Opening-Range Breakout Strategy

Article Strategy library · Author: Myquant

Summary

This intraday strategy sets an upper and lower range from an early session bar, then watches for price to break beyond that range. The code also compares the first bar’s opening price with the prior daily close to decide whether to enable a long or short setup. A trade is opened only when price crosses the corresponding range boundary and the strategy is flat. Positions are closed after a configured end-of-day time.

The document is implementation code rather than a performance study: it provides no backtest results or discussion of transaction costs. The position size is fixed in the code, and the described logic includes no protective stop or reversal exit before the scheduled close. The opening price comparisons, boundary break, and time-based liquidation form the core method; their effectiveness depends on the configured thresholds, session times, instrument, and execution conditions.

Key ideas

The strategy defines an intraday upper and lower boundary from an early bar.
The opening price relative to the previous daily close enables a directional setup.
A long or short position opens after price breaks the enabled range boundary while flat.
The code closes an open position after a configured end-of-day time.
The document supplies no performance evidence or protective stop rule.

Tags

Futures Breakout Execution Risk management Position sizing

Full text

# SkyPark


# SkyPark









## Source (Apache-2.0)

```python
# encoding: utf-8
from gmsdk.api import StrategyBase
from gmsdk import md
from gmsdk.enums import *
import arrow
import time

# 每次开仓量
OPEN_VOL = 5


class SkyPark(StrategyBase):
    def __init__(self, *args, **kwargs):
        super(SkyPark, self).__init__(*args, **kwargs)
        # 上、下轨
        self.upr = None
        self.dwn = None

        # 开仓标识
        self.open_long_flag = False
        self.open_short_flag = False

        # 持仓量
        self.hoding = 0;

        self.__get_param()
        self.__init_data()

    def __get_param(self):
        '''
        获取配置参数
        '''
        # 交易证券代码
        self.trade_symbol = self.config.get('para', 'trade_symbol')
        pos = self.trade_symbol.find('.')
        self.exchange = self.trade_symbol[:pos]
        self.sec_id = self.trade_symbol[pos + 1:]


        FMT = '%s %s'
        today = arrow.now().date()

        # 第一根K线时间
        first_kline_time = self.config.get('para', 'first_kline_time')
        et = FMT % (today.isoformat(), first_kline_time)
        self.first_kline_time_str = et

        first_kline_time1 = self.config.get('para', 'first_kline_time1')
        et = FMT % (today.isoformat(), first_kline_time1)
        self.first_kline_time_str1 = et
        # 平仓时间
        end_time = self.config.get('para', 'end_time')
        et = FMT % (today.isoformat(), end_time)
        self.end_trading = arrow.get(et).replace(tzinfo='local').timestamp
        print("end time %s" % (et))

        # 开多阀值
        self.open_long_size = self.config.getfloat('para', 'open_long_size')
        # 开空阀值
        self.open_short_size = self.config.getfloat('para', 'open_short_size')

    def __init_data(self):
        dailybars = self.get_last_dailybars(self.trade_symbol)
        if len(dailybars) > 0:
            self.pre_close = dailybars[0].close

        # 第一根K线数据
        while self.upr is None or self.dwn is None:
            print('waiting for get the first K line...')
            bars = self.get_bars(self.trade_symbol, 60, self.first_kline_time_str, self.first_kline_time_str1)
            if len(bars) > 0:
                self.upr = bars[0].high  # 上轨
                self.dwn = bars[0].low  # 下轨
                print('upr:%s, dwn: %s' % (self.upr, self.dwn))

                if bars[0].open > self.pre_close * (1 + self.open_long_size):
                    self.open_long_flag = True  # 开多仓标识
                elif bars[0].open > self.pre_close * (1 - self.open_short_size):
                    self.open_short_flag = True  # 开空仓标识
                else:
                    print('Do not meet the trading condition, today do not trading.')
                break

            time.sleep(1)

    def on_tick(self, tick):
        # 最新报价
        self.close = tick.last_price

    def on_bar(self, bar):
        '''
        bar周期数据事件
        '''
        if self.open_long_flag and self.close > self.upr and 0 == self.hoding:
            self.open_long(self.exchange, self.sec_id, 0, OPEN_VOL)
            self.hoding += OPEN_VOL
            print('open long: last price %s, vol %s' % (self.close, OPEN_VOL))
        elif self.open_short_flag and self.close < self.dwn and 0 == self.hoding:
            self.open_short(self.exchange, self.sec_id, 0, OPEN_VOL)
            self.hoding += OPEN_VOL
            print('open short: last price %s, vol %s' % (self.close, OPEN_VOL))

        # 日内平仓
        if bar.utc_time > self.end_trading:
            if self.open_long_flag and self.hoding > 0:
                self.close_long(self.exchange, self.sec_id, 0, self.hoding)
                self.hoding = 0
                self.open_long_flag = False
                print('end trading time close long, vol: %s' % self.hoding)
            elif self.open_short_flag and self.hoding > 0:
                self.close_short(self.exchange, self.sec_id, 0, self.hoding)
                self.hoding = 0
                self.open_short_flag = False
                print('end trading time close short, vol: %s' % self.hoding)


if __name__ == '__main__':
    sky_park = SkyPark(config_file='SkyPark.ini')
    ret = sky_park.run()
print(sky_park.get_strerror(ret))
```

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.

Intraday Opening-Range Breakout with Gap-Conditioned Direction

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