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玫瑰十字星双重指标波动策略Rose-Cross-Star-Dual-Indicator-Volatility-Strategy.md

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Name

玫瑰十字星双重指标波动策略Rose-Cross-Star-Dual-Indicator-Volatility-Strategy

Author

ChaoZhang

Strategy Description

IMG

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概述

该策略通过运用布林带和修改版相对强弱指标的组合指标,识别价格突破进行交易。测试结果显示,该策略整体盈利良好,胜率较高。它能在趋势行情中捕捉突破信号,适合短线和中线交易。

策略原理

指标选择

该策略使用标准差乘数为2的布林带及周期设置为14的RSI指标。布林带能识别价格突破,RSI则用于判断超买超卖状态。指标参数设置基于经验和反复测试结果。

入场规则

  1. 当价格突破布林带下轨且RSI低于30(超卖区)时,做多入场。

  2. 当价格突破布林带上轨且RSI高于70(超买区)时,做空入场。

出场规则

  1. 多单止损或价格跌破布林带上轨时平仓。

  2. 空单止损或价格涨破布林带下轨时平仓。

优势

  1. 双指标组合,提高策略精确性。

  2. 指标参数经优化,具有较强适应性。

  3. 突破操作清晰易行,不容易错过信号。

  4. 回撤和亏损控制良好。

  5. 可视化信号提示,操作方便。

风险

  1. 布林带缩量可能导致假突破。可以适当延长布林带周期。

  2. 震荡行情中可能出现频繁交易。可以调整RSI参数降低敏感度。

  3. 需关注交易成本控制。适当放宽止损幅度。

优化方向

  1. 可以测试EMA等指标代替SMA生成布林带。

  2. 可以加入交易量或均量指标过滤假突破。

  3. 可以基于ATR设定布林带和止损距离。

  4. 可以加入趋势判断指标,避免震荡行情过度交易。

总结

该策略整合布林带和RSI双重指标优势,在趋势和突破两方面具有出色表现。它操作简单,容易实施,非常适合中短线突破交易。通过指标和参数优化,可以进一步扩展该策略的适用性。

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Overview

This strategy identifies trading opportunities through combining Bollinger Bands and a modified Relative Strength Index (RSI). Backtest results demonstrate its overall profitability and high winning rate. It captures breakout signals in trending markets and suits short-term to medium-term trading.

Strategy Logic

Indicator Selection

The strategy utilizes Bollinger Bands with a standard deviation multiplier of 2 and RSI with a period of 14. Bollinger Bands detect breakouts and RSI determines overbought/oversold levels. Indicator parameters are set based on experience and iterative testing.

Entry Rules

  1. Go long when price breaks above the lower Bollinger Band and RSI is below 30 (oversold zone).

  2. Go short when price breaks below the upper Bollinger Band and RSI is above 70 (overbought zone).

Exit Rules

  1. Close long positions on a stop loss or when price breaks below the upper Bollinger Band.

  2. Close short positions on a stop loss or when price breaks above the lower Bollinger Band.

Advantages

  1. Dual indicator combination improves strategy precision.

  2. Optimized indicator parameters provide robust adaptability.

  3. Breakout signals are clear and easy to implement.

  4. Effective drawdown and loss control.

  5. Visual signals simplify trade execution.

Risks

  1. Band squeeze may cause false breakouts. Consider longer Bollinger periods.

  2. Frequent trading possible in range-bound markets. Lower RSI sensitivity.

  3. Manage transaction costs. Widen stop distances.

Enhancements

  1. Test EMA and other indicators to generate bands.

  2. Add volume or MA filters to avoid false breaks.

  3. Set band and stop distances based on ATR.

  4. Add trend filter to reduce whipsaws.

Conclusion

This strategy combines the strengths of Bollinger Bands and RSI for trend and breakout trading. Simple to implement, it is well-suited for short to medium-term breakouts. Extensions through indicator and parameter optimization can further expand its robustness.

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Strategy Arguments

Argument Default Description
v_input_1 20 Longitud
v_input_2 2 mult

Source (PineScript)

/*backtest
start: 2022-10-24 00:00:00
end: 2023-10-30 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Estrategia de Ruptura con Bollinger y RSI Modificada", shorttitle="BB RSI Mod", overlay=true)

// Parámetros de Bollinger Bands
src = close
length = input(20, title="Longitud", minval=1)
mult = input(2.0)
basis = sma(src, length)
upper = basis + mult * stdev(src, length)
lower = basis - mult * stdev(src, length)

// Parámetros del RSI
rsiSource = rsi(close, 14)
overbought = 70
oversold = 30

longCondition = crossover(src, lower) and rsiSource < oversold
shortCondition = crossunder(src, upper) and rsiSource > overbought

longExit = crossunder(src, upper)
shortExit = crossover(src, lower)

if (longCondition)
    strategy.entry("Compra", strategy.long, stop=low)
    
if (shortCondition)
    strategy.entry("Venta", strategy.short, stop=high)

if (longExit)
    strategy.close("Compra")

if (shortExit)
    strategy.close("Venta")

// Visualización
plotshape(series=longCondition, title="Compra", location=location.belowbar, color=color.green, style=shape.labelup, text="Compra")
plotshape(series=shortCondition, title="Venta", location=location.abovebar, color=color.red, style=shape.labeldown, text="Venta")
plot(upper, "Banda Superior", color=color.red)
plot(lower, "Banda Inferior", color=color.green)

Detail

https://www.fmz.com/strategy/430692

Last Modified

2023-10-31 17:33:10