Multi RSI Indicators Trading Strategy

The multi RSI indicators trading strategy identifies trading opportunities by combining multiple RSI indicators to track trends. The strategy flexibly utilizes 1-5 RSI indicators and determines entry and exit timing…

Pine ScriptMachine learning Breakout Mean reversion RSI Bollinger Bands

Author: ChaoZhang
Complexity: Intermediate · 72 lines
Parameters: 23
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy allows selecting 1-5 RSI indicators through input parameters. Each RSI indicator can be configured independently with period and limit values. When any RSI drops below the limit value, a buy signal is triggered. The signal strength is determined by the period of the triggered RSI indicator, with higher period meaning stronger signal. When RSI rises back above the limit, a close position signal is triggered. The strategy also provides flexibility to use color filter and restrict trading hours.

Advantage Analysis

The biggest advantage of this strategy is the capability to assess multiple timeframes using various RSIs, judging both trend and reversal opportunities from long and short dimensions to improve accuracy. In addition, the flexible configuration of each RSI indicator greatly expands the adaptivity across different markets. Fake breakouts can also be efficiently filtered out using color filters. Risk control modules like trading hours and position sizing provide effective risk management.

Risk Analysis

The major risk is conflicting signals when combining multiple RSI judgments. For instance, shorter RSI produces a buy whilst longer RSI is still oversold. One must rely on experience to determine which signal takes precedence. Also, RSI is prone to whipsaws which requires validation using other indicators or large accounts.

Optimization Directions

The strategy can consider adding trend assisting indicators like moving averages or Bollinger bands to validate RSI signals and improve accuracy. Additionally, certain machine learning algorithms can also be explored, using multi-factor scoring to automatically determine signal reliability. For risk control, floating loss or maximum drawdown stop lines can be implemented for stop loss purposes.

Summary

In summary, the multi RSI indicators trading strategy is very innovative. Its flexibility in indicators combination and parameters makes it adaptable to evolving markets. Further improvements can be achieved by incorporating machine learning algorithms and more risk control measures given its modular design.

Parameters

Name	Default	What it controls
v_input_1	100	Lot, %
v_input_2	true	Use RSI 1
v_input_3	4	RSI 1 Period
v_input_4	20	RSI 1 Limit
v_input_5	true	Use RSI 2
v_input_6	7	RSI 2 Period
v_input_7	25	RSI 2 Limit
v_input_8	true	Use RSI 3
v_input_9	14	RSI 3 Period
v_input_10	30	RSI 3 Limit
v_input_11	false	Use RSI 4
v_input_12	21	RSI 4 Period
v_input_13	35	RSI 4 Limit
v_input_14	false	Use RSI 5
v_input_15	28	RSI 5 Period
v_input_16	40	RSI 5 Limit
v_input_17	false	Use color filter
v_input_18	1900	From Year
v_input_19	2100	To Year
v_input_20	true	From Month
v_input_21	12	To Month
v_input_22	true	From Day
v_input_23	31	To Day

Source Pine Script

/*backtest
start: 2022-11-21 00:00:00
end: 2023-11-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018
//@version=2

strategy(title = "Noro's Symphony Strategy v1.1", shorttitle = "Symphony str 1.1", overlay = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 20)

//Settings

//needlong = input(true, defval = true, title = "Long")
//needshort = input(true, defval = true, title = "Short")

capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot, %")
usersi1 = input(true, defval = true, title = "Use RSI 1")
rsiperiod1 = input(4, defval = 4, minval = 2, maxval = 100, title = "RSI 1 Period")
rsilimit1 = input(20, defval = 20, minval = 2, maxval = 50, title = "RSI 1 Limit")
usersi2 = input(true, defval = true, title = "Use RSI 2")
rsiperiod2 = input(7, defval = 7, minval = 2, maxval = 100, title = "RSI 2 Period")
rsilimit2 = input(25, defval = 25, minval = 2, maxval = 50, title = "RSI 2 Limit")
usersi3 = input(true, defval = true, title = "Use RSI 3")
rsiperiod3 = input(14, defval = 14, minval = 2, maxval = 100, title = "RSI 3 Period")
rsilimit3 = input(30, defval = 30, minval = 2, maxval = 50, title = "RSI 3 Limit")
usersi4 = input(false, defval = false, title = "Use RSI 4")
rsiperiod4 = input(21, defval = 21, minval = 2, maxval = 100, title = "RSI 4 Period")
rsilimit4 = input(35, defval = 35, minval = 2, maxval = 50, title = "RSI 4 Limit")
usersi5 = input(false, defval = false, title = "Use RSI 5")
rsiperiod5 = input(28, defval = 28, minval = 2, maxval = 100, title = "RSI 5 Period")
rsilimit5 = input(40, defval = 40, minval = 2, maxval = 50, title = "RSI 5 Limit")
cf = input(false, defval = false, title = "Use color 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
rsi1 = rsi(close, rsiperiod1)
rsi2 = rsi(close, rsiperiod2)
rsi3 = rsi(close, rsiperiod3)
rsi4 = rsi(close, rsiperiod4)
rsi5 = rsi(close, rsiperiod5)

//Signals
up1 = rsi1 < rsilimit1 and usersi1  
up2 = rsi2 < rsilimit2 and usersi2
up3 = rsi3 < rsilimit3 and usersi3
up4 = rsi4 < rsilimit4 and usersi4
up5 = rsi5 < rsilimit5 and usersi5

str = up5 ? 5 : up4 ? 4 : up3 ? 3 : up2 ? 2 : up1 ? 1 : str[1]
up = up1 or up2 or up3 or up4 or up5
exit = (rsi1 > rsilimit1 and str == 1) or (rsi2 > rsilimit2 and str == 2) or (rsi3 > rsilimit3 and str == 3) or (rsi4 > rsilimit4 and str == 4) or (rsi5 > rsilimit5 and str == 5)
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 : lot[1]

//Background
col = up ? lime : na
bgcolor(col, transp = 0)

//Trading
if up and (close < open or cf == false)
    strategy.entry("Long", strategy.long, 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 2023-11-28. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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