Cryptocurrency RSI Curve Tracking Strategy

This strategy is designed for the cryptocurrency market, using a combination of ultra-long period RSI and RVI indicators to determine entries and exits. Specifically, long entries are taken when RVI shows the buy…

Pine ScriptMean reversion Trend following Tools & templates RSI

Author: ChaoZhang
Complexity: Intermediate · 108 lines
Parameters: 8
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

This strategy is designed for the cryptocurrency market, using a combination of ultra-long period RSI and RVI indicators to determine entries and exits.

Specifically, long entries are taken when RVI shows the buy zone, and the super long RSI crosses above overbought level. Exits occur when RVI enters sell zone, and RSI crosses below oversold level for stop loss.

The advantage of this strategy is the ultra-long RSI can more accurately determine trends to avoid whipsaws. RVI assists in gauging buy/sell pressure for higher entry precision. The stop loss method allows timely cut loss to reduce drawdowns.

However, both RSI and RVI have lagging issues, and cannot promptly capture turning points. Loosened parameters or moving stops are needed to adapt to spikes. Also, RSI has limited capabilities in decoding complex price action.

In summary, the cryptocurrency RSI curve tracking strategy can produce decent results when combined with strong trending moves. But active position management, parameter tuning, and monitoring fundamentals are still essential for traders to achieve long-term steady profits.

Parameters

Name	Default	What it controls
v_input_1	100	Period
v_input_2	49	BuyZone
v_input_3	50	SellZone
v_input_4	false	Trade reverse
v_input_5	100	risk
v_input_6	2.5	leverage
v_input_7	0.2	sl
v_input_8	true	tp

Source Pine Script

/*backtest
start: 2023-01-01 00:00:00
end: 2023-03-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © exlux99

strategy(title="Crypto RSI + RVI Strategy", overlay=true, initial_capital = 1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.03, pyramiding=1  )

Period = input(100, minval=1)
BuyZone = input(49, minval=1)
SellZone = input(50, minval=1)

length=Period
MA_s=0.0
pos=0.0
possig=0.0
nU=0.0
nD=0.0
nRes=0.0
ob=SellZone
os=BuyZone

WiMA(src, length) => 
    MA_s=0.0
    MA_s:=(src + nz(MA_s[1] * (length-1)))/length
    MA_s

calc_rsi_volume(fv, length) =>    
    up=iff(fv>fv[1],abs(fv-fv[1])*volume,0)
    dn=iff(fv<fv[1],abs(fv-fv[1])*volume,0)
    upt=WiMA(up,length)
    dnt=WiMA(dn,length)
    100*(upt/(upt+dnt))

rsi_v = calc_rsi_volume(close, length)

// u=plot(ob)
// l=plot(os)
// fill(u,l,color.red)
// plot(50)
// plot(rsi_v, color=color.red, linewidth=1)

 

reverse = input(false, title="Trade reverse")
xPrice = close
StdDev = stdev(xPrice, Period)
d = iff(close > close[1], 0, StdDev)
u = iff(close > close[1], StdDev, 0)
nU := (13 * nz(nU[1],0) + u) / 14
nD := (13 * nz(nD[1],0) + d) / 14
nRes := 100 * nU / (nU + nD)
pos := iff(nRes < BuyZone, -1,
       iff(nRes > SellZone, 1, nz(pos[1], 0))) 
possig := iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1, 1, pos))       

 


long=crossover (rsi_v,ob) and (possig == 1) 
short=crossunder(rsi_v,os) and (possig == -1)

g(v, p) => round(v * (pow(10, p))) / pow(10, p)
risk     = input(100)
leverage = input(2.5)
c = g((strategy.equity * leverage / open) * (risk / 100), 4)

strategy.entry("long",1,c,when=long)
strategy.close("long",when=short)
//strategy.entry("short",0,when=short)

 

// ------------------------- Strategy Logic --------------------------------- //
var longOpeneda = false
var shortOpeneda = false
var int timeOfBuya = na

 

longCondition= long and not longOpeneda 

if longCondition
    longOpeneda := true
    timeOfBuya := time


longExitSignala = short
exitLongCondition = longOpeneda[1] and longExitSignala

if exitLongCondition
    longOpeneda := false
    timeOfBuya := na

//plotshape(longCondition, style=shape.labelup, location=location.belowbar, color=color.color.green, size=size.tiny, title="BUY", text="BUY", textcolor=color.color.white)
//plotshape(exitLongCondition, style=shape.labeldown, location=location.abovebar, color=color.color.red, size=size.tiny, title="SELL", text="SELL", textcolor=color.color.white)
sl=input(0.2)
tp=input(1.0)
strategy.exit("long_tp/sl", "long", profit=close * tp / syminfo.mintick, loss=close * sl / syminfo.mintick, comment='long_tp/sl', alert_message = 'closelong')
strategy.exit("short_tp/sl", "short", profit=close * tp / syminfo.mintick, loss=close * sl / syminfo.mintick, comment='short_tp/sl',  alert_message = 'closeshort')

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-11. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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