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双重策略组合-随机慢速指标与相对强弱指标Double-Strategy-Combination-Stochastic-Slow-and-Relative-Strength-Index.md

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Name

双重策略组合-随机慢速指标与相对强弱指标Double-Strategy-Combination-Stochastic-Slow-and-Relative-Strength-Index

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

本策略采用经典的随机慢速指标策略与相对强弱指标策略的组合,形成一种双重策略。当随机指标超过80时看空,低于20时看多;同时当RSI超过70时看空,低于30时看多,只有两者同时触发时,才会打开仓位。

策略原理

本策略主要基于两种经典指标 - 随机慢速指标与RSI指标,并设置阈值判断超买超卖状态。

随机慢速指标部分:

  • 设置Stochlength为14,为计算随机指标的lookback长度
  • 设置StochOverBought为80,StochOverSold为20,作为判断超买超卖的阈值
  • 设置smoothK为3,smoothD为3,分别为%K线与%D线的平滑参数

计算出的%K线与%D线在代码中被命名为k与d。

当%K线从下向上突破%D线时为看多信号。当从上向下跨越时为看空信号。同时结合超买超卖判断,可用于判断机会。

RSI部分:

  • 设置RSIlength为14,为计算RSI指标的lookback长度
  • 设置RSIOverBought为70,RSIOverSold为30,作为判断超买超卖的阈值

计算得到的RSI指标命名为vrsi。

当RSI指标上扬超过70为超买信号,下跌低于30为超卖信号。

双重策略触发条件:

只有当随机指标和RSI指标同时显示超买或超卖信号时,也就是都超过各自的阈值,本策略才会打开仓位。

这种组合使用了两种指标的互补,可以减少假信号,提高信号的可靠性。

优势分析

这种双重策略组合,融合了随机慢速指标与RSI指标两种经典策略,具有以下优势:

  1. 双重指标组合,可以互相验证,减少假信号,提高信号质量与可靠性
  2. 随机指标判断超买超卖状况,RSI也判断超买超卖状况,两者结合使结果更加可靠准确
  3. 随机指标采用%K与%D的方式,平滑参数可调,避免被 einzelnen极端值影响
  4. RSI指标反应比较迅速,随机指标判断中长期趋势和转折点,两者结合使策略更完整
  5. 交易风格保守,只在指标双双显示时才开仓,避免冒进,减少交易频率

风险及解决

本策略也存在一些风险,主要有:

  1. 参数设置风险

    阈值参数设置不当可能导致错失良机或产生假信号。可以通过优化和反复测试找到最佳参数。

  2. 双重策略信号不足

    由于双重策略,信号产生频率会比较低,仓位利用率不高。可以适当放宽参数,增加信号数量。

  3. 指标滞后问题

    随机指标和RSI指标都存在一定滞后,可能错过快速变化的机会。可以结合更加灵敏的指标进行辅助。

  4. 特定品种不适用问题

    本策略更适用于一些比较稳定、波动更为剧烈的品种,如股指、贵金属等。对于一些波动较小的品种可能不太适用。

优化思路

本策略还可从以下几个方面进行优化:

  1. 参数优化

    可以通过算法自动优化或手工优化的参数,找到最佳参数组合。

  2. 增加止损机制

    可设置移动止损或百分比止损,控制单笔损失。

  3. 结合其他指标

    可再引入量能指标、移动平均线等作为辅助判断信号质量的指标。

  4. 适当放宽双重策略条件

    可适当放宽双重策略的触发阈值,增加信号数量。

总结

本策略采用随机慢速指标和RSI指标的双重组合,当两者同时显示超买超卖信号时触发,具有信号准确可靠性高、交易风格保守等优点。也存在一些参数设置风险、信号数量较少等问题。我们可以通过参数优化、止损设置、引入其他指标等方式进行改良与优化,使策略更加稳定可靠。

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Overview

This strategy combines the classic Stochastic Slow strategy and Relative Strength Index (RSI) strategy to form a double strategy. It will open position when Stochastic exceeds 80 (short) or drops below 20 (long) meanwhile RSI exceeds 70 (short) or drops below 30 (long).

Strategy Logic

This strategy mainly utilizes two classic indicators – Stochastic Slow indicator and RSI indicator, and sets threshold values to determine overbought and oversold conditions.

Stochastic Slow Part:

  • Set Stochlength as 14, the lookback period for Stochastic calculation
  • Set StochOverBought as 80 and StochOverSold as 20, threshold values for overbought and oversold
  • Set smoothK as 3 and smoothD as 3, smoothing parameters for %K and %D line

The calculated %K and %D lines are named as k and d in the code.

When %K crosses over %D from below, it is a long signal. When crosses under from above, it is a short signal. Combine with overbought/oversold judgment, it can be used to identify opportunities.

RSI Part:

  • Set RSIlength as 14, the lookback period for RSI calculation
  • Set RSIOverBought as 70 and RSIOverSold as 30, threshold values for overbought and oversold

The calculated RSI indicator is named as vrsi in the code.

