Delta-RSI Strategy (with filters)

19 במרץ 2021

Delta-RSI Strategy (with filters):
This is a version of the Delta-RSI Oscillator strategy with several criteria available to filter entry and exit signals. This script is also suitable for backtesting over a user-defined period and offers several risk management options (take profit and stop loss).

Since the publication of the Delta-RSI Oscillator script, I have been asked many times to make it compatible with the Strategy Tester and add filtering criteria to minimize "false" signals. This version covers many of these requests. Feel free to insert your favorite D-RSI parameters and play around!



ABOUT DELTA-RSI
Delta-RSI represents a smoothed time derivative of the RSI designed as a momentum indicator (see links below):

INPUT DESCTIPTION
MODEL PARAMETERS
Polynomial Order: The order of local polynomial used to interpolate the relative strength index (RSI).
Length: The length of the lookback frame where local regression is applied.
RSI Length: The timeframe of RSI used as input.
Signal Length: The signal line is a EMA of the D-RSI time series. This input parameter defines the EMA length.

ALLOWED ENTRIES
The strategy can include long entries, short entries or both.

ENTRY AND EXIT CONDITIONS

• Zero-crossing: bullish trade signal triggered when D-RSI crosses zero from negative to positive values (bearish otherwise)
  
• Signal Line Crossing: bullish trade signal triggered when D-RSI crosses from below to above the signal line (bearish otherwise)
  
• Direction Change: bullish trade signal triggered when D-RSI was negative and starts ascending (bearish otherwise)
  

APPLY FILTERS TO
The filters (described below) can be applied to long entry, short entry and exit signals.

RELATIVE VOLUME FILTER
When activated, the D-RSI-driven entries and exits will be triggered only if the current volume is greater than N times the average over the last M bars.

VOLATILITY FILTER
When activated, the D-RSI-driven entries and exits will be triggered only if the N-period average true range, ATR, is greater than the M-period ATR. If N < M, this condition implies increasing volatility.

OVERBOUGHT/OVERSOLD FILTER
When activated, the D-RSI-driven entries and exits will be triggered only if the value of 14-period RSI is in the range between N and M.

STOP LOSS/TAKE PROFIT
Fixed and trailing stop loss as well as take profit options are available.

FIXED BACKTESTING START/END DATES
If the checkboxes are not checked, the strategy will backtest all available price bars.

22 במרץ 2021

הערות שחרור

Fixed a typo in the input window (RSI filter string).