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Multi-Indicator-Convergence-Trading-Strategy.md

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Name

Multi-Indicator-Convergence-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans] 多重指标融合交易策略

多重指标融合交易策略通过综合运用RSI、TD Sequential、MACD和布林带等多个指标的信号,在趋势行情中捕捉较高概率的交易机会。

策略原理:

  1. 计算14周期RSI,设定RSIdifference参数作为买入卖出的阈值,当RSI低于(50 - RSIdifference)则产生买入信号,当RSI高于(50 + RSIdifference)则产生卖出信号。

  2. 计算MACD指标,当MACD历史柱连续5柱为正值时产生买入信号,当连续5柱为负值时产生卖出信号。

  3. 计算TD Sequential指标,当TD连续2柱上涨时判定为买入信号,当TS连续2柱下跌时判定为卖出信号。

  4. 计算20日布林带,价格突破上轨和下轨时产生相应的买入卖出信号。

  5. 只有当RSI、MACD、TD Sequential的三个指标同时发出同方向的信号时,且布林带无背离信号时,才生成最终的买入卖出决策。

  6. 根据止盈止损参数设定收益目标和止损点。

该策略综合多个指标的优势,避免单一指标的假信号。同时通过布林带指标过滤,可在趋势行情中获得较高概率的交易机会。但指标参数设定需要反复测试优化,且必须保证同时满足四个指标条件时信号较少,避免过度交易。

总体来说,该多重指标策略能在趋势明显时获取较高概率的交易机会,但需要仔细参数优化,且指标信号必须审慎处理,避免过于积极交易。

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The Multi-Indicator Convergence Trading Strategy combines signals from RSI, TD Sequential, MACD and Bollinger Bands to identify high probability setups during trending markets.

Strategy Logic:

  1. Compute 14-period RSI. Use RSIdifference parameter as threshold for buy/sell signals. RSI below (50 - RSIdifference) gives buy signal. RSI above (50 + RSIdifference) gives sell signal.

  2. Compute MACD indicator. 5 consecutive positive MACD histogram bars give buy signal. 5 consecutive negative bars give sell signal.

  3. Compute TD Sequential. 2 consecutive up TD bars give buy signal. 2 consecutive down TS bars give sell signal.

  4. Compute 20-period Bollinger Bands. Price breaking above upper band suggests buy. Price breaking below lower band suggests sell.

  5. Only enter trades when RSI, MACD and TD Sequential agree on direction, and Bollinger Bands do not contradict.

  6. Set profit targets and stop loss based on input parameters.

This strategy combines the strengths of multiple indicators to avoid false signals. Bollinger Bands help filter for high probability setups during trends. However, indicator parameters need thorough optimization, and signals must be relatively infrequent when all 4 indicators agree to avoid over-trading.

Overall, this multi-indicator strategy can capture high probability setups during strong trends, but requires careful parameter tuning, and conservative use of indicator signals to avoid excessive trading.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 -7 RSI Difference
v_input_2 50 Profit
v_input_3 false Use Stop Loss?
v_input_4 145 Stop Loss

Source (PineScript)

/*backtest
start: 2022-09-05 00:00:00
end: 2023-09-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("RSI, TD Seq, MACD, BB Strategy - Calculation",overlay=true)



RSIDifference = input(-7, minval=-50, maxval=50, title="RSI Difference") 


TD = close > close[4] ?nz(TD[1])+1:0
TS = close < close[4] ?nz(TS[1])+1:0
TDUp = TD - valuewhen(TD < TD[1], TD , 1 )
TDDn = TS - valuewhen(TS < TS[1], TS , 1 )
TDcheckUP = iff(TD == 2, true, false)
TDCheckDOWN = iff(TS == 2, true, false)

[_, _, histLine] = macd(close, 12, 26, 9)
MACDCheckDown = iff(histLine > 0 and histLine[1] > 0 and histLine[2] > 0 and histLine[3] > 0  and histLine[4] > 0, true, false)
MACDCheckUp = iff(histLine < 0 and histLine[1] < 0 and histLine[2] < 0 and histLine[3] < 0 and histLine[4] < 0, true, false)

RSICal = rsi(close, 14)
RSICalNewUp = 50 + RSIDifference
RSICalNewDown = 50 - RSIDifference
RSICheckUp = iff(RSICal <= RSICalNewUp, true, false)
RSICheckDown = iff(RSICal >= RSICalNewDown, true, false)

basis = sma(close, 20)
dev = 2 * stdev(close, 20)
upperBB = basis + dev
lowerBB = basis - dev
BBCheckUp = iff(close > upperBB, true, false)
BBCheckDown = iff(close < lowerBB, true, false)
//BBCheckUp = false
//BBCheckDown = false


BuyCheck = iff(TDcheckUP == true and MACDCheckUp == true and RSICheckUp == true and BBCheckUp == false, true, false)
SellCheck = iff(TDCheckDOWN == true and MACDCheckDown == true and RSICheckDown == true and BBCheckDown == false, true, false)


ProfitStratA = input(50, minval=0, maxval=10000, title="Profit", step=0.5) 
useStopLoss = input(false, title="Use Stop Loss?")
LossstratA = input(145, minval=0, maxval=10000, title="Stop Loss", step=0.5) 

ProfitStrat = ProfitStratA * 10
Lossstrat = useStopLoss ? LossstratA * 10 : 1000000

if (strategy.position_size > 0)
    strategy.exit("BuyClose", "Buy", profit=ProfitStrat, loss=Lossstrat)
    
    
if (strategy.position_size < 0)   
    strategy.exit("SellClose", "Sell", profit=ProfitStrat, loss=Lossstrat) 
    

if (BuyCheck == true and strategy.position_size == 0)
    strategy.entry("Buy", strategy.long, comment="Long Entry")
    


if (SellCheck == true and strategy.position_size == 0)
    strategy.entry("Sell", strategy.short, comment="Short Entry")
    
    
 
    

//plotshape(BuyCheck, color=blue, transp=0, style=shape.arrowup, text="Buy\n", location=location.belowbar)
//plotshape(SellCheck, color=orange, transp=0, style=shape.arrowdown, text="Sell\n", location=location.abovebar)

Detail

https://www.fmz.com/strategy/426477

Last Modified

2023-09-12 14:27:41