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重构项目架构，新增 MT5 代理服务

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- 重构核心模块：DataProvider 依赖注入、RiskController 门面、信号注册表
- 新增 FastAPI 代理服务 (run/server.py)，支持局域网远程调用 MT5
- 新增 RemoteDataProvider + AttrDict，远端无缝替代 LiveDataProvider
- 新增序列化模块，MT5 对象转 JSON 兼容格式
- 重构入口点至 run/ 包，支持 python -m run.realtime/server/backtest/optimize
- 更新 CLAUDE.md 文档

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Co-Authored-By: Claude <noreply@anthropic.com>
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This commit is contained in:
silencesdg
2026-05-11 12:00:45 +08:00
parent e8226edd96
commit 4cb4f4a15e
46 changed files with 2993 additions and 2279 deletions
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config.py
+81 -96
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@@ -1,19 +1,23 @@
# MT5 代理服务配置
SERVER_HOST = "0.0.0.0"
SERVER_PORT = 5555
# 远端客户端配置（迁移到其他电脑时填写 MT5 机器的 IP）
REMOTE_SERVER_HOST = "127.0.0.1"
REMOTE_SERVER_PORT = 5555
# 交易配置
SYMBOL = "XAUUSD"
INTERVAL = 60 # 秒
INITIAL_CAPITAL = 20000 # 初始资金
SPREAD = 32 # 点差（点数）,买卖合起来的总共点差成本
SYMBOL = "XAUUSDz"
INITIAL_CAPITAL = 1937 # 初始资金（2026-05-11 实盘余额）
# 时间配置
TIMEFRAME = 1# M1 (1分钟图) - MT5常量值
# 回测时间范围 (格式: "YYYY-MM-DD")
# 注意：这些日期需要确保在MT5服务器上有可用数据
BACKTEST_START_DATE = "2025-05-01"
BACKTEST_END_DATE = "2025-08-01"
# 优化器时间范围 (格式: "YYYY-MM-DD")
# 注意：确保与回测时间不重叠
OPTIMIZER_START_DATE = "2025-04-01"
OPTIMIZER_END_DATE = "2025-05-01"
@@ -22,7 +26,7 @@ USE_DATE_RANGE = False # 设置为False可强制使用数据量模式
# 兼容性配置 (如果日期配置不可用，则使用数据量)
BACKTEST_COUNT = 30000 # 回测数据量
OPTIMIZER_COUNT = 15000 # 优化器数据量
OPTIMIZER_COUNT = 50000 # 优化器数据量
RISK_CONFIG_CONST = {
'enable_time_based_exit': True
@@ -74,23 +78,23 @@ DATA_CONFIG = {
# 遗传算法优化器配置
GENETIC_OPTIMIZER_CONFIG = {
# 算法参数
"population_size": 200, # 种群大小
"generations": 50, # 进化代数
"population_size": 50, # 种群大小
"generations": 10, # 进化代数
"crossover_probability": 0.7, # 交叉概率
"mutation_probability": 0.3, # 变异概率
# 选择算法参数
"tournament_size": 3, # 锦标赛选择大小
# 变异算法参数
"mutation_mu": 0, # 变异均值
"mutation_sigma": 0.1, # 变异标准差
"mutation_indpb": 0.1, # 变异概率（每个基因）
# 并行处理
"enable_multiprocessing": True, # 启用多进程
"processes": None, # 进程数，None表示自动检测
# 输出控制
"verbose": True, # 详细输出
"save_generation_info": True, # 保存代数信息
@@ -103,131 +107,113 @@ GENETIC_OPTIMIZER_CONFIG = {
此处下面所有参数，都将进入优化器进行优化
'''
# 信号阈值配置
# 信号阈值配置（优化器结果 2026-05-10，5万根M1数据）
SIGNAL_THRESHOLDS = {
"buy_threshold": 1.5, # 买入信号阈值 (优化后)
"sell_threshold": -0.87 # 卖出信号阈值 (优化后)
"buy_threshold": 1.344,
"sell_threshold": -2.980
}
# 风险管理参数
# 风险管理参数（优化器结果 2026-05-10，5万根M1数据）
RISK_CONFIG = {
"stop_loss_pct": -0.01, # 固定止损：亏损1% (优化后)
"profit_retracement_pct": 0.1, # 利润回撤10%止盈 (优化后)
"min_profit_for_trailing": 0.01, # 追踪止损激活阈值：利润0.1% (降低阈值以激活追踪止损)
"take_profit_pct": 0.001, # 固定止盈：盈利0.1% (优化后)
"max_position_size": 1, # 最大仓位100%
"max_daily_loss": -0.3, # 最大日亏损30%
"max_holding_minutes": 140, # 持仓超过140分钟 (优化后)
"min_profit_for_time_exit": 0.01, # 且盈利未达到0.1%则平仓 (优化后)
"stop_loss_pct": -0.046,
"profit_retracement_pct": 0.070,
"min_profit_for_trailing": 0.009,
"take_profit_pct": 0.246,
"max_daily_loss": -0.3,
"max_holding_minutes": 133,
"min_profit_for_time_exit": 0.010,
"cooldown_bars": 30
