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基本完毕

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songkunling
2025-08-14 10:13:04 +08:00
parent 21ce1831ec
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config.py
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@@ -1,10 +1,11 @@
# 交易配置
SYMBOL = "XAUUSD"
INTERVAL = 60 # 秒
INITIAL_CAPITAL = 10000 # 初始资金
INITIAL_CAPITAL = 20000 # 初始资金
SPREAD = 32 # 点差（点数）,买卖合起来的总共点差成本
# 时间配置
TIMEFRAME = 1 # M1 (1分钟图)
TIMEFRAME = 1# M1 (1分钟图) - MT5常量值
# 回测时间范围 (格式: "YYYY-MM-DD")
# 注意：这些日期需要确保在MT5服务器上有可用数据
@@ -21,73 +22,258 @@ USE_DATE_RANGE = False # 设置为False可强制使用数据量模式
# 兼容性配置 (如果日期配置不可用，则使用数据量)
BACKTEST_COUNT = 30000 # 回测数据量
OPTIMIZER_COUNT = 5000 # 优化器数据量
OPTIMIZER_COUNT = 15000 # 优化器数据量
RISK_CONFIG_CONST = {
'enable_time_based_exit': True
}
# 资金分配配置
CAPITAL_ALLOCATION = {
"long_pct": 0.7, # 多头持仓分配资金比例
"short_pct": 0.3, # 空头持仓分配资金比例
}
# 模拟交易特定配置 (用于dry_run模式)
SIMULATION_CONFIG = {
"leverage": 100, # 模拟杠杆
"contract_size": 1, # XAUUSD的合约大小
"volume_step": 0.01, # 交易手数步长
"volume_min": 0.01, # 最小交易手数
"volume_max": 100.0, # 最大交易手数
"spread": 16, # 点差（点数）
}
# 回测配置
BACKTEST_CONFIG = {
"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
"spread": 16, # 点差（点数）
}
# 实时交易配置
REALTIME_CONFIG = {
"update_interval": 5, # 更新间隔（秒）
"daily_reset_time": "00:00", # 每日重置时间
"max_long_positions": 3, # 最大多头持仓数（增加为3个）
"max_short_positions": 3, # 最大空头持仓数（增加为3个）
"min_trade_interval": 0, # 最小交易间隔（分钟），0表示无限制
"enable_auto_trading": True, # 是否启用自动交易
"dry_run": False, # 是否为模拟运行（不实际下单）
"logging_level": "DEBUG", # 日志级别
"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
}
# 数据获取配置
DATA_CONFIG = {
"m1_bars_count": 5000, # 1分钟K线数据获取数量
}
# 遗传算法优化器配置
GENETIC_OPTIMIZER_CONFIG = {
# 算法参数
"population_size": 200, # 种群大小
"generations": 50, # 进化代数
"crossover_probability": 0.7, # 交叉概率
"mutation_probability": 0.3, # 变异概率
# 选择算法参数
"tournament_size": 3, # 锦标赛选择大小
# 变异算法参数
"mutation_mu": 0, # 变异均值
"mutation_sigma": 0.1, # 变异标准差
"mutation_indpb": 0.1, # 变异概率（每个基因）
# 并行处理
"enable_multiprocessing": True, # 启用多进程
"processes": None, # 进程数，None表示自动检测
# 输出控制
"verbose": True, # 详细输出
"save_generation_info": True, # 保存代数信息
}
'''
此处上面的是固定的参数，可手动调整
--------------------------------------------------------
此处下面所有参数，都将进入优化器进行优化
'''
# 信号阈值配置
SIGNAL_THRESHOLDS = {
"buy_threshold": 0.5, # 买入信号阈值
"sell_threshold": -0.5, # 卖出信号阈值
"buy_threshold": 1.5, # 买入信号阈值 (优化后)
"sell_threshold": -0.87 # 卖出信号阈值 (优化后)
}
# 风险管理参数
RISK_CONFIG = {
"stop_loss_pct": -0.001, # 固定止损：亏损0.1%
"profit_retracement_pct": 0.10, # 利润回撤10%止盈
"min_profit_for_trailing": 0.05, # 追踪止损激活阈值：利润0.5%
"take_profit_pct": 0.20, # 固定止盈：盈利20%
"stop_loss_pct": -0.01, # 固定止损：亏损1% (优化后)
"profit_retracement_pct": 0.1, # 利润回撤10%止盈 (优化后)
"min_profit_for_trailing": 0.01, # 追踪止损激活阈值：利润0.1% (降低阈值以激活追踪止损)
"take_profit_pct": 0.001, # 固定止盈：盈利0.1% (优化后)
"max_position_size": 1, # 最大仓位100%
"max_daily_loss": -0.10, # 最大日亏损10%
"max_daily_loss": -0.3, # 最大日亏损30%
"max_holding_minutes": 140, # 持仓超过140分钟 (优化后)
"min_profit_for_time_exit": 0.01, # 且盈利未达到0.1%则平仓 (优化后)
}
# 市场状态分析参数
MARKET_STATE_CONFIG = {
"trend_period": 50,
"retracement_tolerance": 0.30,
"volume_period": 20,
"volume_ma_period": 10,
"trend_period": 44,
"retracement_tolerance": 0.1382775008306345,
"volume_period": 13,
"volume_ma_period": 12,
}
