Bollinger Bands RSI Swing Trading Strategy

The Bollinger Bands RSI swing trading strategy combines the Bollinger Bands and Relative Strength Index (RSI) indicators for short-term range oscillation trading. It profits from price swings between the Bollinger…

Pine ScriptMean reversion Trend following Volatility RSI SMA Bollinger Bands

Author: ChaoZhang
Complexity: Intermediate · 91 lines
Parameters: 12
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Principles

Firstly, the Bollinger Bands indicator analyzes price fluctuation ranges. Prices near the upper band are overbought, while prices near the lower band are oversold.

Secondly, the RSI indicator determines the overbought/oversold strength. RSI above 70 is overbought, while below 30 is oversold.

When price hits the lower band and RSI shows oversold, go long. When price hits the upper band and RSI shows overbought, go short.

Advantages

Bollinger Bands accurately locate price fluctuation levels.
RSI avoids blind long/short entries.
High win rate capitalizing on mean reversion.
Frequent trading allows sustained profitability.
Applicable to different products and timeframes.

Risks

Improper BB parameters fail to identify key levels.
Bad RSI parameters generate false signals.
Insufficient retracement triggers stop loss.
High trade frequency leads to larger slippage costs.
Hard to ride trends in volatile markets.

Risk Management

Optimize parameters so BBs match actual volatility.
Adjust RSI period to filter out noise.
Use trailing stops to reduce profit givebacks.
Select liquid products to minimize slippage impact.
Add other indicators to determine trend direction.

Summary

The BB RSI swing trading strategy effectively catches two-way price swings within ranges. With proper parameter tuning and risk management, it provides steady profits. This is a recommended short-term quant trading strategy.

Parameters

Name	Default	What it controls
v_input_1	true	From Day
v_input_2	true	From Month
v_input_3	2020	From Year
v_input_4	true	To Day
v_input_5	true	To Month
v_input_6	2022	To Year
v_input_7	6	RSI Period Length
v_input_8	65	RSIoverSold
v_input_9	35	RSIoverBought
v_input_10	200	Bollinger Period Length
v_input_11	true	Enable Bar Color?
v_input_12	true	Enable Background Color?

Source Pine Script

/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Swing trading strategy FOREX ", shorttitle="BB+RSI", overlay=true)

////////////////////////////////////////////////////////////////////////////////
// BACKTESTING RANGE
 
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
 
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2022, title = "To Year", minval = 1970)
 
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
// 
// 


///////////// RSI
RSIlength = input(6,title="RSI Period Length") 
RSIoverSold = input(defval = 65, title = "RSIoverSold", minval = 1, maxval = 100)
RSIoverBought = input(defval = 35, title = "RSIoverBought", minval = 1, maxval = 100)
price = close
vrsi = rsi(price, RSIlength)



///////////// Bollinger Bands
BBlength = input(200, minval=1,title="Bollinger Period Length")
BBmult = 2 // input(2.0, minval=0.001, maxval=50,title="Bollinger Bands Standard Deviation")
BBbasis = sma(price, BBlength)
BBdev = BBmult * stdev(price, BBlength)
BBupper = BBbasis + BBdev
BBlower = BBbasis - BBdev
source = close
buyEntry = crossover(source, BBlower)
sellEntry = crossunder(source, BBupper)
plot(BBbasis, color=color.aqua,title="Bollinger Bands SMA Basis Line")
p1 = plot(BBupper, color=color.silver,title="Bollinger Bands Upper Line")
p2 = plot(BBlower, color=color.silver,title="Bollinger Bands Lower Line")
fill(p1, p2)


///////////// Colors
switch1=input(true, title="Enable Bar Color?")
switch2=input(true, title="Enable Background Color?")
TrendColor = RSIoverBought and (price[1] > BBupper and price < BBupper) and BBbasis < BBbasis[1] ? color.red : RSIoverSold and (price[1] < BBlower and price > BBlower) and BBbasis > BBbasis[1] ? color.green : na
barcolor(switch1?TrendColor:na)
bgcolor(switch2?TrendColor:na,transp=50)


///////////// RSI + Bollinger Bands Strategy
//for buy
cond1=crossover(vrsi, RSIoverSold)
cond2=crossover(source, BBlower) 
//for sell
cond3=crossunder(vrsi, RSIoverBought)
cond4=crossunder(source, BBupper)
if (not na(vrsi))

    if (cond1 and cond2 and time_cond)
        strategy.entry("RSI_BB_LONG", strategy.long, stop=BBlower, comment="LONG",alert_message = "long")
    else
        strategy.cancel(id="RSI_BB_LONG")
        
    if (cond3 and cond4 and time_cond)
        strategy.entry("RSI_BB_SHORT", strategy.short, stop=BBupper,  comment="SHORT",alert_message = "short")
        //strategy.close("RSI_BB_LONG")

    else
        strategy.cancel(id="RSI_BB_SHORT")
        
//strategy.exit("closelong", "RSI_BB_LONG" , profit = close * 0.01 / syminfo.mintick, loss = close * 0.01 / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "RSI_BB_SHORT" , profit = close * 0.01 / syminfo.mintick, loss = close * 0.01 / syminfo.mintick, alert_message = "closeshort")


//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-16. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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