RSI on VWAP Upgraded strategy

2020年10月4日

First of all, the idea of apply RSI to VWAP was inspired by XaviZ; at least, that where I first saw that.

I simply applied the idea and searched for apply this on lower timeframe (M15) to increase the number of positions and improve the profit factor.

The conditions to enter are the same :

• long : enter on RSI crossover oversold level
  
• short : enter on RSI crossunder oversell level
  

To close position, I found a little change to apply :

• long : close position when RSI(VWAP) went in overbought zone and crossunder the overbought level OR after being at least x bars in the overbought zone (parameter is 28 by default) => when the first condition happens
  
• short : close position when RSI(VWAP) went in oversold zone and crossover the oversold level OR after being at least x bars in the oversell zone (parameter is 28 by default) => when the first condition happens
  

With this change, I got better results specially on BTCUSDTPERP (M15) where I reach a 6.8 profit factor with 119 trades closed. Not BAD !

The defaults parameters are the best found for BTCUSDTPERP (M15), but the strategy works fine for other pairs if you take time to find the rights combinations.

In this strategy you can change (with defaults in () ):

• RSI length (28)
  
• RSI overbought level (85)
  
• RSI oversell level (30)
  
• Number of bars before leaving as explain above (28)
  
• The choice to take longs only, shorts only or both
  
• The number of coin/token by position
  
• The start date for backtesting
  

Please note that the script use a pyramiding parameter of 3 (can be changed in the first line of the script); that means that you can take up to 3 positions before closing. It lets you improve average enter price but increase the risk. 3 is the best I found to improve profit factor without expose myself too much.

This script would be better if automated because of the conditions of buy and sell.

It's only for educative purpose, not an advice to invest.

All my free scripts here : https://fr.tradingview.com/u/Mysteriown/#published-scripts

Leave a message and don't forget to follow me ;) !

2020年10月6日

リリースノート

Increase the default pyramiding value from 3 to 4 to improve profits (don't forget to adapt your position to not be liquidated).

Changed the code for the "checking conditions" in the strategy part, it avoids errors in pine editor console (no changes in operating and results stay the same).

2020年10月11日

リリースノート

Increase the default bet from 0.1 to 1 (it seems that 0.1 made some troubles for some people).

And for those who find this strategy useful or profitable, toss a coin ;)
BTC : 1L21iwaz4NFutu8rXwgTtg4siiiVLVmh5s
ETH : 0x7ca6a37111d578fc94e10e1d155a75a13be202aa

2020年10月13日

リリースノート

Added the Laguerre option for VWAP RSI.
Feel free to comments if you find good results !

2020年10月14日

リリースノート

Thanks to feedbacks from the comments, I made some changes :

• deleted the "bet" parameters : it's better to use the right input in the strategy's "Properties"
  
• increase the commission value : from 0.04% to 0.08% to include slippages fees because of the "market orders" method used ; more realistics results.
  
• added multiple timeframe option : for the RSI(VWAP), others timeframes can be used.
  

2020年10月15日

リリースノート

• Cleaned script
  
• Change default value for the RSI(VWAP) from M15 to "Same as symbol"