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Strategy vault / Mean reversion

Ultra Long Period RSI Reversal Strategy

This strategy uses an ultra long period RSI indicator to generate trading signals based on RSI crossover with thresholds. Specifically, it adopts a very long RSI period, typically 50-100. Long signals are triggered…

Pine ScriptMean reversionTrend followingRSI
Author
ChaoZhang
Complexity
Starter · 26 lines
Parameters
4
Backtest bar
1m · intraday
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy uses an ultra long period RSI indicator to generate trading signals based on RSI crossover with thresholds.

Specifically, it adopts a very long RSI period, typically 50-100. Long signals are triggered when RSI crosses above oversold level. Short signals are generated on RSI crossing below overbought level.

The advantage of this strategy is the ultra long RSI can more precisely determine trend, filtering out short-term noise and avoiding whipsaws. However, RSI itself has lagging issues and cannot promptly detect reversals. Also, parameter tuning is required for different products.

In summary, the ultra long RSI reversal strategy suits medium-long term holding. Despite decent performance, attention is still required on trend change risks and timely stop loss to protect capital. Only with comprehensive risk management can steady profits be achieved in the long run.

Parameters

NameDefaultWhat it controls
v_input_165length
v_input_240overSold
v_input_360overBought
v_input_4_close0price: close | high | low | open | hl2 | hlc3 | hlcc4 | ohlc4

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"}]
*/

//@version=3
// strategy("Kozlod - RSI Strategy - 1 minute", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)


// Inputs
length     = input(65)
overSold   = input(40)
overBought = input(60)
price      = input(close)

// RSI
vrsi = rsi(price, length)

if (crossover(vrsi, overSold))
    strategy.entry("RsiLE", strategy.long, comment="RsiLE")
if (crossunder(vrsi, overBought))
    strategy.entry("RsiSE", strategy.short, comment="RsiSE")

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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