A TRIX Crossover Futures Strategy with ATR-Based Exits
Code TqSdk
Summary
This example implements a daily futures strategy around triple-smoothed exponential moving averages. It calculates TRIX and a rolling signal line, then enters long when TRIX crosses above the signal or short when it crosses below. The position is set to a fixed contract quantity, and exits occur at an ATR-scaled stop, an ATR-scaled target, or an opposite crossover. The code also computes a long moving average and declares signal thresholds and maximum holding days, but these do not appear to affect the trading decisions shown.
The script is structured for a specified futures contract and date window using a backtesting API, and it reports prices and trade outcomes. It supplies no backtest performance summary or evidence that the rules are profitable. The stated contract description conflicts with its symbol, and unused parameters and incomplete trade accounting limit confidence in the implementation; results would require careful validation before interpretation.
Key ideas
- The strategy uses triple EMA-based TRIX and a rolling average as its signal line.
- It opens long and short futures positions on signal-line crossovers.
- Stops and profit targets are set as multiples of ATR from the entry price.
- An opposing crossover can close an open position before either price level is reached.
- The calculated long moving average and declared holding and threshold settings are not used in the displayed logic.
- The document provides no performance results, and some implementation details require validation.
Tags
Full text
# TRIX.py
```py
#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = "Chaos"
from datetime import date
import pandas as pd
from tqsdk import TqApi, TqAuth, TqBacktest, TargetPosTask, BacktestFinished
from tqsdk.ta import ATR
# ===== 全局参数设置 =====
SYMBOL = "CFFEX.IC2306" # 黄金期货合约
POSITION_SIZE = 30 # 基础持仓手数
START_DATE = date(2022, 11, 1) # 回测开始日期
END_DATE = date(2023, 4, 30) # 回测结束日期
# TRIX指标参数
TRIX_PERIOD = 12 # TRIX计算周期
SIGNAL_PERIOD = 9 # 信号线计算周期
MA_PERIOD = 60 # 长期移动平均线周期，用于趋势过滤
# 信号阈值参数
SIGNAL_THRESHOLD = 0.05 # TRIX与信号线差值的阈值，避免微小交叉
# 风控参数
ATR_PERIOD = 14 # ATR计算周期
STOP_LOSS_MULTIPLIER = 2.0 # 止损ATR倍数
TAKE_PROFIT_MULTIPLIER = 3.0 # 止盈ATR倍数
MAX_HOLDING_DAYS = 15 # 最大持仓天数
# ===== 全局变量 =====
current_direction = 0 # 当前持仓方向：1=多头，-1=空头，0=空仓
entry_price = 0 # 开仓价格
stop_loss_price = 0 # 止损价格
entry_date = None # 开仓日期
trade_count = 0 # 交易次数
win_count = 0 # 盈利次数
# ===== TRIX指标计算函数 =====
def calculate_trix(close_prices, period):
"""计算TRIX指标和信号线"""
# 第一重EMA
ema1 = close_prices.ewm(span=period, adjust=False).mean()
# 第二重EMA
ema2 = ema1.ewm(span=period, adjust=False).mean()
# 第三重EMA
ema3 = ema2.ewm(span=period, adjust=False).mean()
# 计算TRIX
trix = 100 * (ema3 / ema3.shift(1) - 1)
# 计算信号线
signal = trix.rolling(SIGNAL_PERIOD).mean()
return trix, signal
# ===== 策略开始 =====
print("开始运行TRIX指标期货策略...")
