RSI-VWAP 2.0 - Trading Bot for FTX

TradingView based bot strategy for Ethereum Futures (ETH-PERP) on 15m, FTX exchange.

Latest code revision – 24.12.2020

Top FREE Tradingview strategy this week!

To make our community more profitable we decided to start a series in which we will review open-source TradingView strategies. The aim of the review is to select a strategy (or a number of strategies) from TradingView and run a reality check on it, optimise them and convert them into alerts, so you can set it up as a bot on Wunderbit Trading platform.

Performance of RSI-VWAP 2.0 - Trading Bot for FTX

Video overview

Trading Bot video overview

Note

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What we will provide

• Open-strategy source

• Strategy adjustment for particular exchange, pair, and timeframe

• Backtest

Description

This week we decided to update our RSI-VWAP strategy on the 15 min time frame for ETH-Perpetual. The original idea was taken from XaviZl. We added partial take profits, Relative volatility index (RVI) that will determine the entry and exit points only when the volatility will start to increase, and Money Flow index as an additional point for entry.

You will find the strategy code here: RSI-VWAP

IMPORTANT

• Input Partial take profits in your Wunderbit Bot settings

• This is a trend strategy and works better in the trending market

• We added the trend identifier using the EMA and SMA interaction

• We added Take profit and stop loss levels

• We added inputs for the period selection, so you could see how the strategy is performing on a monthly basis.

• RVI for the entry conditions

• MFI was added for the additional entries.

• Partial Take-profits

Settings

Applicable to FTX: ETH-PERP 15 min

Input	Value
Period	19
RVI Period	100
RVI Benchmark	20
MFI Length	11
MFI Lower Level	24
MFI Higher Level	85
RSI-VWAP LENGTH LONG	14
RSI-VWAP OVERSOLD LONG	12
RSI-VWAP OVERBOUGHT LONG	60
RSI-VWAP LENGTH SHORT	14
RSI-VWAP OVERSOLD SHORT	23
RSI-VWAP OVERBOUGHT SHORT	68
Long Take Profit 1%	4
Long Take Profit 1 Qty	15
Long Take Profit 2%	12
Long Take Profit 2 Qty	100
Long Stop Loss %	3.3
Short Take Profit 1%	3.2
Short Take Profit 1 Qty	20
Short Take Profit 2%	5.5
Short Take Profit 2Qty	100
Short Stop Loss	3.2

TradingView Strategy Script Code

You can copy this code and paste it into your TradingView.

//(c) Wunderbit Trading

//@version=4
strategy("RSI-VWAP INDICATOR v2", overlay=false, initial_capital = 1000, currency = "USD", pyramiding = 2, commission_type=strategy.commission.percent, commission_value=0.07, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)

//Functions
Atr(p) =>
    atr = 0.
    Tr = max(high - low, max(abs(high - close[1]), abs(low - close[1])))
    atr := nz(atr[1] + (Tr - atr[1])/p,Tr)

/// TREND
ribbon_period = input(19, "Period", step=1)

leadLine1 = ema(close, ribbon_period)
leadLine2 = sma(close, ribbon_period)

p1 = plot(leadLine1, color= #53b987, title="EMA", transp = 50, linewidth = 1)
p2 = plot(leadLine2, color= #eb4d5c, title="SMA", transp = 50, linewidth = 1)
fill(p1, p2, transp = 60, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)

// Relative volatility index
length = input(100,"RVI period", minval=1), src = close
len = 11
stddev = stdev(src, length)
upper = ema(change(src) <= 0 ? 0 : stddev, len)
lower = ema(change(src) > 0 ? 0 : stddev, len)
rvi = upper / (upper + lower) * 100
benchmark = input(20, "RVI benchmark", minval=10, maxval=100, step=0.1)

// Plot RVI
// h0 = hline(80, "Upper Band", color=#C0C0C0)
// h1 = hline(20, "Lower Band", color=#C0C0C0)
// fill(h0, h1, color=#996A15, title="Background")
// offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
// plot(rvi, title="RVI", color=#008000, offset = offset)