# 波浪理论策略配置
WAVE_THEORY_CONFIG = {
"daily_data_count": 30, # 日线数据天数
"ema_short": 5,
"ema_medium": 13,
"ema_long": 34,
"wave_period": 21,
"range_period": 20,
"adx_period": 14,
# 策略参数配置 (从优化器中提取的优化参数)
STRATEGY_CONFIG = {
# MACrossStrategy 参数
"ma_cross": {
"short_window": 5,
"long_window": 39,
},
# RSIStrategy 参数
"rsi": {
"period": 22,
"overbought": 80,
"oversold": 24,
},
# BollingerStrategy 参数
"bollinger": {
"period": 10,
"std_dev": 2.8916513144581044,
},
# MACDStrategy 参数
"macd": {
"fast_ema": 17,
"slow_ema": 22,
"signal_period": 13,
},
# MeanReversionStrategy 参数
"mean_reversion": {
"period": 40,
"std_dev": 2.917216289407233,
},
# MomentumBreakoutStrategy 参数
"momentum_breakout": {
"period": 27,
},
# KDJStrategy 参数
"kdj": {
"period": 6,
},
# TurtleStrategy 参数
"turtle": {
"period": 16,
},
# DailyBreakoutStrategy 参数
"daily_breakout": {
"bars_count": 807,
},
# WaveTheoryStrategy 参数
"wave_theory": {
"ema_short": 3,
"ema_medium": 15,
"ema_long": 36,
"wave_period": 28,
"range_period": 30,
"adx_period": 21,
"momentum_period": 13,
"range_threshold": -0.02028040971155598,
"adx_threshold": 22,
},
}
# 市场趋势判断权重配置
TREND_INDICATOR_WEIGHTS = {
"price_breakout": 0.35, # 价格突破权重
"volume_confirmation": 0.25, # 成交量确认权重
"momentum oscillator": 0.20, # 动量震荡指标权重
"moving_average": 0.20, # 移动平均线权重
"price_breakout": 0.03552729699860058, # 价格突破权重
"volume_confirmation": 0.2564191814903339, # 成交量确认权重
"momentum oscillator": 0.48690789892001296, # 动量震荡指标权重
"moving_average": 0.3549274308680269, # 移动平均线权重
}
# 趋势判断阈值
TREND_THRESHOLDS = {
"strong_trend": 0.7, # 强趋势阈值
"weak_trend": 0.4, # 弱趋势阈值
"volume_spike": 1.5, # 成交量突增倍数
"oversold": 30, # 超卖阈值 (RSI)
"overbought": 70, # 超买阈值 (RSI)
"strong_trend": 0.24063407379490956, # 强趋势阈值
"weak_trend": 0.3708545035763192, # 弱趋势阈值
"volume_spike": 1.7781348694952452, # 成交量突增倍数
"oversold": 29, # 超卖阈值 (RSI)
"overbought": 69, # 超买阈值 (RSI)
}
# 动态权重配置（当市场状态判断置信度低时使用的基础权重）
# 动态权重配置（经过优化器优化的最佳权重）
DEFAULT_WEIGHTS = {
"ma_cross": 1.31,
"rsi": 0.41,
"bollinger": 1.19,
"mean_reversion": 0.75,
"momentum_breakout": 1.5,
"macd": 0.8,
"kdj": 2.02,
"turtle": 0.11,
"daily_breakout": 0.28,
"wave_theory": 0.8, # 波浪理论策略基础权重
"risk_management": 2.0, # 风险管理策略权重
"ma_cross": 0.44428771408324463,
"rsi": 1.6518277343219148,
"bollinger": 0.6014474871460991,
"mean_reversion": 0.04509729271515517,
"momentum_breakout": 1.0768245883204248,
"macd": 0.8909161638775971,
"kdj": 1.095784002572773,
"turtle": 1.7942934575029192,
"daily_breakout": 2.4237777692491713,
"wave_theory": 0.7354173414675755,
}
# 市场状态策略权重配置
MARKET_STATE_WEIGHTS = {
"uptrend": {
"ma_cross": 1.50,
"momentum_breakout": 1.20,
"turtle": 0.25,
"macd": 0.35,
"daily_breakout": 1.50,
"rsi": 1.00,
"bollinger": 1.00,
"kdj": 0.40,
"mean_reversion": 0.80,
"wave_theory": 0.20
},
"downtrend": {
"ma_cross": 1.50,
"momentum_breakout": 1.20,
"turtle": 0.25,
"macd": 0.35,
"daily_breakout": 1.50,
"rsi": 1.00,
"bollinger": 1.00,
"kdj": 0.40,
"mean_reversion": 0.80,
"wave_theory": 0.20
},
"ranging": {
"rsi": 1.60,
"bollinger": 1.70,
"mean_reversion": 1.50,
"kdj": 1.00,
"wave_theory": 0.50,
"ma_cross": 0.70,
"macd": 0.20,
"turtle": 0.10,
"momentum_breakout": 0.50,
"daily_breakout": 0.90
},
"none": DEFAULT_WEIGHTS
}
# 市场趋势置信度阈值配置
CONFIDENCE_THRESHOLDS = {
"high_confidence": 0.941049792261965, # 高置信度阈值
"medium_confidence": 0.8881796011658835, # 中等置信度阈值
}