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快速RSI反转交易策略Fast-RSI-Reversal-Trading-Strategy.md

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Name

快速RSI反转交易策略Fast-RSI-Reversal-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

快速RSI反转交易策略通过组合使用快速RSI指标、K线实体过滤、最大最小价过滤和SMA均线过滤来判断趋势反转点,实现低风险的反转交易。该策略旨在捕捉短期反转机会。

策略原理

该策略主要基于以下几个指标进行判断:

  1. 快速RSI指标:通过 RMA 函数计算 RSI,使其更加灵敏,以捕捉更快的超买超卖信号。

  2. K线实体过滤:要求K线实体大小超过EMA实体均线的1/5,以过滤变动不大的情况。

  3. 最大最小价过滤:判断价格创新高或创新低,以确认趋势反转。

  4. SMA均线过滤:要求价格突破SMA均线,增加判断依据。

当上述多个条件同时触发时产生交易信号。具体逻辑是:

多头入场:快速RSI指标低于超卖区域 AND K线实体大于EMA实体均线1/5 AND 有最小值突破 AND 价格上穿SMA均线

空头入场:快速RSI指标高于超卖区域 AND K线实体大于EMA实体均线1/5 AND 有最大值突破 AND 价格下穿SMA均线

平仓退出:快速RSI指标回归正常区域

策略优势

该策略具有以下优势:

  1. 捕捉短期反转带来的波动
  2. 快速RSI指标灵敏度高
  3. 多重过滤减少假信号
  4. 风险可控,回撤小

风险及优化

该策略也存在一些风险:

  1. 反转失败带来的风险
  2. 参数优化空间有限

可通过以下方式进一步优化:

  1. 结合交易量过滤
  2. 增加止损策略
  3. 优化参数组合

总结

该策略总体来说是一个低风险的短期反转交易策略。它通过快速RSI指标判断买卖点,并使用多重过滤器减少假信号,从而实现风险可控的反转交易,适合短线操作。该策略可进一步优化,具有很大的发展潜力。

||

Overview

The Fast RSI Reversal Trading Strategy generates trading signals by combining Fast RSI indicator, candlestick body filter, min/max price filter and SMA filter to determine trend reversal points for low-risk reversal trading. The strategy aims to capture short-term reversal opportunities.

Strategy Logic

The strategy is mainly based on the following indicators for judgement:

  1. Fast RSI Indicator: Calculates RSI using RMA function to make it more sensitive in order to capture overbought/oversold signals faster.

  2. Candlestick Body Filter: Requires candlestick body size to exceed 1/5 of EMA body average to filter low volatility situations.

  3. Min/Max Price Filter: Judges if price reaches new high or new low to confirm trend reversal.

  4. SMA Filter: Requires price to break SMA line for additional confirmation.

Trading signals are generated when multiple conditions above trigger simultaneously. The specific logic is:

Long entry: Fast RSI below oversold level AND Candle body > 1/5 of EMA body AND Min price breakout AND Price crosses above SMA

Short entry: Fast RSI above overbought level AND Candle body > 1/5 of EMA body AND Max price breakout AND Price crosses below SMA

Exit: Fast RSI back to normal range

Advantages

The strategy has the following advantages:

  1. Captures volatility from short-term reversals
  2. Fast RSI indicator is sensitive
  3. Multiple filters reduce false signals
  4. Controllable risk, small drawdown

Risks and Optimization

The strategy also has some risks:

  1. Failed reversal risk
  2. Limited optimization space

Can further optimize by:

  1. Add trading volume filter
  2. Implement stop loss
  3. Optimize parameter combination

Conclusion

Overall this is a low-risk short-term mean reversal trading strategy. It identifies trading signals with Fast RSI and uses multiple filters to reduce false signals, achieving controllable risk reversal trading. The strategy can be further optimized and has great potential.