When RSI rises above 70, it sends an overbought signal. When drops below 30, it sends an oversold signal.

Double Strategy Entry Logic:

This strategy will only open position when both Stochastic and RSI indicate overbought/oversold signals at the same time, meaning passing their own threshold values.

This combination utilizes the complementary property of two indicators to increase signal reliability and decrease false signals.

Advantage Analysis

The advantages of this double strategy combination are:

  1. Combination of two indicators can validate each other, decrease false signals and increase signal quality
  2. Stochastic judges overbought/oversold conditions, RSI does the same job. Combination makes the results more reliable.
  3. Stochastic uses %K and %D crossover system, smoothing parameters make it robust to outliers
  4. RSI reacts fast to latest changes, Stochastic judges middle-to-long term trends and turning points. Complete strategy.
  5. Conservative trading style, only open positions when both indicators agree. Less trades, avoid over-trading.

Risks and Solutions

There are some risks associated with this strategy:

  1. Parameter tuning risk

    Improper parameter settings may lead to missing good opportunities or generating false signals. We can optimize parameters through quantitative algorithms or manual tuning to find the best combination.

  2. Lack of signals

    Due to the dual indicator system, signal frequency could be relatively low and position utilization ratio is not high. We can properly relax the parameters to generate more entry signals.

  3. Lagging risk

    Both Stochastic and RSI have some lagging effect, which may cause missing rapid chances. More sensitive indicators can be introduced for assistance.

  4. Instruments specificity

    This strategy may fits better for some violent fluctuated instruments like stock indices and gold. For smooth instruments, it may not be applicable.

Optimization Directions

This strategy can be further optimized in the following aspects:

  1. Parameter optimization

    Optimize the parameters quantitatively or manually to find the best parameter combination.

  2. Introduce stop loss mechanism

    Set stop loss based on price movement or percentage to control single trade loss.

  3. Combine with other indicators

    Introduce other indicators like volume, moving average to assist judging signal quality.

  4. Relax double strategy conditions

    Appropriately relax the thresholds of double strategy to generate more entry signals.

Conclusion

This strategy combines Stochastic Slow and RSI in double-confirmation mode, entering positions only when both indicators agree on overbought/oversold signals. It features high signal reliability, conservative trading style etc. Also has some risks like parameter tuning, lack of signals. Further improvements can be made through parameter optimization, stop loss introduction, adding assisting indicators to enhance stability.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 14 lookback length of Stochastic
v_input_2 80 Stochastic overbought condition
v_input_3 20 Stochastic oversold condition
v_input_4 3 smoothing of Stochastic %K
v_input_5 3 moving average of Stochastic %K
v_input_6 14 lookback length of RSI
v_input_7 70 RSI overbought condition
v_input_8 30 RSI oversold condition

Source (PineScript)

/*backtest
start: 2023-12-19 00:00:00
end: 2023-12-26 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("Stochastic + RSI, Double Strategy (by ChartArt)", shorttitle="CA_-_RSI_Stoch_Strat", overlay=true)

// ChartArt's Stochastic Slow + Relative Strength Index, Double Strategy
//
// Version 1.0
// Idea by ChartArt on October 23, 2015.
//
// This strategy combines the classic RSI
// strategy to sell when the RSI increases
// over 70 (or to buy when it falls below 30),
// with the classic Stochastic Slow strategy
// to sell when the Stochastic oscillator
// exceeds the value of 80 (and to buy when
// this value is below 20).
//
// This simple strategy only triggers when
// both the RSI and the Stochastic are together
// in overbought or oversold conditions.
//
// List of my work: 
// https://www.tradingview.com/u/ChartArt/


///////////// Stochastic Slow
Stochlength = input(14, minval=1, title="lookback length of Stochastic")
StochOverBought = input(80, title="Stochastic overbought condition")
StochOverSold = input(20, title="Stochastic oversold condition")
smoothK = input(3, title="smoothing of Stochastic %K ")
smoothD = input(3, title="moving average of Stochastic %K")
k = sma(stoch(close, high, low, Stochlength), smoothK)
d = sma(k, smoothD)

 
///////////// RSI 
RSIlength = input( 14, minval=1 , title="lookback length of RSI")
RSIOverBought = input( 70  , title="RSI overbought condition")
RSIOverSold = input( 30  , title="RSI oversold condition")
RSIprice = close
vrsi = rsi(RSIprice, RSIlength)


///////////// Double strategy: RSI strategy + Stochastic strategy

if (not na(k) and not na(d))
    if (crossover(k,d) and k < StochOverSold)
        if (not na(vrsi)) and (crossover(vrsi, RSIOverSold))
            strategy.entry("LONG", strategy.long, comment="StochLE + RsiLE")
 
 
if (crossunder(k,d) and k > StochOverBought)
    if (crossunder(vrsi, RSIOverBought))
        strategy.entry("SHORT", strategy.short, comment="StochSE + RsiSE")
 
 
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)WQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQQ

Detail

https://www.fmz.com/strategy/436762

Last Modified

2023-12-27 15:18:40