R-Breaker Futures Strategy with Pivot Levels and Intraday Reversals
Summary
This example describes an R-Breaker strategy for a futures contract, using the prior daily bar to calculate a central pivot and six surrounding trigger levels. While flat, it enters long or short when price crosses the corresponding outer breakout level. While holding a position, it watches for price to first reach an observation level and then cross a reversal level, at which point it reverses direction. A fixed price-distance stop closes the position, and the example maintains a target net position through an order-management task.
The document provides formulas and implementation logic, but no performance results or backtest evidence. It is a demonstration rather than a validated trading system. Its example uses a single contract and fixed position sizes, and the stop distance and levels may need adjustment for contract characteristics, volatility, execution costs, and market conditions. It also carries positions across sessions, so overnight exposure is part of the approach.
Key ideas
- Prior-day high, low, and close determine a pivot and six R-Breaker trigger levels.
- A flat position enters on a break beyond the outer buy or sell threshold.
- A held position can reverse after price reaches an observation level and crosses a reversal threshold.
- The example uses a fixed price stop and target net position sizes.
- The document supplies strategy logic but no evidence of profitability.
Tags
Full text
# rbreaker
# rbreaker
## Source (Apache-2.0)
```python
#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = 'limin'
'''
R-Breaker策略(隔夜留仓) (难度：初级)
参考: https://www.shinnytech.com/blog/r-breaker
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
SYMBOL = "SHFE.au2006" # 合约代码
STOP_LOSS_PRICE = 10 # 止损点(价格)
def get_index_line(klines):
'''计算指标线'''
high = klines.high.iloc[-2] # 前一日的最高价
low = klines.low.iloc[-2] # 前一日的最低价
close = klines.close.iloc[-2] # 前一日的收盘价
pivot = (high + low + close) / 3 # 枢轴点
b_break = high + 2 * (pivot - low) # 突破买入价
s_setup = pivot + (high - low) # 观察卖出价
s_enter = 2 * pivot - low # 反转卖出价
b_enter = 2 * pivot - high # 反转买入价
b_setup = pivot - (high - low) # 观察买入价
s_break = low - 2 * (high - pivot) # 突破卖出价
print("已计算新标志线, 枢轴点: %f, 突破买入价: %f, 观察卖出价: %f, 反转卖出价: %f, 反转买入价: %f, 观察买入价: %f, 突破卖出价: %f"
% (pivot, b_break, s_setup, s_enter, b_enter, b_setup, s_break))
return pivot, b_break, s_setup, s_enter, b_enter, b_setup, s_break
api = TqApi(auth=TqAuth("快期账户", "账户密码"))
quote = api.get_quote(SYMBOL)
klines = api.get_kline_serial(SYMBOL, 24 * 60 * 60) # 86400: 使用日线
position = api.get_position(SYMBOL)
target_pos = TargetPosTask(api, SYMBOL)
target_pos_value = position.pos_long - position.pos_short # 目标净持仓数
open_position_price = position.open_price_long if target_pos_value > 0 else position.open_price_short # 开仓价
pivot, b_break, s_setup, s_enter, b_enter, b_setup, s_break = get_index_line(klines) # 七条标准线
while True:
target_pos.set_target_volume(target_pos_value)
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线,则重新计算7条指标线
pivot, b_break, s_setup, s_enter, b_enter, b_setup, s_break = get_index_line(klines)
'''交易规则'''
if api.is_changing(quote, "last_price"):
print("最新价: ", quote.last_price)
# 开仓价与当前行情价之差大于止损点则止损
if (target_pos_value > 0 and open_position_price - quote.last_price >= STOP_LOSS_PRICE) or \
(target_pos_value < 0 and quote.last_price - open_position_price >= STOP_LOSS_PRICE):
target_pos_value = 0 # 平仓
# 反转:
if target_pos_value > 0: # 多头持仓
if quote.highest > s_setup and quote.last_price < s_enter:
# 多头持仓,当日内最高价超过观察卖出价后，
# 盘中价格出现回落，且进一步跌破反转卖出价构成的支撑线时，
# 采取反转策略，即在该点位反手做空
print("多头持仓,当日内最高价超过观察卖出价后跌破反转卖出价: 反手做空")
target_pos_value = -3 # 做空
open_position_price = quote.last_price
elif target_pos_value < 0: # 空头持仓
if quote.lowest < b_setup and quote.last_price > b_enter:
# 空头持仓，当日内最低价低于观察买入价后，
# 盘中价格出现反弹，且进一步超过反转买入价构成的阻力线时，
# 采取反转策略，即在该点位反手做多
print("空头持仓,当日最低价低于观察买入价后超过反转买入价: 反手做多")
target_pos_value = 3 # 做多
open_position_price = quote.last_price
# 突破:
elif target_pos_value == 0: # 空仓条件
if quote.last_price > b_break:
# 在空仓的情况下，如果盘中价格超过突破买入价，
# 则采取趋势策略，即在该点位开仓做多
print("空仓,盘中价格超过突破买入价: 开仓做多")
target_pos_value = 3 # 做多
open_position_price = quote.last_price
elif quote.last_price < s_break:
# 在空仓的情况下，如果盘中价格跌破突破卖出价，
# 则采取趋势策略，即在该点位开仓做空
print("空仓,盘中价格跌破突破卖出价: 开仓做空")
target_pos_value = -3 # 做空
open_position_price = quote.last_price
```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.