R-Breaker Futures Strategy

Code TqSdk

Summary

This code example implements an intraday R-Breaker strategy for a futures contract. It calculates seven reference levels from the previous daily bar: a pivot, breakout thresholds, setup levels, and reversal entry levels. When flat, price crossing a breakout level opens a directional position. Once in a position, an intraday extreme beyond a setup level followed by a move through the corresponding reversal level triggers a reversal into the opposite direction.

The example also applies a fixed price-distance stop and schedules positions to be closed near the session close, so it does not intentionally hold overnight. Position changes are sent through an automated target-position interface. The code illustrates rule logic and data handling, but provides no backtest, slippage assumptions, contract sizing rationale, or evidence of returns. Its hard-coded contract, thresholds, and close time are example settings; the accompanying note says they require adaptation before live use.

Key ideas

Seven R-Breaker levels are derived from the previous daily bar's high, low, and close.
A flat position enters long or short when price breaks the corresponding outer threshold.
An existing position reverses after price reaches a setup level and crosses its reversal level.
A fixed price-distance stop and near-close flattening rule limit the example's exposure.
The sample provides no backtest or transaction-cost analysis.

Tags

Futures Breakout Mean reversion Technical indicators Risk management

Full text

# rbreaker2.py


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

'''
R-Breaker策略(非隔夜留仓: 在每日收盘前，对所持合约进行平仓)
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 datetime import datetime
from tqsdk import TqApi, TqAuth, TargetPosTask

SYMBOL = "SHFE.au2006"  # 合约代码
CLOSE_HOUR, CLOSE_MINUTE = 14, 50  # 平仓时间
STOP_LOSS_PRICE = 10  # 止损点(价格)

api = TqApi(auth=TqAuth("快期账户", "账户密码"))
print("策略开始运行")


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


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)

    if api.is_changing(quote, "datetime"):
        now = datetime.strptime(quote.datetime, "%Y-%m-%d %H:%M:%S.%f")
        if now.hour == CLOSE_HOUR and now.minute >= CLOSE_MINUTE:  # 到达平仓时间: 平仓
            print("临近本交易日收盘: 平仓")
            target_pos_value = 0  # 平仓
            pivot = b_break = s_setup = s_enter = b_enter = b_setup = s_break = float("nan")  # 修改各指标线的值, 避免平仓后再次触发

    '''交易规则'''
    if api.is_changing(quote, "last_price"):
        print("最新价: %f" % 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.

R-Breaker Futures Strategy with Reversals and Daily Flat Closing

Summary

Key ideas

Tags