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VRSI与MARSI策略VRSI-and-MARSI-Strategy.md

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Name

VRSI与MARSI策略VRSI-and-MARSI-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

VRSI与MARSI策略利用移动平均线来平滑RSI指标,实现了一个双指标策略。该策略同时使用价格的RSI指标和成交量的RSI指标,结合其移动平均线来产生交易信号。当价格的RSI指标上涨时做多,当价格的RSI指标下跌时做空。同时观察成交量的RSI指标的变化来判断市场力量和可能的趋势变化。

策略原理

该策略首先计算价格的9周期RSI指标(RSI),以及成交量的9周期RSI指标(VRSI)。然后计算这两个RSI指标的5周期简单移动平均(MARSI和MAVRSI)。

交易信号的产生基于MARSI指标。当MARSI上涨时做多,当MARSI下跌时做空。此外,MAVRSI指标被用来判断市场力量和可能的趋势变化。

例如,在多头行情中,如果价格继续上涨但成交量出现下降,这预示着多头力量可能在减弱,应当准备平仓。反过来,在空头行情中如果价格继续下跌但成交量出现上涨,这预示着空头力量增强,可以继续持有空单。

优势分析

该策略结合双RSI指标的移动平均线,能够有效抓住趋势,同时利用成交量的变化来判断市场力量,避免被套。相比单一RSI指标,该策略可以更准确地把握市场节奏。

移动平均线的使用也能够过滤掉部分噪音,使得信号更加可靠。此外,不同参数的设置如RSI周期和移动平均线周期也为策略的优化提供了可能。

风险分析

该策略最主要的风险在于双重指标之间可能会产生背离。当价格和成交量之间产生背离时,交易信号也会变得不那么可靠。这时需要人工判断指标之间的关系。

另一个风险是在盘整行情中容易被套。当价格在横盘整理时,RSI指标容易震荡上下触发不必要的交易信号。这时需要调整参数或判断指标的绝对位置。

优化方向

该策略可以从以下几个方面进行优化:

  1. 调整RSI指标和移动平均线的参数,找到最优参数组合

  2. 在产生交易信号时增加其他条件判断,例如RSI指标在超买超卖区域触发的反转信号可靠性更高

  3. 增加止损策略,设置移动止损或指标止损

  4. 结合其他指标,例如K线形态、波动率指标等来避免被套

总结

VRSI与MARSI策略成功结合了价格和成交量的RSI指标,双重指标之间的比较和判断可以提高信号的准确性和盈利率。优化的参数设置和止损策略也为其稳定运行提供了可能。总的来说,该策略利用指标之间的组合,获得了比单一RSI指标更优异的表现。

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Overview

The VRSI and MARSI strategy utilizes moving averages to smooth the RSI indicators and implements a dual indicator strategy. It uses both the RSI indicator of price and volume, combined with their moving averages, to generate trading signals. It goes long when the price RSI rises and goes short when the price RSI falls. Meanwhile, it observes the changes in the volume RSI to judge the market strength and possible trend changes.

Strategy Logic

The strategy first calculates the 9-period RSI indicator of price (RSI) and the 9-period RSI indicator of volume (VRSI). Then it calculates the 5-period simple moving average (MARSI and MAVRSI) of these two RSI indicators.

The trading signals are generated based on the MARSI indicator. It goes long when MARSI rises and goes short when MARSI falls. In addition, the MAVRSI indicator is used to judge market strength and possible trend changes.

For example, during an uptrend, if price continues going up but volume starts decreasing, this signals that the bullish strength may be weakening and one should prepare to close long positions. On the contrary, during a downtrend, if price keeps falling but volume rises, this signals strengthening bearish power and short positions can be held further.

Advantage Analysis

By combining the moving averages of dual RSI indicators, this strategy can effectively catch trends, while using volume changes to judge market strength and avoid being trapped. Compared to a single RSI indicator, this strategy can grasp market rhythm more precisely.

The use of moving averages also filters out some noise to make the signals more reliable. Also, different parameter settings like RSI period and moving average period provide possibilities for strategy optimization.

Risk Analysis

The major risk of this strategy lies in divergences that may occur between the dual indicators. When there is a divergence between price and volume, the trading signals can become less reliable. Manual judgement of the relationship between the indicators is needed then.

Another risk is being trapped in range-bound markets. When price moves in a range, the RSI indicator tends to oscillate up and down, triggering unnecessary trades. Parameter adjustment or judging absolute level of indicators is required then.

