●隨機相對強弱指標 Stoch RSI [程式碼]

EasyTrader ArtNo 163

     以隨機指標KD結合相對強弱指標RSI可導出另一種短線振盪指標，稱為隨機相對強弱指標（Stoch Relative Strength Index, RSI），為1994年錢德（Tushar S. Chande）與可羅（Stanley Kroll）所提出，以計算RSI在9日內的能量變化，再從極端值找出超買區或超賣區，做為投資策略的參考。為顯示RSI的短線極端值，Stoch RSI公式如下：

• A = RSI(Close,N) ;
• Amax = Highest(A,M) ;
• Amin = Lowest(A,M) ;
• StochRSI ＝(A-Amin)/(Amax-Amin)*100 ;

StochRSI 計算出來的值也是介於 0 ~100之間 ,由於它結合了 KD指標的敏銳反應，因此StochRSI 可彌補傳統 RSI指標較為延滯的缺點。

由於這樣的概念,我從另一角度結合 RSI 與 KD ，就是將傳統 RSI的參數是收盤價 ,改以 SlowD的函數代替，用來比較在應用上有無差異

指標程式碼
inputs:SDLen(17),RSILen(7),HB(70),LB(30) ;
vars: RSID(0),StochRSI(0) ;

{ 傳統RSI 的修改版 }
RSID = RSI(SlowD(SDLen),RSILen) ;
{ 隨機相對強弱指標 }
Value1 = (Highest(RSI(Close,RSILen),SDLen)-Lowest(RSI(Close,RSILen),SDLen)) ;
if Value1 <> 0 then
StochRSI = (RSI(Close,RSILen)-Lowest(RSI(Close,RSILen),SDLen))/Value1*100 ;

Plot1(HB,"HB") ;
Plot2(LB,"LB") ;
Plot3(RSID,"RSID") ;
Plot4(Average(StochRSI,RSILen),"StochRSI") ;


台指期 30分K 留倉 最近 3000 交易日 ,交易成本 1200
StochRSI 測試


RSID 測試

兩者的表現其實都很接近，從績效曲線來看是有愈來愈不錯的表現!

[策略程式碼]
input:EntryType(1),ExitType(0),TradeProfit(0.05),TradeStopLoss(0.02) ;
vars: IsBalanceDay(False),MP(0),PF(0),PL(0);
input: SDLen(9),RSILen(5),HB(70),LB(30),ADXValue(10),ATRs_L(3),ATRs_S(3),HLRange(200),ATR_Len(20),ATR_Ratio(1.5);
vars: RSID(0),ATREn(0),UBuy(0),USell(0),StochRSI(0) ;

MP = MarketPosition ;
if DAYofMonth(Date) > 14 and DAYofMonth(Date) < 22 and DAYofWeek(Date)= 3 then isBalanceDay = True else isBalanceDay =False ;

PF = AvgPrice*TradeProfit ;
PL = AvgPrice*TradeStopLoss ;

RSID = RSI(SlowD(SDLen),RSILen) ;

{ 高低差濾網 }
Value1 = Highest(High,RSILen)-Lowest(Low,RSILen) ;
Value2 = Highest(High,SDLen)-Lowest(Low,SDLen) ;

{ StochRSI 計算 }
Value3 = (Highest(RSI(Close,RSILen),SDLen)-Lowest(RSI(Close,RSILen),SDLen)) ;
if Value3 <> 0 then StochRSI = (RSI(Close,RSILen)-Lowest(RSI(Close,RSILen),SDLen))/Value3*100 ;

{ RSID 進場方式 }
if EntryType = 1 then Begin
If Value2 > HLRange and ADX(SDLen) > ADXValue then Begin { 加兩個濾網確認 }
if RSID > {Cross over} HB then Buy next bar at Market ;
if RSID < {Cross under} LB then Sell next bar at Market ;
end;
end;

{ StochRSI 進場方式 }
if EntryType = 2 then Begin
If Value2 > HLRange and ADX(SDLen) > ADXValue then Begin
if Average(StochRSI,RSILen) > {Cross over} HB then Buy next bar at Market ;
if Average(StochRSI,RSILen) < {Cross under} LB then Sell next bar at Market ;
end;
end ;

{幾種出場方式}
if ExitType = 1 then SetStopLoss(PL * BigPointValue) ;

if ExitType = 2 then Begin
SetStopLoss(PL * BigPointValue) ;
setProfitTarget(PF * BigPointValue) ;
end;

if ExitType = 3 then Begin
if MP > 0 and BarsSinceEntry = NBarL then ExitLong next bar at Market ;
if MP < 0 and BarsSinceEntry = NBarS then ExitShort next bar at Market ;
end;

if ExitType = 4 then Begin
SetStopLoss(PL * BigPointValue) ;
setProfitTarget(PF * BigPointValue) ;
if MP > 0 and BarsSinceEntry = NBarL then Sell {ExitLong} next bar at Market ;
if MP < 0 and BarsSinceEntry = NBarS then Buy {ExitShort} next bar at Market ;
end;

if ExitType = 5 then Begin
{Inputs: ATRs_L(3);}
Variables: PosHigh(0), ATRVal_L(0);
ATRVal_L = AvgTrueRange(10) * ATRs_L;
If BarsSinceEntry = 0 Then
PosHigh = High;

If MarketPosition = 1 Then Begin
If High > PosHigh Then
PosHigh = High;
ExitLong ("ATR") Next Bar at PosHigh - ATRVal_L Stop;
End
else
ExitLong ("ATR eb") Next bar at High - ATRVal_L Stop;

{Inputs: ATRs_S(3);}
Variables: PosLow(0), ATRVal_S(0);
ATRVal_S = AvgTrueRange(10) * ATRs_S;
If BarsSinceEntry = 0 Then
PosLow = Low;

If MarketPosition = -1 Then Begin
If Low < PosLow Then
PosLow = Low;
ExitShort ("ATR_1") Next Bar at PosLow + ATRVal_S Stop;
End
else
ExitShort ("ATR_1 eb") Next bar at Low + ATRVal_S Stop;
end;

if IsBalanceDay then setExitonClose ;