Futures Calendar Spread Reversion

Code TqSdk

Summary

The script demonstrates a calendar spread strategy for two nearby equity index futures contracts. It calculates the spread between their closing prices over a rolling window, estimates the mean and standard deviation, and sets upper and lower thresholds two standard deviations from the mean. When the live spread moves beyond a threshold, it opens paired positions in opposite directions across the contracts. It closes the pair when the spread returns to the mean.

The code specifies 15-minute bars, a rolling window of 80 observations, a position size of 20 lots, and a backtest period from December 21, 2020, to January 15, 2021. These are parameter choices, not reported evidence of profitability; the script prints signals and backtest completion but provides no results. It also has no explicit stop loss, transaction cost model, or handling for contract rolls and unequal leg execution. The approach assumes spread deviations will mean-revert, an assumption that may fail if the relationship changes or the contracts become less comparable.

Key ideas

The strategy trades the price difference between near and far futures contracts as a mean-reverting spread.
It estimates a rolling spread mean and standard deviation to define entry thresholds.
A move above the upper boundary triggers selling the near contract and buying the far one; a move below the lower boundary reverses those legs.
The paired position is closed when the spread returns to its estimated mean.
The sample specifies 15-minute bars and an 80-observation window but reports no performance results or explicit stop-loss rule.

Tags

Futures Pairs trading Mean reversion Backtesting

Full text

# stock-future-cross-period-spread.py


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

from datetime import date

import numpy as np
from tqsdk import TqApi, TqAuth, TqBacktest, TargetPosTask, BacktestFinished

# 参数设置
NEAR_CONTRACT = "CFFEX.IH2101"  # 近月合约
FAR_CONTRACT = "CFFEX.IH2102"  # 远月合约
K = 2  # 标准差倍数
WINDOW = 80  # 计算窗口
LOTS = 20  # 交易手数
START_DATE = date(2020, 12, 21)  # 回测开始日期
END_DATE = date(2021, 1, 15)  # 回测结束日期

# 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"))

# 订阅行情
near_quote = api.get_quote(NEAR_CONTRACT)
far_quote = api.get_quote(FAR_CONTRACT)
near_klines = api.get_kline_serial(NEAR_CONTRACT, 15 * 60, WINDOW * 2)  # 15分钟K线
far_klines = api.get_kline_serial(FAR_CONTRACT, 15 * 60, WINDOW * 2)

# 创建目标持仓任务
near_pos = TargetPosTask(api, NEAR_CONTRACT)
far_pos = TargetPosTask(api, FAR_CONTRACT)

# 持仓状态: 0-无持仓, 1-多价差(买近卖远), -1-空价差(卖近买远)
position_state = 0

print(f"策略启动: {NEAR_CONTRACT}-{FAR_CONTRACT} 跨期套利")
print(f"参数设置: K={K}倍标准差, 窗口={WINDOW}, 交易手数={LOTS}手")

try:
    while True:
        api.wait_update()

        # 检查K线是否更新
        if api.is_changing(near_klines) or api.is_changing(far_klines):
            # 确保有足够的数据
            if len(near_klines) < WINDOW or len(far_klines) < WINDOW:
                continue

            # 计算价差指标
            near_close = near_klines.close.iloc[-WINDOW:]
            far_close = far_klines.close.iloc[-WINDOW:]
            spread = near_close - far_close

            # 计算均值和标准差
            mean = np.mean(spread)
            std = np.std(spread)
            current_spread = near_quote.last_price - far_quote.last_price

            # 计算上下边界
            upper_bound = mean + K * std
            lower_bound = mean - K * std

            print(f"价差: {current_spread:.2f}, 均值: {mean:.2f}, "
                  f"上界: {upper_bound:.2f}, 下界: {lower_bound:.2f}")

            # 交易逻辑
            if position_state == 0:  # 无持仓状态
                if current_spread > upper_bound:  # 做空价差(卖近买远)
                    near_pos.set_target_volume(-LOTS)
                    far_pos.set_target_volume(LOTS)
                    position_state = -1
                    print(f"开仓: 卖出{LOTS}手{NEAR_CONTRACT}, 买入{LOTS}手{FAR_CONTRACT}")

                elif current_spread < lower_bound:  # 做多价差(买近卖远)
                    near_pos.set_target_volume(LOTS)
                    far_pos.set_target_volume(-LOTS)
                    position_state = 1
                    print(f"开仓: 买入{LOTS}手{NEAR_CONTRACT}, 卖出{LOTS}手{FAR_CONTRACT}")

            elif position_state == 1:  # 持有多价差
                if current_spread >= mean:  # 平仓获利
                    near_pos.set_target_volume(0)
                    far_pos.set_target_volume(0)
                    position_state = 0
                    print("平仓: 价差回到均值，平仓获利")

            elif position_state == -1:  # 持有空价差
                if current_spread <= mean:  # 平仓获利
                    near_pos.set_target_volume(0)
                    far_pos.set_target_volume(0)
                    position_state = 0
                    print("平仓: 价差回到均值，平仓获利")

except BacktestFinished as e:
    api.close()
    print("回测结束")


```

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.

Mean-Reversion Trading for a Futures Calendar Spread

Summary

Key ideas

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