Escalator Futures Strategy

Code TqSdk

Summary

This beginner-level example describes a daily-bar futures strategy that combines two moving averages with the close’s position inside recent candle ranges. It opens a long position when price is above both averages and the prior two candles show a shift from closing near the low of the range to closing near the high. The short setup reverses those conditions. The example uses the most recent completed bars for entry signals and sets a target position when a signal appears.

For exits, it places a stop beyond the lower of the two recent lows for a long, or above the higher of the recent highs for a short, with a one-tick buffer. The document supplies implementation code but no backtest, transaction-cost analysis, or evidence of profitability. It does not describe profit-taking or position sizing beyond fixed target volumes, and its moving-average and candle rules may behave differently across contracts and market conditions. The author presents it as a demonstration that requires adaptation before live use.

Key ideas

The strategy uses two moving averages to define the trend context for entries.
Long and short signals depend on a reversal in where consecutive closes fall within their candle ranges.
Stops are placed beyond recent swing lows or highs with a one-tick buffer.
The example uses fixed target position volumes and provides no performance evaluation.

Tags

Futures Trend following Technical indicators Risk management

Full text

# escalator.py


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

'''
自动扶梯 策略 (难度：初级)
参考: https://www.shinnytech.com/blog/escalator/
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 MA

# 设置合约
SYMBOL = "SHFE.rb2012"
# 设置均线长短周期
MA_SLOW, MA_FAST = 8, 40

api = TqApi(auth=TqAuth("快期账户", "账户密码"))
klines = api.get_kline_serial(SYMBOL, 60 * 60 * 24)
quote = api.get_quote(SYMBOL)
position = api.get_position(SYMBOL)
target_pos = TargetPosTask(api, SYMBOL)


# K线收盘价在这根K线波动范围函数


def kline_range(num):
    kl_range = (klines.iloc[num].close - klines.iloc[num].low) / \
               (klines.iloc[num].high - klines.iloc[num].low)
    return kl_range


# 获取长短均线值
def ma_caculate(klines):
    ma_slow = MA(klines, MA_SLOW).iloc[-1].ma
    ma_fast = MA(klines, MA_FAST).iloc[-1].ma
    return ma_slow, ma_fast


ma_slow, ma_fast = ma_caculate(klines)
print("慢速均线为%.2f,快速均线为%.2f" % (ma_slow, ma_fast))

while True:
    api.wait_update()
    # 每次k线更新，重新计算快慢均线
    if api.is_changing(klines.iloc[-1], "datetime"):
        ma_slow, ma_fast = ma_caculate(klines)
        print("慢速均线为%.2f,快速均线为%.2f" % (ma_slow, ma_fast))

    if api.is_changing(quote, "last_price"):
        # 开仓判断
        if position.pos_long == 0 and position.pos_short == 0:
            # 计算前后两根K线在当时K线范围波幅
            kl_range_cur = kline_range(-2)
            kl_range_pre = kline_range(-3)
            # 开多头判断，最近一根K线收盘价在短期均线和长期均线之上，前一根K线收盘价位于K线波动范围底部25%，最近这根K线收盘价位于K线波动范围顶部25%
            if klines.iloc[-2].close > max(ma_slow, ma_fast) and kl_range_pre <= 0.25 and kl_range_cur >= 0.75:
                print("最新价为:%.2f 开多头" % quote.last_price)
                target_pos.set_target_volume(100)

            # 开空头判断，最近一根K线收盘价在短期均线和长期均线之下，前一根K线收盘价位于K线波动范围顶部25%，最近这根K线收盘价位于K线波动范围底部25%
            elif klines.iloc[-2].close < min(ma_slow, ma_fast) and kl_range_pre >= 0.75 and kl_range_cur <= 0.25:
                print("最新价为:%.2f 开空头" % quote.last_price)
                target_pos.set_target_volume(-100)
            else:
                print("最新价位:%.2f ，未满足开仓条件" % quote.last_price)

        # 多头持仓止损策略
        elif position.pos_long > 0:
            # 在两根K线较低点减一跳，进行多头止损
            kline_low = min(klines.iloc[-2].low, klines.iloc[-3].low)
            if klines.iloc[-1].close <= kline_low - quote.price_tick:
                print("最新价为:%.2f,进行多头止损" % (quote.last_price))
                target_pos.set_target_volume(0)
            else:
                print("多头持仓，当前价格 %.2f,多头离场价格%.2f" %
                      (quote.last_price, kline_low - quote.price_tick))

        # 空头持仓止损策略
        elif position.pos_short > 0:
            # 在两根K线较高点加一跳，进行空头止损
            kline_high = max(klines.iloc[-2].high, klines.iloc[-3].high)
            if klines.iloc[-1].close >= kline_high + quote.price_tick:
                print("最新价为:%.2f 进行空头止损" % quote.last_price)
                target_pos.set_target_volume(0)
            else:
                print("空头持仓，当前价格 %.2f,空头离场价格%.2f" %
                      (quote.last_price, kline_high + quote.price_tick))

```

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.

Escalator Futures Strategy Using Moving Averages and Candle Position

Summary

Key ideas

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