print(f"品种: {SYMBOL}, 回测周期: {START_DATE} - {END_DATE}")
print(f"TRIX参数: 周期={TRIX_PERIOD}, 信号线周期={SIGNAL_PERIOD}")
# 创建API实例
api = TqApi(backtest=TqBacktest(start_dt=START_DATE, end_dt=END_DATE),
auth=TqAuth("快期账户", "快期密码"))
# 订阅合约的K线数据
klines = api.get_kline_serial(SYMBOL, 60 * 60 * 24) # 日线数据
# 创建目标持仓任务
target_pos = TargetPosTask(api, SYMBOL)
try:
while True:
# 等待更新
api.wait_update()
# 如果K线有更新
if api.is_changing(klines.iloc[-1], "datetime"):
# 确保有足够的数据计算指标
if len(klines) < max(TRIX_PERIOD, SIGNAL_PERIOD, MA_PERIOD, ATR_PERIOD) + 10:
continue
# 计算TRIX指标和信号线
klines['trix'], klines['signal'] = calculate_trix(klines.close, TRIX_PERIOD)
# 计算长期移动平均线，用于趋势过滤
klines['ma'] = klines.close.rolling(window=MA_PERIOD).mean()
# 计算ATR用于设置止损
atr_data = ATR(klines, ATR_PERIOD)
# 获取最新数据
current_price = float(klines.close.iloc[-1])
current_datetime = pd.to_datetime(klines.datetime.iloc[-1], unit='ns')
current_trix = float(klines.trix.iloc[-1])
previous_trix = float(klines.trix.iloc[-2])
current_signal = float(klines.signal.iloc[-1])
previous_signal = float(klines.signal.iloc[-2])
current_ma = float(klines.ma.iloc[-1])
current_atr = float(atr_data.atr.iloc[-1])
# 计算TRIX与信号线的差值
trix_diff = current_trix - current_signal
previous_trix_diff = previous_trix - previous_signal
# 输出调试信息
print(f"日期: {current_datetime.strftime('%Y-%m-%d')}, 价格: {current_price:.2f}")
print(f"TRIX: {current_trix:.4f}, 信号线: {current_signal:.4f}, 差值: {trix_diff:.4f}")
# ===== 交易逻辑 =====
# 空仓状态 - 寻找开仓机会
if current_direction == 0:
# 多头开仓条件：TRIX上穿信号线
if previous_trix < previous_signal and current_trix > current_signal:
current_direction = 1
target_pos.set_target_volume(POSITION_SIZE)
entry_price = current_price
stop_loss_price = entry_price - STOP_LOSS_MULTIPLIER * current_atr
take_profit_price = entry_price + TAKE_PROFIT_MULTIPLIER * current_atr
print(f"多头开仓: 价格={entry_price}, 止损={stop_loss_price:.2f}, 止盈={take_profit_price:.2f}")
# 空头开仓条件：TRIX下穿信号线
elif previous_trix > previous_signal and current_trix < current_signal:
current_direction = -1
target_pos.set_target_volume(-POSITION_SIZE)
entry_price = current_price
stop_loss_price = entry_price + STOP_LOSS_MULTIPLIER * current_atr
take_profit_price = entry_price - TAKE_PROFIT_MULTIPLIER * current_atr
print(f"空头开仓: 价格={entry_price}, 止损={stop_loss_price:.2f}, 止盈={take_profit_price:.2f}")
# 多头持仓 - 检查平仓条件
elif current_direction == 1:
# 止损条件
if current_price <= stop_loss_price:
profit_pct = (current_price - entry_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"多头止损平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
# 止盈条件
elif current_price >= take_profit_price:
profit_pct = (current_price - entry_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"多头止盈平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
# 信号平仓：TRIX下穿信号线
elif previous_trix > previous_signal and current_trix < current_signal:
profit_pct = (current_price - entry_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"多头信号平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
# 空头持仓 - 检查平仓条件
elif current_direction == -1:
# 止损条件
if current_price >= stop_loss_price:
profit_pct = (entry_price - current_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"空头止损平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
# 止盈条件
elif current_price <= take_profit_price:
profit_pct = (entry_price - current_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"空头止盈平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
# 信号平仓：TRIX上穿信号线
elif previous_trix < previous_signal and current_trix > current_signal:
profit_pct = (entry_price - current_price) / entry_price * 100
target_pos.set_target_volume(0)
current_direction = 0
print(f"空头信号平仓: 价格={current_price}, 盈亏={profit_pct:.2f}%")
except BacktestFinished as e:
print("回测结束")
api.close()
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.