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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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47 lines
2.0 KiB
Python
47 lines
2.0 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 ..data.base import MarketDataEvent
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class MomentumStrategy(Strategy):
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"""
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简单动量策略：当价格高于N日均线时做多，低于时做空
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"""
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def __init__(self, instrument: str, lookback: int = 20, position_size: float = 1.0):
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super().__init__(instrument, position_size)
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self.lookback = lookback
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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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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.lookback:
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return None
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ma = self.historical_data['close'].rolling(self.lookback).mean()
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if close > ma.iloc[-1] and self.can_open_position():
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return SignalEvent(self.instrument, event.timestamp, "LONG", "BUY", strength=self.position_size)
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if close < ma.iloc[-1] and self.can_open_position():
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return SignalEvent(self.instrument, event.timestamp, "SHORT", "SELL", strength=self.position_size)
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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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ma = data['close'].rolling(self.lookback).mean()
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for i in range(self.lookback, len(data)):
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ts = data.index[i]
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price = data['close'].iloc[i]
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if price > ma.iloc[i-1]:
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signals.append(SignalEvent(self.instrument, ts, "LONG", "BUY", strength=self.position_size))
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elif price < ma.iloc[i-1]:
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signals.append(SignalEvent(self.instrument, ts, "SHORT", "SELL", strength=self.position_size))
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return signals
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