基本完毕

strategies/kdj.py

@@ -1,21 +1,17 @@
-import MetaTrader5 as mt5
 import pandas as pd
-from utils import get_rates, has_open_position, close_all, send_order
-from logger import logger
+from .base_strategy import BaseStrategy
+from config import STRATEGY_CONFIG
 
-
-class Strategy:
-    def __init__(self):
-        self.symbol = "XAUUSD"
-        self.timeframe = mt5.TIMEFRAME_M1
-        self.kdj_period = 9
+class KDJStrategy(BaseStrategy):
+    def __init__(self, data_provider, symbol, timeframe, period=None):
+        super().__init__(data_provider, symbol, timeframe)
+        # 从配置中获取参数，如果传入参数则使用传入的参数
+        config = STRATEGY_CONFIG.get('kdj', {})
+        self.period = period if period is not None else config.get('period', 14)
     
     def _calculate_indicators(self, df):
-        """
-        计算KDJ指标
-        """
-        low_min = df['low'].rolling(self.kdj_period).min()
-        high_max = df['high'].rolling(self.kdj_period).max()
+        low_min = df['low'].rolling(self.period).min()
+        high_max = df['high'].rolling(self.period).max()
         rsv = (df['close'] - low_min) / (high_max - low_min) * 100
         df['k'] = rsv.ewm(com=2).mean()
         df['d'] = df['k'].ewm(com=2).mean()
@@ -23,40 +19,22 @@ class Strategy:
         return df
 
     def generate_signal(self):
-        """
-        KDJ策略实盘
-        K线向上穿越D线（金叉）买入，K线向下穿越D线（死叉）卖出
-        """
-        rates = get_rates(self.symbol, self.timeframe, self.kdj_period + 30)
-        if rates is None or len(rates) < self.kdj_period:
+        rates = self.data_provider.get_historical_data(self.symbol, self.timeframe, self.period + 5)
+        if rates is None or len(rates) < self.period:
             return 0
         df = pd.DataFrame(rates)
         df = self._calculate_indicators(df)
 
-        # Golden cross
-        if df['k'].iloc[-2] < df['d'].iloc[-2] and df['k'].iloc[-1] > df['d'].iloc[-1]:
-            logger.info(f"KDJ Golden Cross, creating buy signal: {self.symbol}")
+        if df['k'].iloc[-1] > df['d'].iloc[-1] and df['k'].iloc[-2] < df['d'].iloc[-2]:
             return 1
-        # Dead cross
-        elif df['k'].iloc[-2] > df['d'].iloc[-2] and df['k'].iloc[-1] < df['d'].iloc[-1]:
-            logger.info(f"KDJ Dead Cross, creating sell signal: {self.symbol}")
+        elif df['k'].iloc[-1] < df['d'].iloc[-1] and df['k'].iloc[-2] > df['d'].iloc[-2]:
             return -1
         return 0
 
     def run_backtest(self, df):
-        """
-        KDJ回测方法
-        根据金叉和死叉生成信号
-        """
         df = df.copy()
         df = self._calculate_indicators(df)
-
         signals = pd.Series(0, index=df.index)
-        for i in range(1, len(df)):
-            # Golden cross
-            if df['k'].iloc[i-1] < df['d'].iloc[i-1] and df['k'].iloc[i] > df['d'].iloc[i]:
-                signals.iat[i] = 1
-            # Dead cross
-            elif df['k'].iloc[i-1] > df['d'].iloc[i-1] and df['k'].iloc[i] < df['d'].iloc[i]:
-                signals.iat[i] = -1
-        return signals
+        signals[(df['k'] > df['d']) & (df['k'].shift(1) < df['d'].shift(1))] = 1
+        signals[(df['k'] < df['d']) & (df['k'].shift(1) > df['d'].shift(1))] = -1
+        return signals