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strategies/momentum_breakout.py

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+import MetaTrader5 as mt5
+import pandas as pd
+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
+        self.breakout_period = 20
+
+    def _calculate_indicators(self, df):
+        """
+        计算动量突破指标
+        """
+        df['high_20'] = df['high'].rolling(self.breakout_period).max()
+        df['low_20'] = df['low'].rolling(self.breakout_period).min()
+        return df
+
+    def generate_signal(self):
+        """
+        动量突破策略实盘
+        价格突破过去20根K线最高点买入，突破最低点卖出
+        """
+        rates = get_rates(self.symbol, self.timeframe, self.breakout_period + 30)
+        if rates is None or len(rates) < self.breakout_period:
+            return 0
+        df = pd.DataFrame(rates)
+        df = self._calculate_indicators(df)
+
+        if df['close'].iloc[-2] > df['high_20'].iloc[-3]:
+            logger.info(f"价格突破{self.breakout_period}日最高点，产生买入信号: {self.symbol}")
+            return 1
+        elif df['close'].iloc[-2] < df['low_20'].iloc[-3]:
+            logger.info(f"价格突破{self.breakout_period}日最低点，产生卖出信号: {self.symbol}")
+            return -1
+        return 0
+
+    def run_backtest(self, df):
+        """
+        动量突破回测方法
+        过去20根K线最高最低突破生成买卖信号
+        """
+        df = df.copy()
+        df = self._calculate_indicators(df)
+
+        signals = pd.Series(0, index=df.index)
+        for i in range(self.breakout_period, len(df)):
+            if df['close'].iloc[i-1] > df['high_20'].iloc[i-2]:
+                signals.iat[i] = 1
+            elif df['close'].iloc[i-1] < df['low_20'].iloc[i-2]:
+                signals.iat[i] = -1
+        return signals