RSI Breakout VWAP Strategy

Pine ScriptBreakout Mean reversion Trend following RSI VWAP

Author: ChaoZhang
Complexity: Intermediate · 71 lines
Parameters: 10
Backtest bar: 1d · swing
Tested on: BTC/USDT · spot

Jump to code View in vault Original on FMZ

This strategy applies RSI indicator on VWAP, and determines long/short direction based on RSI threshold breakouts. Specifically, it goes short when RSI breaks above overbought level, and goes long when RSI breaks below oversold level. It also forces exit after consecutive threshold breaks for a certain period.

The advantage of this strategy is utilizing both RSI for overbought/oversold and VWAP for price trend, which helps filter out false signals. But it also risks lagging in identifying trend reversals. Fine tuning RSI parameters and the consecutive breakout period can optimize the strategy.

In summary, the RSI breakout VWAP strategy combines multiple indicators to identify trading opportunities, but requires careful testing and tuning to adapt to different market conditions. Controlling risk is crucial in order to apply this strategy in the long run.

Parameters

Name	Default	What it controls
v_input_1	20	RSI Length
v_input_2	30	RSI Oversold level
v_input_3	85	RSI Overbought level
v_input_4	28	Number of candles
v_input_5	true	Enter longs ?
v_input_6	true	Enter shorts ?
v_input_7	0.1	Amount of coin/token by position
v_input_8	2020	Strategy Start Year
v_input_9	7	Strategy Start Month
v_input_10	true	Strategy Start Day

Source Pine Script

/*backtest
start: 2022-09-04 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Mysteriown

//@version=4

strategy("RSI on VWAP Upgraded strategy", overlay=false, pyramiding = 3, commission_value = 0.04)
// pyramiding is the number of positions you can take before closing all of them (be carefull if using it with a trading bot)
// commission_value is the commission taken for each buy/sell



// ------------------------------------------ //
// ----------------- Inputs ----------------- //
// ------------------------------------------ //

length = input(20, title="RSI Length", type=input.integer)
ovrsld = input(30, "RSI Oversold level", type=input.float)
ovrbgt = input(85, "RSI Overbought level", type=input.float)
lateleave = input(28, "Number of candles", type=input.integer)
// lateleave : numbers of bars in overbought/oversold zones where the position is closed. The position is closed when this number is reached or when the zone is left (the first condition).

// best parameters BTCUSDTPERP M15 : 20 / 30 / 85 / 28


stratbull = input(title="Enter longs ?", type = input.bool, defval=true)
stratbear = input(title="Enter shorts ?", type = input.bool, defval=true)
bet = input(0.1, "Amount of coin/token by position", type=input.float)

stratyear = input(2020, title = "Strategy Start Year")
stratmonth = input(7, title = "Strategy Start Month")
stratday = input(1, title = "Strategy Start Day")
stratstart = timestamp(stratyear,stratmonth,stratday,0,0)


// ------------------------------------------ //
// ---------------- Rsi VWAP ---------------- //
// ------------------------------------------ //

rsiVWAP = rsi(vwap(close), length)


// ------------------------------------------ //
// ------------------ Plots ----------------- //
// ------------------------------------------ //

prsi = plot(rsiVWAP, color = rsiVWAP>ovrbgt ? color.red : rsiVWAP<ovrsld ? color.green : color.white, title="RSI on VWAP", linewidth=1, style=plot.style_line)
hline = plot(ovrbgt, color = color.gray, style=plot.style_line)
lline = plot(ovrsld, color = color.gray, style=plot.style_line)
fill(prsi,hline, color = rsiVWAP > ovrbgt ? color.red : na, transp = 30)
fill(prsi,lline, color = rsiVWAP < ovrsld ? color.green : na, transp = 30)


// ------------------------------------------ //
// ---------------- Positions --------------- //
// ------------------------------------------ //

if stratbull and time > stratstart
    strategy.entry("Long", true, bet, when = crossover(rsiVWAP, ovrsld), comment="")
    strategy.close("Long", when = crossover(rsiVWAP, ovrbgt)[lateleave] or crossunder(rsiVWAP, ovrbgt), comment="")

if stratbear and time > stratstart
    strategy.entry("Short", false, bet, when = crossunder(rsiVWAP, ovrbgt), comment="")
    strategy.close("Short", when = crossunder(rsiVWAP, ovrsld)[lateleave] or crossover(rsiVWAP, ovrsld), comment="")

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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Source Pine Script

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