Noros Fast RSI Breakthrough Strategy

This article will detail the logic behind Noro's Fast RSI Breakthrough Strategy, explain how trading signals are generated, and analyze the advantages and potential risks of this strategy. I. Strategy Overview This…

Pine ScriptBreakout Mean reversion Trend following RSI SMA

Author: ChaoZhang
Complexity: Intermediate · 104 lines
Parameters: 20
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

This article will detail the logic behind Noro's Fast RSI Breakthrough Strategy, explain how trading signals are generated, and analyze the advantages and potential risks of this strategy.

I. Strategy Overview

This strategy mainly uses the RSI indicator to generate trading signals, combined with candlestick filtering and min/max breakthroughs as auxiliary judgements, forming a complete long/short decision system. The strategy name is "Noro's Fast RSI Breakthrough Strategy".

II. Strategy Details

Fast RSI Setting

The strategy uses a length 7 fast RSI to capture signs of market trends through fast RSI oscillations. Upper and lower limits of 70 and 30 are also set for the RSI to trigger signals when breached.

Candlestick Filtering

The strategy filters RSI signals using the candlestick body size sma, only considering RSI signals on candlesticks with body size larger than 5-day average body size, avoiding whipsaws.

Min/Max Breakthroughs

The strategy checks if min/max breakthroughs happened in recent mmbars, combined with RSI level to determine bottom reversals and top breakdowns.

Trading Signal Summary

Long signal: RSI crosses below 30, body size exceeds average body size, and min breaks supports.

Short signal: RSI crosses above 70, body size exceeds average body size, and max breaks resistances.

Exit signal: When RSI recrosses limits in opposite direction of position.

III. Advantages of the Strategy

Optimized RSI parameters capture trend change quickly.
Combining with candlesticks and min/max prevents unnecessary whipsaws.
Stop loss mechanism exits when RSI recrosses limits.

IV. Risks of the Strategy

RSI prone to false signals, needs auxiliary confirmation.
Backtest overfitting risks. Optimized parameters may only fit specific market periods.
Stop loss mechanism may be too mechanical, unable to control large loss on single stop loss.

V. Conclusion

This strategy integrates multiple technical indicators for robust trend following. But risks of backtest overfitting and stop loss should be noted, and live performance should be evaluated cautiously. Fine tune of parameters and control of position sizing recommended for live trading.

Parameters

Name	Default	What it controls
v_input_1	true	Long
v_input_2	true	Short
v_input_3	true	Use Fast RSI Strategy
v_input_4	true	Use Min/Max Strategy
v_input_5	true	Use BarColor Strategy
v_input_6	false	Use SMA Filter
v_input_7	20	SMA Filter Period
v_input_8	7	Fast RSI Period
v_input_9	30	RSI limit
v_input_10_close	0	RSI Price: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_11	true	RSI Bars
v_input_12	true	Min/Max Bars
v_input_13	false	Show SMA Filter
v_input_14	false	Show Arrows
v_input_15	2018	From Year
v_input_16	2100	To Year
v_input_17	true	From Month
v_input_18	12	To Month
v_input_19	true	From day
v_input_20	31	To day

Source Pine Script

/*backtest
start: 2022-09-11 00:00:00
end: 2023-01-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018

//@version=3
strategy(title = "Noro's Fast RSI Strategy v1.6", shorttitle = "Fast RSI str 1.6", overlay = true, 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")
usersi = input(true, defval = true, title = "Use Fast RSI Strategy")
usemm = input(true, defval = true, title = "Use Min/Max Strategy")
usebc = input(true, defval = true, title = "Use BarColor Strategy")
usesma = input(false, defval = false, title = "Use SMA Filter")
smaperiod = input(20, defval = 20, minval = 2, maxval = 1000, title = "SMA Filter Period")
fast = input(7, defval = 7, minval = 2, maxval = 50, title = "Fast RSI Period")
limit = input(30, defval = 30, minval = 1, maxval = 100, title = "RSI limit")
rsisrc = input(close, defval = close, title = "RSI Price")
rsibars = input(1, defval = 1, minval = 1, maxval = 20, title = "RSI Bars")
mmbars = input(1, defval = 1, minval = 1, maxval = 5, title = "Min/Max Bars")
showsma = input(false, defval = false, title = "Show SMA Filter")
showarr = input(false, defval = false, title = "Show Arrows")
fromyear = input(2018, defval = 2018, 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")

//Fast RSI
fastup = rma(max(change(rsisrc), 0), fast)
fastdown = rma(-min(change(rsisrc), 0), fast)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))

//Limits
bar = close > open ? 1 : close < open ? -1 : 0
uplimit = 100 - limit
dnlimit = limit

//RSI Bars
upsignal = fastrsi > uplimit ? 1 : 0
dnsignal = fastrsi < dnlimit ? 1 : 0
uprsi = sma(upsignal, rsibars) == 1
dnrsi = sma(dnsignal, rsibars) == 1

//Body
body = abs(close - open)
abody = sma(body, 10)

//MinMax Bars
min = min(close, open)
max = max(close, open)
minsignal = min < min[1] and bar == -1 and bar[1] == -1 ? 1 : 0
maxsignal = max > max[1] and bar == 1 and bar[1] == 1 ? 1 : 0
mins = sma(minsignal, mmbars) == 1
maxs = sma(maxsignal, mmbars) == 1

//SMA Filter
sma = sma(close, smaperiod)
colorsma = showsma ? blue : na
plot(sma, color = colorsma, linewidth = 3)

//Signals
up1 = bar == -1 and (strategy.position_size == 0 or close < strategy.position_avg_price) and dnrsi and body > abody / 5 and usersi
dn1 = bar == 1 and (strategy.position_size == 0 or close > strategy.position_avg_price) and uprsi and body > abody / 5 and usersi
up2 = mins and (close > sma or usesma == false) and fastrsi < 70 and usemm
dn2 = maxs and (close < sma or usesma == false) and fastrsi > 30 and usemm 
up3 = sma(bar, 2) == -1 and usebc
dn3 = sma(bar, 2) == 1 and usebc
exit = ((strategy.position_size > 0 and fastrsi > dnlimit and bar == 1) or (strategy.position_size < 0 and fastrsi < uplimit and bar == -1)) and body > abody / 2

//Arrows
col = exit ? black : up1 or dn1 ? blue : up2 or dn2 ? red : na
needup = up1 or up2
needdn = dn1 or dn2
needexitup = exit and strategy.position_size < 0
needexitdn = exit and strategy.position_size > 0
plotarrow(showarr and needup ? 1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needdn ? -1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(showarr and needexitup ? 1 : na, colorup = black, colordown = black, transp = 0)
plotarrow(showarr and needexitdn ? -1 : na, colorup = black, colordown = black, transp = 0)

//Trading
if up1 or up2 or up3
    if strategy.position_size < 0
        strategy.close_all()
        
    strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))

if dn1 or dn2 or dn3
    if strategy.position_size > 0
        strategy.close_all()
        
    strategy.entry("Short", strategy.short, needshort == false ? 0 : na, 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 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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