}
# 市场状态分析参数
MARKET_STATE_CONFIG = {
"trend_period": 44,
"retracement_tolerance": 0.1382775008306345,
"volume_period": 13,
"volume_ma_period": 12,
"trend_period": 24,
"retracement_tolerance": 0.425,
"volume_period": 21,
"volume_ma_period": 12
}
# 策略参数配置 (从优化器中提取的优化参数)
# 策略参数配置（优化器结果 2026-05-10，5万根M1数据）
STRATEGY_CONFIG = {
# MACrossStrategy 参数
"ma_cross": {
"short_window": 5,
"long_window": 39,
"short_window": 12,
"long_window": 30
},
# RSIStrategy 参数
"rsi": {
"period": 22,
"overbought": 80,
"oversold": 24,
"period": 21,
"overbought": 75,
"oversold": 26
},
# BollingerStrategy 参数
"bollinger": {
"period": 10,
"std_dev": 2.8916513144581044,
"period": 20,
"std_dev": 2.162
},
# MACDStrategy 参数
"macd": {
"fast_ema": 17,
"slow_ema": 22,
"signal_period": 13,
"fast_ema": 16,
"slow_ema": 34,
"signal_period": 12
},
# MeanReversionStrategy 参数
"mean_reversion": {
"period": 40,
"std_dev": 2.917216289407233,
"period": 29,
"std_dev": 2.149
},
# MomentumBreakoutStrategy 参数
"momentum_breakout": {
"period": 27,
"period": 15,
"momentum_period": 17
},
# KDJStrategy 参数
"kdj": {
"period": 6,
"period": 21
},
# TurtleStrategy 参数
"turtle": {
"period": 16,
"period": 42
},
# DailyBreakoutStrategy 参数
"daily_breakout": {
"bars_count": 807,
"bars_count": 746
},
# WaveTheoryStrategy 参数
"wave_theory": {
"ema_short": 3,
"ema_medium": 15,
"ema_long": 36,
"wave_period": 28,
"ema_medium": 16,
"ema_long": 26,
"wave_period": 32,
"range_period": 30,
"adx_period": 21,
"momentum_period": 13,
"range_threshold": -0.02028040971155598,
"adx_threshold": 22,
},
"adx_period": 23,
"momentum_period": 10,
"range_threshold": 0.002,
"adx_threshold": 23
}
}
# 市场趋势判断权重配置
TREND_INDICATOR_WEIGHTS = {
"price_breakout": 0.03552729699860058, # 价格突破权重
"volume_confirmation": 0.2564191814903339, # 成交量确认权重
"momentum oscillator": 0.48690789892001296, # 动量震荡指标权重
"moving_average": 0.3549274308680269, # 移动平均线权重
"price_breakout": -0.0949,
"volume_confirmation": 0.5277,
"momentum oscillator": 0.3677,
"moving_average": 0.1506
}
# 趋势判断阈值
TREND_THRESHOLDS = {
"strong_trend": 0.24063407379490956, # 强趋势阈值
"weak_trend": 0.3708545035763192, # 弱趋势阈值
"volume_spike": 1.7781348694952452, # 成交量突增倍数
"oversold": 29, # 超卖阈值 (RSI)
"overbought": 69, # 超买阈值 (RSI)
"strong_trend": 0.4182,
"weak_trend": 0.2164,
"volume_spike": 1.5843,
"oversold": 24,
"overbought": 80
}
# 动态权重配置（经过优化器优化的最佳权重）
# 动态权重配置（优化器结果 2026-05-10，5万根M1数据）
DEFAULT_WEIGHTS = {
"ma_cross": 0.44428771408324463,
"rsi": 1.6518277343219148,
"bollinger": 0.6014474871460991,
"mean_reversion": 0.04509729271515517,
"momentum_breakout": 1.0768245883204248,
"macd": 0.8909161638775971,
"kdj": 1.095784002572773,
"turtle": 1.7942934575029192,
"daily_breakout": 2.4237777692491713,
"wave_theory": 0.7354173414675755,
"ma_cross": 0.809,
"rsi": 1.141,
"bollinger": 0.389,
"mean_reversion": 1.106,
"momentum_breakout": 0.147,
"macd": 1.181,
"kdj": 1.525,
"turtle": 0.559,
"daily_breakout": 1.846,
"wave_theory": 1.361
}
# 市场状态策略权重配置
@@ -273,7 +259,6 @@ MARKET_STATE_WEIGHTS = {
# 市场趋势置信度阈值配置
CONFIDENCE_THRESHOLDS = {
"high_confidence": 0.941049792261965, # 高置信度阈值
"medium_confidence": 0.8881796011658835, # 中等置信度阈值
"high_confidence": 0.8474,
"medium_confidence": 0.4964
}