Fast RSI Risk Control Compound Futures Trading Strategy

Pine ScriptBreakout Mean reversion Trend following RSI SMA

Author: ChaoZhang
Complexity: Intermediate · 97 lines
Parameters: 22
Backtest bar: 5m · intraday
Tested on: BTC/USDT · futures

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Overview

This strategy is designed for the spot trading platform BitMEX. By analyzing the fast RSI indicator and combining multiple technical indicators to screen signals, it realizes efficient trend tracking trading. The strategy also sets risk management and stop loss mechanisms to effectively control trading risks.

Strategy Logic

Calculate fast RSI with parameters of 7 days and overbought line 25, oversold line 75. When RSI crosses over overbought line, it is an overbought signal. When RSI crosses below oversold line, it is an oversold signal.
Set filter on candlestick body. Require opening as bearish candle with body length no less than 20% of yesterday's average body length.
Set filter on candlestick color. Require last 4 candles as bearish when going short, and last 4 candles as bullish when going long.
Set stop loss logic. Close position when price moves in unfavorable direction.
Set anti-whipsaw mechanism. Only take signal when price recovers to stop loss level after initial move.
Set position sizing. Use fixed percentage of capital for each trade, and double position size after each loss.

Advantage Analysis

Fast RSI parameters set reasonably can quickly capture trends. Combining with candlestick body and color filters can avoid false breakouts effectively.
Multi-layer filter enhances win rate by reducing number of trades.
Built-in stop loss mechanism limits per trade loss.
Dynamic position sizing realizes moderately aggressive capital management.
Customizable trading time frame avoids noise from major events.

Risks and Optimizations

High speed may miss some trading opportunities. Can relax parameters for more flexibility.
Hard to determine trend ending. Consider combining with other indicators to detect potential reversals.
Position sizing method too aggressive, can introduce locking position way.
Can optimize parameters for different markets to find better parameter combinations.

Conclusion

Overall this strategy is quite robust. By judging trend direction with fast RSI and filtering signals with multiple indicators, it can get good returns during trends. Also the strategy has room for optimization. By adjusting parameter combinations it can adapt to different market environments, thus having good practicality.

Parameters

Name	Default	What it controls
v_input_1	true	Long
v_input_2	true	Short
v_input_3	true	Use Martingale
v_input_4	100	Capital, %
v_input_5	7	RSI Period
v_input_6	25	RSI limit
v_input_7	true	RSI Bars
v_input_8	true	Use Open Color Filter
v_input_9	true	Use Close Color Filter
v_input_10	4	Open Color Bars
v_input_11	true	Close Color Bars
v_input_12	true	Use Open Body Filter
v_input_13	true	Use Close Body Filter
v_input_14	20	Open Body Minimum, %
v_input_15	50	Close Body Minimum, %
v_input_16	true	Use Close Norma Filter
v_input_17	1900	From Year
v_input_18	2100	To Year
v_input_19	true	From Month
v_input_20	12	To Month
v_input_21	true	From Day
v_input_22	31	To Day

Source Pine Script

/*backtest
start: 2023-11-05 00:00:00
end: 2023-11-12 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018

//@version=2
strategy(title = "Robot BitMEX Fast RSI v1.0", shorttitle = "Robot BitMEX Fast RSI v1.0", overlay = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 10)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usemar = input(true, defval = true, title = "Use Martingale")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
rsiperiod = input(7, defval = 7, minval = 2, maxval = 100, title = "RSI Period")
rsilimit = input(25, defval = 25, minval = 1, maxval = 30, title = "RSI limit")
rsibars = input(1, defval = 1, minval = 1, maxval = 20, title = "RSI Bars")
useocf = input(true, defval = true, title = "Use Open Color Filter")
useccf = input(true, defval = true, title = "Use Close Color Filter")
openbars = input(4, defval = 4, minval = 1, maxval = 20, title = "Open Color Bars")
closebars = input(1, defval = 1, minval = 1, maxval = 20, title = "Close Color Bars")
useobf = input(true, defval = true, title = "Use Open Body Filter")
usecbf = input(true, defval = true, title = "Use Close Body Filter")
openbody = input(20, defval = 20, minval = 0, maxval = 1000, title = "Open Body Minimum, %")
closebody = input(50, defval = 50, minval = 0, maxval = 1000, title = "Close Body Minimum, %")
usecnf = input(true, defval = true, title = "Use Close Norma Filter")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From Day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To Day")

//RSI
uprsi = rma(max(change(close), 0), rsiperiod)
dnrsi = rma(-min(change(close), 0), rsiperiod)
rsi = dnrsi == 0 ? 100 : uprsi == 0 ? 0 : 100 - (100 / (1 + uprsi / dnrsi))
uplimit = 100 - rsilimit
dnlimit = rsilimit
rsidn = rsi < dnlimit ? 1 : 0
rsiup = rsi > uplimit ? 1 : 0
rsidnok = sma(rsidn, rsibars) == 1
rsiupok = sma(rsiup, rsibars) == 1

//Body Filter
body = abs(close - open)
abody = sma(body, 10)
openbodyok = body >= abody / 100 * openbody or useobf == false
closebodyok = body >= abody / 100 * closebody or usecbf == false

//Color Filter
bar = close > open ? 1 : close < open ? -1 : 0
gbar = bar == 1 ? 1 : 0
rbar = bar == -1 ? 1 : 0
opengbarok = sma(gbar, openbars) == 1 or useocf == false
openrbarok = sma(rbar, openbars) == 1 or useocf == false
closebarok = (strategy.position_size > 0 and bar == 1) or (strategy.position_size < 0 and bar == -1) or useccf == false

//Norma Filter
norma = (rsi > dnlimit and rsi < uplimit) or usecnf == false

//Signals
up = openrbarok and rsidnok and openbodyok and (strategy.position_size == 0 or close < strategy.position_avg_price)
dn = opengbarok and rsiupok and openbodyok and (strategy.position_size == 0 or close > strategy.position_avg_price)
exit = ((strategy.position_size > 0 and closebarok and norma) or (strategy.position_size < 0 and closebarok and norma)) and closebodyok

//Indicator
plot(rsi, color = blue, linewidth = 3, title = "Double RSI")
plot(uplimit, color = black, title = "Upper Line")
plot(dnlimit, color = black, title = "Lower Line")
colbg = rsi > uplimit ? red : rsi < dnlimit ? lime : na
bgcolor(colbg, transp = 20)

//Trading
profit = exit ? ((strategy.position_size > 0 and close > strategy.position_avg_price) or (strategy.position_size < 0 and close < strategy.position_avg_price)) ? 1 : -1 : profit[1]
mult = usemar ? exit ? profit == -1 ? mult[1] * 2 : 1 : mult[1] : 1
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 * mult : lot[1]

if up
    if strategy.position_size < 0
        strategy.close_all()
        
    strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))

if dn
    if strategy.position_size > 0
        strategy.close_all()
        
    strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
    
if time > timestamp(toyear, tomonth, today, 23, 59) or exit
    strategy.close_all()

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-13. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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