Daily Four-Price Breakout Trading with Intraday Exit Rules
Summary
This example implements a daily breakout approach for a futures contract. It uses the previous session’s high and low as upper and lower trigger levels. A move above the high sets a long target, while a move below the low sets a short target. The example sets each target to three contracts and updates the levels when a new daily bar begins.
The strategy also closes a position if price crosses back through the day’s opening price after reaching either breakout level. It imposes a scheduled end-of-day exit and shuts down the trading connection afterward. The document provides implementation logic, not backtest results or evidence of profitability. It is a demonstration tied to a particular contract and trading schedule; it does not specify broader position-sizing rules, transaction-cost assumptions, or tests across markets. Traders would need to assess those factors and adapt the example before drawing conclusions about its performance.
Key ideas
- The previous session’s high and low define the daily breakout levels.
- A move beyond either level triggers a long or short target position.
- A return through the session open after a breakout condition prompts a close.
- The example closes positions at a scheduled time near the end of the trading day.
- The document presents sample implementation logic without performance evidence.
Tags
Full text
# fairy_four_price
# fairy_four_price
## Source (Apache-2.0)
```python
#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = 'limin'
'''
菲阿里四价 策略(日内突破策略, 在每日收盘前对所持合约进行平仓)
参考: https://www.shinnytech.com/blog/fairy-four-price/
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 datetime import datetime
import time
symbol = "SHFE.ni2012" # 合约代码
close_hour, close_minute = 14, 50 # 平仓时间
api = TqApi(auth=TqAuth("快期账户", "账户密码")) # 使用模拟帐号直连行情和交易服务器
quote = api.get_quote(symbol) # 获取指定合约的盘口行情
klines = api.get_kline_serial(symbol, 24 * 60 * 60) # 获取日线
position = api.get_position(symbol) # 持仓信息
target_pos = TargetPosTask(api, symbol) # 目标持仓
top_rail = klines.high.iloc[-2] # 上轨: 昨日高点
bottom_rail = klines.low.iloc[-2] # 下轨: 昨日低点
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:", klines.close.iloc[-2], ",今日开盘价:", klines.open.iloc[-1])
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 如果产生一根新日线 (即到达下一个交易日): 重新获取上下轨
top_rail = klines.high.iloc[-2]
bottom_rail = klines.low.iloc[-2]
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:", klines.close.iloc[-2], ",今日开盘价:", klines.open.iloc[-1])
if api.is_changing(quote, "last_price"): # 如果行情最新价发生变化
print("当前最新价", quote.last_price)
# 开仓突破
if quote.last_price > top_rail and position.pos_long == 0: # 如果价格突破上轨: 买入开仓
print("最新价:", quote.last_price, ", 价格突破上轨,买入开仓")
target_pos.set_target_volume(3) # 设置目标持仓手数，将指定合约调整到目标头寸
elif quote.last_price < bottom_rail and position.pos_short == 0: # 如果价格跌破下轨: 卖出开仓
print("最新价:", quote.last_price, ", 价格跌破下轨, 卖出开仓")
target_pos.set_target_volume(-3)
# 平仓止损: 当价格 向上突破上轨 或 向下突破下轨 后, 再次回破当日开盘价
if (quote.highest > top_rail and quote.last_price <= quote.open) or (
quote.lowest < bottom_rail and quote.last_price >= quote.open):
print("平仓止损")
target_pos.set_target_volume(0)
if api.is_changing(quote, "datetime"):
now_time = datetime.strptime(quote.datetime, "%Y-%m-%d %H:%M:%S.%f") # 获取当前的行情时间
if now_time.hour == close_hour and now_time.minute >= close_minute: # 到达平仓时间: 平仓
print("临近本交易日收盘: 平仓")
target_pos.set_target_volume(0)
deadline = time.time() + 60 # 设置截止时间为当前时间的60秒以后
while api.wait_update(deadline=deadline): # 等待60秒
pass
api.close() # 关闭api
break # 退出while循环
```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.