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Strategy vault / Mean reversion

Stochastic RSI Trading Strategy

Stochastic RSI Trading Strategy This strategy trades based on crossover signals from the Stochastic RSI indicator. The specific entry rules are: - Enter long when Stochastic RSI crosses above 30 - Enter short when…

Pine ScriptMean reversionTrend followingRSISMAVWAPStochastic
Author
ChaoZhang
Complexity
Starter · 55 lines
Parameters
4
Backtest bar
1m · intraday
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

Stochastic RSI Trading Strategy

This strategy trades based on crossover signals from the Stochastic RSI indicator.

The specific entry rules are:

  • Enter long when Stochastic RSI crosses above 30

  • Enter short when Stochastic RSI crosses below 70

Additional entry filters:

  • Longs require 9-period SMA above 21-period SMA

  • Shorts require 9-period SMA below 21-period SMA

  • Longs only below VWAP, shorts only above VWAP

The strategy uses stop loss and take profit for risk management:

  • Stop loss set at 20 ticks for both longs and shorts

  • Take profit set at 25 ticks for both longs and shorts

The key advantage is using Stochastic RSI to identify overbought/oversold regions combined with SMA and VWAP filters to reduce false signals. However, this strategy works better in trending rather than range-bound markets.

Parameters

NameDefaultWhat it controls
v_input_114Length
v_input_2_close0Source: close | high | low | open | hl2 | hlc3 | hlcc4 | ohlc4
v_input_33K
v_input_43D

Source Pine Script

/*backtest
start: 2023-09-03 00:00:00
end: 2023-09-10 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_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/
// © thedoggwalker

//@version=4
strategy("Stochastic RSI Strategy", overlay=true)

// Stochastic RSI
length = input(14, title="Length")
src = input(close, title="Source")
smoothK = input(3, title="K")
smoothD = input(3, title="D")

rsiValue = rsi(src, length)
highestRSI = highest(rsiValue, length)
lowestRSI = lowest(rsiValue, length)
k = (rsiValue - lowestRSI) / (highestRSI - lowestRSI) * 100
d = sma(k, smoothD)

// Moving averages
maShort = sma(close, 9)
maLong = sma(close, 21)

// Spread between moving averages
spread = maShort - maLong

// VWAP
vwapValue = vwap(hlc3)

// Entry conditions
longCondition = crossover(k, 30) and spread > 0 and close < vwapValue
shortCondition = crossunder(k, 70) and spread < 0 and close > vwapValue

// Entry orders
if (longCondition)
    strategy.entry("Long", strategy.long)

if (shortCondition)
    strategy.entry("Short", strategy.short)

// Exit orders
// longStopLoss = close - 20 * syminfo.mintick
// longTakeProfit = close + 25 * syminfo.mintick
// strategy.exit("Exit Long", "Long", stop=longStopLoss, limit=longTakeProfit)

// shortStopLoss = close + 20 * syminfo.mintick
// shortTakeProfit = close - 25 * syminfo.mintick
// strategy.exit("Exit Short", "Short", stop=shortStopLoss, limit=shortTakeProfit)

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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