/// MFI input
mfi_source = hlc3
mfi_length = input(11, "MFI Length", minval=1)
mfi_lower = input(24, "MFI Lower level", minval=0, maxval=50)
mfi_upper = input(85, "MFI Higher level", minval=50, maxval=100)


// MFI
upper_s = sum(volume * (change(mfi_source) <= 0 ? 0 : mfi_source), mfi_length)
lower_s = sum(volume * (change(mfi_source) >= 0 ? 0 : mfi_source), mfi_length)
mf = rsi(upper_s, lower_s)
// mfp = plot(mf, color=color.new(color.gray,0), linewidth=1)
// top = hline(mfi_upper, color=color.new(color.gray, 100), linewidth=1, editable=false)
// bottom = hline(mfi_lower, color=color.new(color.gray,100), linewidth=1, editable=false)
// hline(0, color=color.new(color.black,100), editable=false)
// hline(100, color=color.new(color.black,100), editable=false)

// Breaches
// b_color = (mf > mfi_upper) ? color.new(color.red,70) : (mf < mfi_lower) ? color.new(color.green,60) : na
// bgcolor(HighlightBreaches ? b_color : na)

// fill(top, bottom, color=color.gray, transp=75)

// Initial inputs
Act_RSI_VWAP_long = input(true, "RSI VOLUME WEIGHTED AVERAGE PRICE LONG")
RSI_VWAP_length_long = input(14, "RSI-VWAP LENGTH LONG")
RSI_VWAP_overSold_long = input(23, "RSI-VWAP OVERSOLD LONG", type=input.float)
RSI_VWAP_overBought_long = input(60, "RSI-VWAP OVERBOUGHT LONG", type=input.float)

Act_RSI_VWAP_short = input(true, "RSI VOLUME WEIGHTED AVERAGE PRICE SHORT")
RSI_VWAP_length_short = input(14, "RSI-VWAP LENGTH SHORT")
RSI_VWAP_overSold_short = input(23, "RSI-VWAP OVERSOLD SHORT", type=input.float)
RSI_VWAP_overBought_short = input(68, "RSI-VWAP OVERBOUGHT SHORT", type=input.float)

// RSI with VWAP as source
RSI_VWAP_long = rsi(vwap(close), RSI_VWAP_length_long)
RSI_VWAP_short = rsi(vwap(close), RSI_VWAP_length_short)

// Plot Them Separately.
//Plotting LONG, Put overlay=false
// r_long=plot(RSI_VWAP_long, color = RSI_VWAP_long > RSI_VWAP_overBought_long ? color.red : RSI_VWAP_long < RSI_VWAP_overSold_long ? color.lime : color.blue, title="rsi", linewidth=2, style=plot.style_line)
// h1_long=plot(RSI_VWAP_overBought_long, color = color.gray, style=plot.style_stepline)
// h2_long=plot(RSI_VWAP_overSold_long, color = color.gray, style=plot.style_stepline)
// fill(r_long,h1_long, color = RSI_VWAP_long > RSI_VWAP_overBought_long ? color.red : na, transp = 60)
// fill(r_long,h2_long, color = RSI_VWAP_long < RSI_VWAP_overSold_long ? color.lime : na, transp = 60)

// Plotting SHORT, Put overlay=false
// r_short=plot(RSI_VWAP_short, color = RSI_VWAP_short > RSI_VWAP_overBought_short ? color.red : RSI_VWAP_short < RSI_VWAP_overSold_short ? color.lime : color.blue, title="rsi", linewidth=2, style=plot.style_line)
// h1_short=plot(RSI_VWAP_overBought_short, color = color.gray, style=plot.style_stepline)
// h2_short=plot(RSI_VWAP_overSold_short, color = color.gray, style=plot.style_stepline)
// fill(r_short,h1_short, color = RSI_VWAP_short > RSI_VWAP_overBought_short ? color.red : na, transp = 60)
// fill(r_short,h2_short, color = RSI_VWAP_short < RSI_VWAP_overSold_short ? color.lime : na, transp = 60)