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Strategy Arguments

Argument Default Description
v_input_1 true Long
v_input_2 true Short
v_input_3 true Use Fast RSI Strategy
v_input_4 true Use Min/Max Strategy
v_input_5 true Use SMA Filter
v_input_6 20 SMA Filter Period
v_input_7 7 RSI Period
v_input_8 30 RSI limit
v_input_9_close 0 RSI Price: close
v_input_10 true RSI Bars
v_input_11 true Min/Max Bars
v_input_12 false Show SMA Filter
v_input_13 false Show Arrows
v_input_14 2018 From Year
v_input_15 2100 To Year
v_input_16 true From Month
v_input_17 12 To Month
v_input_18 true From day
v_input_19 31 To day

Source (PineScript)

/*backtest
start: 2024-02-01 00:00:00
end: 2024-02-26 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018

//@version=3
strategy(title = "Noro's Fast RSI Strategy v1.4", shorttitle = "Fast RSI str 1.4", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 5)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usersi = input(true, defval = true, title = "Use Fast RSI Strategy")
usemm = input(true, defval = true, title = "Use Min/Max Strategy")
usesma = input(true, defval = true, title = "Use SMA Filter")
smaperiod = input(20, defval = 20, minval = 2, maxval = 1000, title = "SMA Filter Period")
rsiperiod = input(7, defval = 7, minval = 2, maxval = 50, title = "RSI Period")
limit = input(30, defval = 30, minval = 1, maxval = 100, title = "RSI limit")
rsisrc = input(close, defval = close, title = "RSI Price")
rsibars = input(1, defval = 1, minval = 1, maxval = 20, title = "RSI Bars")
mmbars = input(1, defval = 1, minval = 1, maxval = 5, title = "Min/Max Bars")
showsma = input(false, defval = false, title = "Show SMA Filter")
showarr = input(false, defval = false, title = "Show Arrows")
fromyear = input(2018, defval = 2018, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//Fast RSI
fastup = rma(max(change(rsisrc), 0), rsiperiod)
fastdown = rma(-min(change(rsisrc), 0), rsiperiod)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))

//Limits
bar = close > open ? 1 : close < open ? -1 : 0
uplimit = 100 - limit
dnlimit = limit

//RSI Bars
upsignal = fastrsi > uplimit ? 1 : 0
dnsignal = fastrsi < dnlimit ? 1 : 0
uprsi = sma(upsignal, rsibars) == 1
dnrsi = sma(dnsignal, rsibars) == 1

//Body
body = abs(close - open)
emabody = ema(body, 30)

//MinMax Bars
min = min(close, open)
max = max(close, open)
minsignal = min < min[1] and bar == -1 and bar[1] == -1 ? 1 : 0
maxsignal = max > max[1] and bar == 1 and bar[1] == 1 ? 1 : 0
mins = sma(minsignal, mmbars) == 1
maxs = sma(maxsignal, mmbars) == 1

//SMA Filter
sma = sma(close, smaperiod)
colorsma = showsma ? blue : na
plot(sma, color = colorsma, linewidth = 3)

//Signals
up1 = bar == -1 and (strategy.position_size == 0 or close < strategy.position_avg_price) and dnrsi and body > emabody / 5 and usersi
dn1 = bar == 1 and (strategy.position_size == 0 or close > strategy.position_avg_price) and uprsi and body > emabody / 5 and usersi
up2 = mins and (close > sma or usesma == false) and usemm
dn2 = maxs and (close < sma or usesma == false) and usemm 
exit = ((strategy.position_size > 0 and fastrsi > dnlimit and bar == 1) or (strategy.position_size < 0 and fastrsi < uplimit and bar == -1)) and body > emabody / 2

//Arrows
col = exit ? black : up1 or dn1 ? blue : up2 or dn2 ? red : na
needup = up1 or up2
needdn = dn1 or dn2
needexitup = exit and strategy.position_size < 0
needexitdn = exit and strategy.position_size > 0
plotarrow(showarr and needup ? 1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needdn ? -1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needexitup ? 1 : na, colorup = black, colordown = black, transp = 0)
plotarrow(showarr and needexitdn ? -1 : na, colorup = black, colordown = black, transp = 0)

//Trading
if up1 or up2
    strategy.entry("Long", strategy.long, needlong == false ? 0 : na)

if dn1 or dn2
    strategy.entry("Short", strategy.short, needshort == false ? 0 : na)
    
if time > timestamp(toyear, tomonth, today, 00, 00) or exit
    strategy.close_all()

Detail

https://www.fmz.com/strategy/443238

Last Modified

2024-03-01 11:55:56