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重构项目架构,新增 MT5 代理服务
- 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 Generated with [Claude Code](https://claude.ai/code) via [Happy](https://happy.engineering) Co-Authored-By: Claude <noreply@anthropic.com> Co-Authored-By: Happy <yesreply@happy.engineering>
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@@ -38,13 +38,22 @@ class DailyBreakoutStrategy(BaseStrategy):
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def run_backtest(self, df):
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df = df.copy()
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df['time'] = pd.to_datetime(df['time'], unit='s')
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# 'time' 可能是列(来自MT5原始数据)或索引(来自MultiTimeframeDataStore)
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if 'time' in df.columns:
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df['time'] = pd.to_datetime(df['time'], unit='s')
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elif isinstance(df.index, pd.DatetimeIndex):
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df['time'] = df.index
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else:
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df['time'] = pd.to_datetime(df.index, unit='s')
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df['date'] = df['time'].dt.date
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daily_highs = df.groupby('date')['high'].transform('max')
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daily_lows = df.groupby('date')['low'].transform('max')
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# 用前一日的最高/最低价作为突破基准,避免未来数据泄露
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daily_high = df.groupby('date')['high'].max()
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daily_low = df.groupby('date')['low'].min()
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prev_high = df['date'].map(daily_high.shift(1))
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prev_low = df['date'].map(daily_low.shift(1))
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signals = pd.Series(0, index=df.index)
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signals[df['close'] > daily_highs.shift(1)] = 1
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signals[df['close'] < daily_lows.shift(1)] = -1
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signals[df['close'] > prev_high] = 1
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signals[df['close'] < prev_low] = -1
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return signals
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