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Estragia Rsi

This strategy uses a cumulative RSI indicator to generate buy and sell signals. It allows filtering trades to only those where the price is above an EMA. The strategy can be backtested over a specified date range and includes commission and slippage settings.

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Pepin
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9 views1 page

Estragia Rsi

This strategy uses a cumulative RSI indicator to generate buy and sell signals. It allows filtering trades to only those where the price is above an EMA. The strategy can be backtested over a specified date range and includes commission and slippage settings.

Uploaded by

Pepin
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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// This source code is subject to the terms of the Mozilla Public License 2.

0 at
https://mozilla.org/MPL/2.0/
// @version=5
// Author = TradeAutomation

strategy(title="Cumulative RSI Strategy", shorttitle="CRSI Strategy",


process_orders_on_close=true, overlay=true,
commission_type=strategy.commission.cash_per_contract, commission_value=.0035,
slippage = 1, margin_long = 75, initial_capital = 25000,
default_qty_type=strategy.percent_of_equity, default_qty_value=110)

// Cumulative RSI Indicator Calculations //


rlen = input.int(title="RSI Length", defval=3, minval=1)
cumlen = input(3, "RSI Cumulation Length")
rsi = ta.rsi(close, rlen)
cumRSI = math.sum(rsi, cumlen)
ob = (100*cumlen*input(94, "Oversold Level")*.01)
os = (100*cumlen*input(20, "Overbought Level")*.01)

// Operational Function //
TrendFilterInput = input(false, "Only Trade When Price is Above EMA?")
ema = ta.ema(close, input(100, "EMA Length"))
TrendisLong = (close>ema)
plot(ema)

// Backtest Timeframe Inputs //


startDate = input.int(title="Start Date", defval=1, minval=1, maxval=31)
startMonth = input.int(title="Start Month", defval=1, minval=1, maxval=12)
startYear = input.int(title="Start Year", defval=2010, minval=1950, maxval=2100)
endDate = input.int(title="End Date", defval=1, minval=1, maxval=31)
endMonth = input.int(title="End Month", defval=1, minval=1, maxval=12)
endYear = input.int(title="End Year", defval=2099, minval=1950, maxval=2100)
InDateRange = (time >= timestamp(syminfo.timezone, startYear, startMonth,
startDate, 0, 0)) and (time < timestamp(syminfo.timezone, endYear, endMonth,
endDate, 0, 0))

// Buy and Sell Functions //


if (InDateRange and TrendFilterInput==true)
strategy.entry("Long", strategy.long, when = ta.crossover(cumRSI, os) and
TrendisLong, comment="Buy", alert_message="buy")
strategy.close("Long", when = ta.crossover(cumRSI, ob) , comment="Sell",
alert_message="Sell")
if (InDateRange and TrendFilterInput==false)
strategy.entry("Long", strategy.long, when = ta.crossover(cumRSI, os),
comment="Buy", alert_message="buy")
strategy.close("Long", when = ta.crossover(cumRSI, ob), comment="Sell",
alert_message="sell")
if (not InDateRange)
strategy.close_all()

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