R-Breaker 交易策略 (难度:初级)

完整策略程序代码

#!/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, 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()
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