R-Breaker Pivot Trading

Article Strategy library · Author: limin

Summary

This R-Breaker example calculates seven daily reference levels from the previous session’s high, low, and close: a pivot, breakout levels, and setup and entry levels for reversals. When flat, it enters long or short if price passes the corresponding breakout level. While holding a position, it looks for a move beyond a setup level followed by a reversal through an entry level, then reverses direction. The example uses a target position of three contracts in either direction.

The code also checks a fixed price stop and closes positions near the end of the trading day. It uses daily bars to update the levels and live quotes for signal checks. No backtest or performance evidence is provided. The example specifies a particular gold futures contract and a ten-point stop, so the settings are instrument-specific; the fixed stop, contract sizing, session timing, and handling of live data require careful adaptation before evaluating another market.

Key ideas

The strategy derives pivot, breakout, setup, and reversal levels from the previous daily bar.
When flat, it trades in the direction of a breakout beyond the outer pivot levels.
A move through a setup level followed by a reversal-level crossing can trigger a position reversal.
The example includes a fixed price stop and closes positions before the daily session ends.
Its sample contract, position size, stop distance, and timing are specific to the example.

Tags

Futures Breakout Trend following Risk management Execution

Full text

# rbreaker2


# rbreaker2









## Source (Apache-2.0)

```python
# !/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 Pivot Levels for Intraday Futures Trading

Summary

Key ideas

Tags