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strategies/daily_breakout.py

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+import MetaTrader5 as mt5
+import pandas as pd
+from datetime import datetime
+from utils import get_rates, has_open_position, close_all, send_order
+from logger import logger
+
+class Strategy:
+    def __init__(self):
+        self.symbol = "XAUUSD"
+        self.timeframe = mt5.TIMEFRAME_M1
+
+    def _calculate_indicators(self, df):
+        """
+        计算日内突破指标
+        """
+        df['time'] = pd.to_datetime(df['time'], unit='s')
+        today = datetime.now().date()
+        day_data = df[df['time'].dt.date == today]
+        if day_data.empty:
+            return df, None, None
+        day_high = day_data['high'].max()
+        day_low = day_data['low'].min()
+        return df, day_high, day_low
+
+    def generate_signal(self):
+        """
+        日内突破策略实盘
+        当价格突破当日最高买入，突破当日最低卖出
+        """
+        rates = get_rates(self.symbol, self.timeframe, 1440) # 24 hours * 60 minutes
+        if rates is None or len(rates) < 2:
+            return 0
+        df = pd.DataFrame(rates)
+        df, day_high, day_low = self._calculate_indicators(df)
+
+        if day_high is None or day_low is None:
+            return 0
+
+        if df['close'].iloc[-2] > day_high:
+            logger.info(f"价格突破当日最高，产生买入信号: {self.symbol}")
+            return 1
+        elif df['close'].iloc[-2] < day_low:
+            logger.info(f"价格突破当日最低，产生卖出信号: {self.symbol}")
+            return -1
+        return 0
+
+    def run_backtest(self, df):
+        """
+        日内突破回测方法
+        计算每个交易日的高低点，突破买卖信号
+        """
+        df = df.copy()
+        df['time'] = pd.to_datetime(df['time'], unit='s')
+
+        signals = pd.Series(0, index=df.index)
+
+        grouped = df.groupby(df['time'].dt.date)
+
+        for date, group in grouped:
+            day_high = group['high'].max()
+            day_low = group['low'].min()
+            for i, row in group.iterrows():
+                if row['close'] > day_high:
+                    signals.loc[i] = 1
+                elif row['close'] < day_low:
+                    signals.loc[i] = -1
+
+        return signals