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strategies/ma_cross.py

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+import MetaTrader5 as mt5
+import pandas as pd
+from utils import get_rates, close_all, send_order
+from logger import logger
+
+
+class Strategy:
+    def __init__(self):
+        self.symbol = "XAUUSD"
+        self.timeframe = mt5.TIMEFRAME_M1
+        self.fast_ma_period = 5
+        self.slow_ma_period = 20
+
+    def _calculate_indicators(self, df):
+        """
+        计算技术指标
+        """
+        df['fast_ma'] = df['close'].rolling(self.fast_ma_period).mean()
+        df['slow_ma'] = df['close'].rolling(self.slow_ma_period).mean()
+        return df
+
+    def generate_signal(self):
+        """
+        均线交叉策略实盘：
+        短期均线上穿长期均线买入，下穿卖出。
+        """
+        rates = get_rates(self.symbol, self.timeframe, self.slow_ma_period + 30)
+        if rates is None or len(rates) < self.slow_ma_period:
+            return 0
+        df = pd.DataFrame(rates)
+        df = self._calculate_indicators(df)
+
+        if df['fast_ma'].iloc[-2] > df['slow_ma'].iloc[-2] and df['fast_ma'].iloc[-3] <= df['slow_ma'].iloc[-3]:
+            logger.info(f"短期均线上穿长期均线，产生买入信号: {self.symbol}")
+            return 1
+        elif df['fast_ma'].iloc[-2] < df['slow_ma'].iloc[-2] and df['fast_ma'].iloc[-3] >= df['slow_ma'].iloc[-3]:
+            logger.info(f"短期均线下穿长期均线，产生卖出信号: {self.symbol}")
+            return -1
+        return 0
+
+    def run_backtest(self, df):
+        """
+        均线交叉回测：
+        短期均线和长期均线交叉产生信号
+        """
+        df = df.copy()
+        df = self._calculate_indicators(df)
+
+        signals = pd.Series(0, index=df.index)
+        # 从 slow_ma_period 开始循环，避免早期数据 NaN 问题
+        for i in range(self.slow_ma_period, len(df)):
+            if df['fast_ma'].iloc[i-1] > df['slow_ma'].iloc[i-1] and df['fast_ma'].iloc[i-2] <= df['slow_ma'].iloc[i-2]:
+                signals.iat[i] = 1
+            elif df['fast_ma'].iloc[i-1] < df['slow_ma'].iloc[i-1] and df['fast_ma'].iloc[i-2] >= df['slow_ma'].iloc[i-2]:
+                signals.iat[i] = -1
+        return signals