Bollinger Band Breakout Strategy

Code TqSdk

Summary

This example presents a basic futures strategy using daily Bollinger Bands. It calculates the 26-period bands with a parameter of 2, enters long when the latest price rises above the upper band, and enters short when it falls below the lower band. The target position is set to 20 contracts in either direction.

Open positions are closed when price crosses the middle band against the position: below the midline for longs and above it for shorts. The script recalculates the bands when a new daily candle appears and checks entry or exit conditions when the latest price changes. It illustrates a breakout approach with a central-band exit rule, but provides no backtest or performance evidence. It is a functional example rather than a validated trading system; it does not describe stop losses, transaction costs, contract selection, or risk sizing, and its fixed position size may not suit different accounts or markets.

Key ideas

The strategy enters long above the upper Bollinger Band and short below the lower band.
It uses a 26-period Bollinger calculation with a parameter of 2.
A long position exits below the middle band, while a short exits above it.
Band values update on each new daily candle, while price conditions are checked on price changes.
The example specifies fixed target positions and offers no performance or risk validation.

Tags

Futures Breakout Technical indicators Position sizing

Full text

# aberration.py


```py
#!/usr/bin/env python
#  -*- coding: utf-8 -*-
__author__ = "Ringo"

'''
Aberration策略 (难度：初级)
参考: https://www.shinnytech.com/blog/aberration/
注: 该示例策略仅用于功能示范, 实盘时请根据自己的策略/经验进行修改
'''

from tqsdk import TqApi, TqAuth, TargetPosTask
from tqsdk.ta import BOLL

# 设置合约代码
SYMBOL = "DCE.m2105"
api = TqApi(auth=TqAuth("快期账户", "账户密码"))
quote = api.get_quote(SYMBOL)
klines = api.get_kline_serial(SYMBOL, 60 * 60 * 24)
position = api.get_position(SYMBOL)
target_pos = TargetPosTask(api, SYMBOL)


# 使用BOLL指标计算中轨、上轨和下轨，其中26为周期N  ，2为参数p
def boll_line(klines):
    boll = BOLL(klines, 26, 2)
    midline = boll["mid"].iloc[-1]
    topline = boll["top"].iloc[-1]
    bottomline = boll["bottom"].iloc[-1]
    print("策略运行，中轨：%.2f，上轨为:%.2f，下轨为:%.2f" % (midline, topline, bottomline))
    return midline, topline, bottomline


midline, topline, bottomline = boll_line(klines)

while True:
    api.wait_update()
    # 每次生成新的K线时重新计算BOLL指标
    if api.is_changing(klines.iloc[-1], "datetime"):
        midline, topline, bottomline = boll_line(klines)

    # 每次最新价发生变化时进行判断
    if api.is_changing(quote, "last_price"):
        # 判断开仓条件
        if position.pos_long == 0 and position.pos_short == 0:
            # 如果最新价大于上轨，K线上穿上轨，开多仓
            if quote.last_price > topline:
                print("K线上穿上轨，开多仓")
                target_pos.set_target_volume(20)
            # 如果最新价小于轨，K线下穿下轨，开空仓
            elif quote.last_price < bottomline:
                print("K线下穿下轨，开空仓")
                target_pos.set_target_volume(-20)
            else:
                print("当前最新价%.2f,未穿上轨或下轨，不开仓" % quote.last_price)

        # 在多头情况下，空仓条件
        elif position.pos_long > 0:
            # 如果最新价低于中线，多头清仓离场
            if quote.last_price < midline:
                print("最新价低于中线，多头清仓离场")
                target_pos.set_target_volume(0)
            else:
                print("当前多仓，未穿越中线，仓位无变化")

        # 在空头情况下，空仓条件
        elif position.pos_short > 0:
            # 如果最新价高于中线，空头清仓离场
            if quote.last_price > midline:
                print("最新价高于中线，空头清仓离场")
                target_pos.set_target_volume(0)
            else:
                print("当前空仓，未穿越中线，仓位无变化")

```

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.

Bollinger Band Breakout Entries with Midline Exits

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Key ideas

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