add files

strategies/rsi.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.rsi_period = 14
+        self.rsi_buy_threshold = 30
+        self.rsi_sell_threshold = 70
+
+    def _calculate_indicators(self, df):
+        """
+        计算RSI指标
+        """
+        delta = df['close'].diff()
+        gain = delta.where(delta > 0, 0).rolling(self.rsi_period).mean()
+        loss = -delta.where(delta < 0, 0).rolling(self.rsi_period).mean()
+        rs = gain / loss
+        df['rsi'] = 100 - (100 / (1 + rs))
+        return df
+
+    def generate_signal(self):
+        """
+        RSI策略实盘：
+        RSI < 30买入，RSI > 70卖出。
+        """
+        rates = get_rates(self.symbol, self.timeframe, self.rsi_period + 30)
+        if rates is None or len(rates) < self.rsi_period:
+            return 0
+        df = pd.DataFrame(rates)
+        df = self._calculate_indicators(df)
+
+        if df['rsi'].iloc[-2] < self.rsi_buy_threshold:
+            logger.info(f"RSI小于{self.rsi_buy_threshold}，产生买入信号: {self.symbol}")
+            return 1
+        elif df['rsi'].iloc[-2] > self.rsi_sell_threshold:
+            logger.info(f"RSI大于{self.rsi_sell_threshold}，产生卖出信号: {self.symbol}")
+            return -1
+        return 0
+
+    def run_backtest(self, df):
+        """
+        RSI回测：
+        RSI < 30买入，RSI > 70卖出。
+        """
+        df = df.copy()
+        df = self._calculate_indicators(df)
+
+        signals = pd.Series(0, index=df.index)
+        for i in range(self.rsi_period, len(df)):
+            if df['rsi'].iloc[i-1] < self.rsi_buy_threshold:
+                signals.iat[i] = 1
+            elif df['rsi'].iloc[i-1] > self.rsi_sell_threshold:
+                signals.iat[i] = -1
+        return signals