Optimization Directions

The strategy can be optimized in the following aspects:

  1. Adjust parameters of RSI and moving averages to find optimal combinations

  2. Add other conditions when generating signals, e.g. reversal signals triggered in overbought/oversold area tend to be more reliable

  3. Add stop loss strategies like moving stop loss or indicator stop loss

  4. Incorporate other indicators e.g. candlestick patterns, volatility indicators etc. to avoid traps

Summary

The VRSI and MARSI strategy successfully combines the RSI indicators of price and volume. The comparison and judgement between the dual indicators can improve signal accuracy and profitability. Parameter optimization and stop loss strategies also make stable running possible. In summary, by combining indicators, this strategy achieves superior performance over a single RSI indicator.

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Strategy Arguments

Argument Default Description
v_input_1 9 Length RSI
v_input_2 9 Length VRSI)
v_input_3 5 Length MARSI
v_input_4 5 Length MAVRSI
v_input_5 true Xlong
v_input_6 true Xshort

Source (PineScript)

/*backtest
start: 2024-01-02 00:00:00
end: 2024-02-01 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("VRSI-MARSI Strategy", shorttitle="(V/MA)RSI Str.", overlay=false, default_qty_type=strategy.percent_of_equity, calc_on_order_fills=true, calc_on_every_tick=true, pyramiding=0, default_qty_value=5, initial_capital=100)

// RSI(close, ="RSI") and RSI(Volume, ="VRSI")
src = close, len = input(9, minval=1, title="Length RSI")
src2 = volume, len2 = input(9, minval=1, title="Length VRSI)")
up = rma(max(change(src), 0), len)
down = rma(-min(change(src), 0), len)
up2 = rma(max(change(src2), 0), len2)
down2 = rma(-min(change(src2), 0), len2)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsi2 = down2 == 0 ? 100 : up2 == 0 ? 0 : 100 - (100 / (1 + up2 / down2))

// MA(=Moving Average) of RSI(close, ="MARSI") and RSI(Volume, ="MAVRSI")
len3 = input(5, minval=1, title="Length MARSI")
marsi = sma(rsi, len3)
len4 = input(5, minval=1, title="Length MAVRSI")
marsi2 = sma(rsi2, len4)

// Plot: 
// Default plot of RSI and VRSI: not visible but can be made visible
// Default plot MARSI and MAVRSI: visible
p1 = plot(rsi, linewidth=2, transp=100, color=color.yellow, title="RSI")
p2 = plot(rsi2, linewidth=2, transp=100, color=color.orange, title="VRSI")
m1 = plot(marsi, color=(marsi>=0 ? (marsi[1] < marsi ? color.yellow : color.blue) : (marsi[1] < marsi ? color.yellow : color.blue) ), linewidth = 2, transp = 0, title="MARSI")
m2 = plot(marsi2, color=color.orange, linewidth = 2, transp = 0, title="MAVRSI")

// Color fill:
// Default color fill "RSI - VRSI": not visible but can be made visible
// Default color fill "MARSI - MAVRSI": visible
fill(p1,p2, color = rsi>rsi2 ? color.green : color.red, transp=100, title="BG RSI-VRSI")
fill(m1,m2, color = marsi>marsi2 ? color.green : color.red, transp=75, title="BG MARSI-MAVRSI")

// Lines:
h2=hline(20, color=color.green, linestyle=hline.style_dotted, title="Extreme Oversold Rsi")
h3=hline(30, color=color.black, linestyle=hline.style_dotted, title="Oversold Rsi")
h5=hline(50, color=color.yellow, linestyle=hline.style_dashed, title="Middle line")
h7=hline(70, color=color.black, linestyle=hline.style_dotted, title="Overbought Rsi")
h8=hline(80, color=color.red, linestyle=hline.style_dotted, title="Extreme Overbought Rsi")

// Color fill between Lines "20-30" and "70-80" represents the crossing of "MARSI" and "MAVRSI":
fill(h2, h3, color=(marsi2 > marsi ? color.red : color.green), transp=80, title="20-30 BG color X MARSI/MAVRSI")
fill(h7, h8, color=(marsi2 > marsi ? color.red : color.green), transp=80, title="70-80 BG color X MARSI/MAVRSI")

///Long Entry///
longCondition = marsi > marsi[1] 
if (longCondition)
    strategy.entry("Long", strategy.long)

///Long exit///
Xlong =input(true)
closeConditionLong = marsi < marsi[1] and Xlong
if (closeConditionLong)
    strategy.close("Long")

///Short Entry///
shortCondition = marsi < marsi[1] 
if (shortCondition)
    strategy.entry("Short", strategy.short)
    
///Short exit///
Xshort =input(true)
closeConditionShort = marsi > marsi[1] and Xshort
if (closeConditionShort)
    strategy.close("Short")

Detail

https://www.fmz.com/strategy/440860

Last Modified

2024-02-02 17:21:09