaVal, title="Short EMA" ,linewidth=2, color=color.green, trackprice=true)


longCondition =  ema(close,20)>ema(close,50)   and (low[1]<low[2] and  low[1]<low[3]) and (myRsi>myRsi[1] and myRsi>myRsi[2] ) and crossover(myRsi,30) //  (   and myRsi<60)  

//(myRsi<60 and myRsi>30)  and myRsi>myRsi[1] and (myRsi[1]<myRsi[2]  or  myRsi[1]<myRsi[3]) and (myRsi[2]<30)  and (myRsi[3]<30 and myRsi[4]>=30)



barcolor(shortEmaVal>longEmaVal?color.green:color.red)
//longCondition = crossover(sma(close, 14), sma(close, 28))
barcolor(longCondition?color.yellow:na)
strategy.entry("RSI_V_LE", strategy.long, when=longCondition )
//stoploss value at 10%
stopLossValue=strategy.position_avg_price -  (strategy.position_avg_price*stopLoss/100) 
//stopLossValue=valuewhen(longCondition,low,3)


//takeprofit at RSI highest  reading
//at RSI75 move the stopLoss to entry price
moveStopLossUp=strategy.position_size>0 and crossunder(myRsi,70)
barcolor(moveStopLossUp?color.blue:na)
stopLossValue:=crossover(myRsi,70) ? strategy.position_avg_price:stopLossValue

//stopLossValue:=moveStopLossUp?strategy.position_avg_price:stopLossValue
rsiPlotColor=longCondition ?color.yellow:color.purple
rsiPlotColor:= moveStopLossUp ?color.blue:rsiPlotColor
plot(myRsi, title="RSI", linewidth=2, color=rsiPlotColor)
//longCondition?color.yellow:#8D1699)
hline(50, title="Middle Line", linestyle=hline.style_dotted)
obLevel = hline(75, title="Overbought", linestyle=hline.style_dotted)
osLevel = hline(25, title="Oversold", linestyle=hline.style_dotted)
fill(obLevel, osLevel, title="Background", color=#9915FF, transp=90)


    
//when RSI crossing down 70 , close 1/2 position and move stop loss to average entry price
strategy.close("RSI_V_LE",  qty=strategy.position_size*1/2, when=strategy.position_size>0 and crossunder(myRsi,70))

//when RSI reaches high reading 90 and crossing down close 3/4 position
strategy.close("RSI_V_LE",  qty=strategy.position_size*3/4, when=strategy.position_size>0 and crossunder(myRsi,90))



//close everything when Rsi goes down below to 10 or stoploss hit  
//just keeping RSI cross below 10 , can work as stop loss , which also keeps you long in the trade ... however sharp declines could  make large loss
//so I combine RSI goes below 10 OR stoploss hit  , whichever comes first - whole posiition closed
longCloseCondition=crossunder(myRsi,10)  or close<stopLossValue
strategy.close("RSI_V_LE", qty=strategy.position_size,when=longCloseCondition )

Detail

https://www.fmz.com/strategy/438481

Last Modified

2024-01-12 13:52:55