///////  STRATEGY Take Profit / Stop Loss ////////
////// LONG //////

long_tp1_inp = input(4, title='Long Take Profit 1 %', step=0.1)/100
long_tp1_qty = input(15, title="Long Take Profit 1 Qty", step=1)

long_tp2_inp = input(12, title='Long Take Profit 2%', step=0.1)/100
long_tp2_qty = input(100, title="Long Take Profit 2 Qty", step=1)

long_sl_inp = input(3.3, title='Long Stop Loss %', step=0.1)/100

long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)
long_take_level_2 = strategy.position_avg_price * (1 + long_tp2_inp)
long_stop_level = strategy.position_avg_price * (1 - long_sl_inp)

////// SHORT //////
short_tp1_inp = input(3.2, title='Short Take Profit 1 %', step=0.1)/100
short_tp1_qty = input(20, title="Short Take Profit 1 Qty", step=1)

short_tp2_inp = input(5.5, title='Short Take Profit 2%', step=0.1)/100
short_tp2_qty = input(100, title="Short Take Profit 2 Qty", step=1)

short_sl_inp = input(3.2, title='Short Stop Loss %', step=0.1)/100

short_take_level_1 = strategy.position_avg_price * (1 - short_tp1_inp)
short_take_level_2 = strategy.position_avg_price * (1 - short_tp2_inp)
short_stop_level = strategy.position_avg_price * (1 + short_sl_inp)


///Strategy_Conditions
/// LONG ///
entry_long =(crossover(RSI_VWAP_long, RSI_VWAP_overSold_long) and leadLine2<leadLine1) or (crossunder(mf,mfi_lower) and leadLine2<leadLine1)
entry_price_long=valuewhen(entry_long,close,0)
exit_long =crossunder(RSI_VWAP_long, RSI_VWAP_overBought_long)

/// SHORT ///

entry_short =crossunder(RSI_VWAP_short, RSI_VWAP_overBought_short) and leadLine2>leadLine1 or (crossover(mf,mfi_upper) and leadLine2>leadLine1)
entry_price_short=valuewhen(entry_short,close,0)
exit_short =crossover(RSI_VWAP_short, RSI_VWAP_overSold_short)

////// BACKTEST PERIOD ///////
testStartYear = input(2019, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(9999, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false

if testPeriod()

    if strategy.position_size == 0 or strategy.position_size > 0 and rvi>benchmark
        strategy.entry("long", true, when = entry_long, comment="INSERT ENTER LONG COMMENT")
    strategy.exit("TP1","long", qty_percent=long_tp1_qty, limit=long_take_level_1)
    strategy.exit("TP2","long", qty_percent=long_tp2_qty, limit=long_take_level_2, comment ="INSERT EXIT LONG COMMENT")
    strategy.close("long", when=exit_long, comment = "INSERT EXIT LONG COMMENT")

    if strategy.position_size == 0 or strategy.position_size < 0 and rvi>benchmark
        strategy.entry("short", false, when = entry_short, comment="INSERT ENTER SHORT COMMENT")
    strategy.exit("TP1","short", qty_percent=short_tp1_qty, limit=short_take_level_1)
    strategy.exit("TP2","short", qty_percent=short_tp2_qty, limit=short_take_level_2, comment = "INSERT EXIT SHORT COMMENT")
    strategy.close("short", when=exit_short, comment = "INSERT EXIT SHORT COMMENT")


// LONG POSITION
plot(strategy.position_size > 0 ? long_take_level_1 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="1st Long Take Profit")
plot(strategy.position_size > 0 ? long_take_level_2 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="2nd Long Take Profit")
plot(strategy.position_size > 0 ? long_stop_level : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Stop Loss")


// SHORT POSITION
plot(strategy.position_size < 0 ? short_take_level_1 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="1st Short Take Profit")
plot(strategy.position_size < 0 ? short_take_level_2 : na, style=plot.style_linebr, color=color.green, linewidth=1, title="2nd Short Take Profit")
plot(strategy.position_size < 0 ? short_stop_level : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Stop Loss")

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