mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-27 18:17:44 +00:00
xiaochuan
66 lines
2.7 KiB
Python
66 lines
2.7 KiB
Python
from typing import List, Optional
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import pandas as pd
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from datetime import datetime
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from .base import Strategy, SignalEvent
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from .base import Position
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from ..data.base import MarketDataEvent
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class MACrossoverStrategy(Strategy):
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"""
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简单移动平均交叉策略
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快线上穿慢线做多，下穿做空
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"""
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def __init__(self, instrument: str, fast_period: int = 50, slow_period: int = 200, position_size: float = 1.0):
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super().__init__(instrument, position_size)
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self.fast_period = fast_period
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self.slow_period = slow_period
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async def on_data(self, event: MarketDataEvent) -> Optional[SignalEvent]:
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if self.historical_data is None:
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return None
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# 更新收盘价
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close = event.data.get('close') or event.data.get('mid')
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self.historical_data.loc[event.timestamp] = {
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'open': event.data.get('open', close),
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'high': event.data.get('high', close),
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'low': event.data.get('low', close),
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'close': close
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}
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if len(self.historical_data) < self.slow_period:
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return None
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fast = self.historical_data['close'].rolling(self.fast_period).mean()
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slow = self.historical_data['close'].rolling(self.slow_period).mean()
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if fast.iloc[-2] <= slow.iloc[-2] and fast.iloc[-1] > slow.iloc[-1]:
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return SignalEvent(
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instrument=self.instrument,
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timestamp=event.timestamp,
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signal_type="LONG",
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direction="BUY",
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strength=self.position_size
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)
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if fast.iloc[-2] >= slow.iloc[-2] and fast.iloc[-1] < slow.iloc[-1]:
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return SignalEvent(
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instrument=self.instrument,
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timestamp=event.timestamp,
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signal_type="SHORT",
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direction="SELL",
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strength=self.position_size
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)
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return None
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async def calculate_signals(self, data: pd.DataFrame) -> List[SignalEvent]:
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signals = []
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self.historical_data = data.copy()
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fast = data['close'].rolling(self.fast_period).mean()
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slow = data['close'].rolling(self.slow_period).mean()
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for i in range(self.slow_period, len(data)):
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ts = data.index[i]
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if fast.iloc[i-1] <= slow.iloc[i-1] and fast.iloc[i] > slow.iloc[i]:
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signals.append(SignalEvent(instrument=self.instrument, timestamp=ts, signal_type="LONG", direction="BUY", strength=self.position_size))
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if fast.iloc[i-1] >= slow.iloc[i-1] and fast.iloc[i] < slow.iloc[i]:
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signals.append(SignalEvent(instrument=self.instrument, timestamp=ts, signal_type="SHORT", direction="SELL", strength=self.position_size))
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return signals
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