Name
RSIBollinger双轨低位区间突破策略RSIBollinger-Bands-Breakout-Strategy-at-Lower-Area
Author
ChaoZhang
Strategy Description
这是一个结合RSI指标和 Bollinger 布林带的低位区间突破策略。它的主要思想是在RSI低于10时买入,在RSI高于90时卖出,并以5周期SMA为止损线。
当RSI指标低于10时视为超买信号,此时股票被高估的可能性很小,是比较好的买入时机。当RSI指标高于90时视为超卖信号,视为一个卖出信号。 止损线设定为5周期简单移动平均线,是为了防止由于行情短期内的正常波动而止损。
这是一个利用指标信号进行低买高卖的统计套利策略。它最大的优势在于,通过RSI指标判断买卖点,可以有效抓住股票被高估低估的时机,实现超额盈利。同时,结合布林带进行区间突破判断,可以避免兜底和追涨杀跌的风险。
这种策略最大的风险在于,行情短期内的正常波动可能超过止损线从而造成无谓的止损。此外,如果没有及时止盈,也可能错失利润。 解决方法是,适当调整止损线的周期参数,防止正常波动就被止损。同时,也可以设置止盈线,在达到目标收益后主动止盈。
这种策略可以通过以下几个方面进行优化:
(1)调整RSI指标的超买超卖临界值,如调整为15和85,获得更多交易机会。
(2)优化止损线的周期参数,使其适应市场的短期波动。
(3)增加止盈线设置,能自动止盈和风险控制。
(4)结合波动率指标优化参数,如加入ATR指标等。
RSI+Bollinger双轨低位区间突破策略,通过RSI指标判断买卖点,布林带判断区间,SMA作为止损线,能有效抓住行情,控制风险,实现稳定盈利。这种策略优化空间还很大,值得进一步研究。
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This is a breakout strategy that combines the RSI indicator and Bollinger Bands. The main idea is to buy when RSI is below 10 and sell when RSI is above 90, with the 5 period SMA as the stop loss line.
When RSI is below 10, it is considered an oversold signal, and the likelihood of overvaluation of the stock is small, so it is a good time to buy. When RSI is above 90, it is considered an overbought signal and a sell signal. The stop loss line is set at the 5 period simple moving average to prevent stop loss due to normal fluctuations in the market in the short term.
This is a statistical arbitrage strategy that buys low and sells high using indicator signals. Its biggest advantage is that by judging buy and sell points through the RSI indicator, it can effectively seize the timing of stock overvaluation and undervaluation to achieve excess returns. At the same time, combined with breakout judgments of Bollinger Bands, it avoids the risks of catching a falling knife and chasing tops and bottoms.
The biggest risk of this strategy is that normal fluctuations in the market in the short term may exceed the stop loss line, causing unnecessary stop loss. In addition, failure to take profits in time may also miss profits. Solutions are to appropriately adjust the cycle parameters of the stop loss line to prevent normal fluctuations from being stopped out. At the same time, a take profit line can also be set to take profits proactively after reaching the target return.
This strategy can be optimized in the following aspects:
(1) Adjust the overbought and oversold threshold values of the RSI indicator, such as 15 and 85, to obtain more trading opportunities.
(2) Optimize the cycle parameters of the stop loss line to adapt to short-term fluctuations in the market.
(3) Add settings for take profit lines for automatic profit taking and risk control.
(4) Combine volatility indicators to optimize parameters, such as adding ATR indicators.
The RSI+Bollinger Bands breakout strategy at lower area uses RSI to determine entry and exit points, Bollinger Bands to determine range, and SMA as stop loss line, which can effectively capture trends, control risks, and achieve steady profits. There is still much room for optimization of this strategy and it is worth further research.
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Source (PineScript)
/*backtest
start: 2023-01-11 00:00:00
end: 2024-01-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
//Created by ChrisMoody
//Based on Larry Connors RSI-2 Strategy - Lower RSI
strategy(title="_CM_RSI_2_Strat_Low", shorttitle="_CM_RSI_2_Strategy_Lower", overlay=false)
src = close,
//RSI CODE
up = rma(max(change(src), 0), 2)
down = rma(-min(change(src), 0), 2)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
//Criteria for Moving Avg rules
ma1 = sma(close,1)
ma2 = sma(close,2)
ma3 = sma(close,3)
ma4 = sma(close,4)
ma5 = sma(close,5)
ma6 = sma(close,6)
ma7 = sma(close,7)
ma8 = sma(close,8)
ma9 = sma(close,9)
ma200= sma(close, 200)
//Rule for RSI Color
col = close > ma200 and close < ma5 and rsi < 10 ? lime : close < ma200 and close > ma5 and rsi > 90 ? red : silver
plot(rsi, title="RSI", style=line, linewidth=4,color=col)
plot(100, title="Upper Line 100",style=line, linewidth=3, color=aqua)
plot(0, title="Lower Line 0",style=line, linewidth=3, color=aqua)
band1 = plot(90, title="Upper Line 90",style=line, linewidth=3, color=aqua)
band0 = plot(10, title="Lower Line 10",style=line, linewidth=3, color=aqua)
fill(band1, band0, color=silver, transp=90)
///////////// RSI + Bollinger Bands Strategy
if (close > ma200 and rsi < 10)
strategy.entry("RSI_2_L", strategy.long, comment="Bullish")
if (close < ma200 and rsi > 90)
strategy.entry("RSI_2_S", strategy.short, comment="Bearish")
strategy.close("RSI_2_L", when = close > ma5)
strategy.close("RSI_2_S", when = close < ma5)
Detail
https://www.fmz.com/strategy/439194
Last Modified
2024-01-18 11:43:03