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strategies/mean_reversion.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.mean_reversion_period = 20
+        self.mean_reversion_std_dev = 2
+
+    def _calculate_indicators(self, df):
+        """
+        计算均值回归指标
+        """
+        mean = df['close'].rolling(self.mean_reversion_period).mean()
+        std = df['close'].rolling(self.mean_reversion_period).std()
+        df['upper_band'] = mean + self.mean_reversion_std_dev * std
+        df['lower_band'] = mean - self.mean_reversion_std_dev * std
+        return df
+
+    def generate_signal(self):
+        """
+        均值回归策略实盘：
+        当价格超过20日均线正负2个标准差买卖。
+        """
+        rates = get_rates(self.symbol, self.timeframe, self.mean_reversion_period + 30)
+        if rates is None or len(rates) < self.mean_reversion_period:
+            return 0
+        df = pd.DataFrame(rates)
+        df = self._calculate_indicators(df)
+
+        if df['close'].iloc[-2] > df['upper_band'].iloc[-2]:
+            logger.info(f"价格超过上轨，产生卖出信号: {self.symbol}")
+            return -1
+        elif df['close'].iloc[-2] < df['lower_band'].iloc[-2]:
+            logger.info(f"价格低于下轨，产生买入信号: {self.symbol}")
+            return 1
+        return 0
+
+    def run_backtest(self, df):
+        """
+        均值回归回测：
+        价格突破上下轨卖出/买入
+        """
+        df = df.copy()
+        df = self._calculate_indicators(df)
+
+        signals = pd.Series(0, index=df.index)
+        for i in range(self.mean_reversion_period, len(df)):
+            if df['close'].iloc[i-1] > df['upper_band'].iloc[i-1]:
+                signals.iat[i] = -1
+            elif df['close'].iloc[i-1] < df['lower_band'].iloc[i-1]:
+                signals.iat[i] = 1
+        return signals