该策略基于RSI和ATR波段,在5分钟和15分钟的时间范围内效果更好。我还添加了65和21均线的黄金交叉点,以确认趋势。
回测测试
/*backtest start: 2022-01-01 09:00:00 end: 2022-05-23 15:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","rb888",360008]] */ //@version=4 strategy("Super Scalper - 5 Min 15 Min", overlay=true) source = close atrlen = input(14, "ATR周期") mult = input(1, "ATR乘数", step=0.1) smoothing = input(title="ATR Smoothing", defval="RMA", options=["RMA", "SMA", "EMA", "WMA"]) ma_function(source, atrlen) => if smoothing == "RMA" rma(source, atrlen) else if smoothing == "SMA" sma(source, atrlen) else if smoothing == "EMA" ema(source, atrlen) else wma(source, atrlen) atr_slen = ma_function(tr(true), atrlen) upper_band = atr_slen * mult + close lower_band = close - atr_slen * mult // Create Indicator's shortSMA = ema(close, 21) longSMA = ema(close, 65) rsi = rsi(close, 14) atr = atr(14) // Specify conditions longCondition = open < lower_band shortCondition = open > upper_band GoldenLong = crossover(shortSMA,longSMA) Goldenshort = crossover(longSMA,shortSMA) plotshape(shortCondition, title="Sell Label", text="Sell", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0) plotshape(longCondition, title="Buy Label", text="Buy", location=location.belowbar, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0) plotshape(Goldenshort, title="Golden Sell Label", text="Golden Crossover Short", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=color.blue, textcolor=color.white, transp=0) plotshape(GoldenLong, title="Golden Buy Label", text="Golden Crossover Long", location=location.belowbar, style=shape.labelup, size=size.tiny, color=color.yellow, textcolor=color.white, transp=0) // Execute trade if condition is True if (longCondition) stopLoss = low - atr * 2 takeProfit = high + atr * 5 strategy.entry("long", strategy.long, when = rsi > 50) else if (shortCondition) stopLoss = high + atr * 2 takeProfit = low - atr * 5 strategy.entry("short", strategy.short, when = rsi < 50) // Plot ATR bands to chart ////ATR Up/Low Bands plot(upper_band) plot(lower_band) // Plot Moving Averages plot(shortSMA, color = color.red) plot(longSMA, color = color.yellow)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6