ATR and RSI Entries with Percentage-Based Trailing Stops
Summary
This strategy uses average true range (ATR) to decide whether volatility is elevated and the relative strength index (RSI) to choose directional entries. When flat, it compares the latest ATR with an average of recent ATR values; if ATR is higher, an RSI reading above a threshold around its midpoint triggers a long order, while a reading below the corresponding lower threshold triggers a short order.
Positions are managed with a trailing stop based on the highest price observed during a long trade or the lowest price during a short trade. The stop distance is a configurable percentage of that reference price, and the example uses a fixed order size. The document provides implementation details and default parameter values, but no backtest, market specification, performance evidence, or analysis of transaction costs. Its results therefore cannot be inferred from the strategy description alone, and the stop behavior may depend on the trading framework's order handling.
Key ideas
- Entries are considered only when ATR exceeds its recent average.
- A high RSI relative to the midpoint triggers a long entry, while a low reading triggers a short entry.
- Long stops trail from the highest price reached during the position.
- Short stops trail from the lowest price reached during the position.
- The example gives configurable indicator periods and a fixed order size but no performance evidence.
Tags
Full text
# AtrRsiStrategy
# AtrRsiStrategy
ATR与RSI策略。
用ATR与RSI开仓，并用跟踪止损平仓的策略。
## Source (MIT)
```python
"""ATR与RSI策略。"""
import numpy as np
from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
class AtrRsiStrategy(CtaTemplate):
"""用ATR与RSI开仓，并用跟踪止损平仓的策略。"""
author: str = "用Python的交易员"
atr_length: int = 22
atr_ma_length: int = 10
rsi_length: int = 5
rsi_entry: int = 16
trailing_percent: float = 0.8
fixed_size: int = 1
atr_value: float = 0
atr_ma: float = 0
rsi_value: float = 0
rsi_buy: float = 0
rsi_sell: float = 0
intra_trade_high: float = 0
intra_trade_low: float = 0
parameters: list[str] = [
"atr_length",
"atr_ma_length",
"rsi_length",
"rsi_entry",
"trailing_percent",
"fixed_size"
]
variables: list[str] = [
"atr_value",
"atr_ma",
"rsi_value",
"rsi_buy",
"rsi_sell",
"intra_trade_high",
"intra_trade_low"
]
def on_init(self) -> None:
"""
策略初始化完成时的回调。
"""
self.write_log("策略初始化")
self.bg: BarGenerator = BarGenerator(self.on_bar)
self.am: ArrayManager = ArrayManager()
self.rsi_buy = 50 + self.rsi_entry
self.rsi_sell = 50 - self.rsi_entry
self.load_bar(10)
def on_start(self) -> None:
"""
策略启动时的回调。
"""
self.write_log("策略启动")
def on_stop(self) -> None:
"""
策略停止时的回调。
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData) -> None:
"""
新 Tick 数据更新时的回调。
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData) -> None:
"""
新 K 线数据更新时的回调。
"""
self.cancel_all()
am: ArrayManager = self.am
am.update_bar(bar)
if not am.inited:
return
atr_array: np.ndarray = am.atr(self.atr_length, array=True)
self.atr_value = atr_array[-1]
self.atr_ma = atr_array[-self.atr_ma_length:].mean()
self.rsi_value = am.rsi(self.rsi_length)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.atr_value > self.atr_ma:
if self.rsi_value > self.rsi_buy:
self.buy(bar.close_price + 5, self.fixed_size)
elif self.rsi_value < self.rsi_sell:
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop: float = self.intra_trade_high * (1 - self.trailing_percent / 100)
self.sell(long_stop, abs(self.pos), stop=True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.intra_trade_high = bar.high_price
short_stop: float = self.intra_trade_low * (1 + self.trailing_percent / 100)
self.cover(short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData) -> None:
"""
新委托数据更新时的回调。
"""
pass
def on_trade(self, trade: TradeData) -> None:
"""
新成交数据更新时的回调。
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder) -> None:
"""
停止单更新时的回调。
"""
pass
```Shown in full with attribution under the source's licence. Licence: MIT
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.