基本完毕

strategies/momentum_breakout.py

@@ -1,54 +1,36 @@
-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.breakout_period = 20
+class MomentumBreakoutStrategy(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('momentum_breakout', {})
+        self.period = period if period is not None else config.get('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()
+        df['high_period'] = df['high'].rolling(self.period).max()
+        df['low_period'] = df['low'].rolling(self.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:
+        rates = self.data_provider.get_historical_data(self.symbol, self.timeframe, self.period + 2)
+        if rates is None or len(rates) < self.period + 1:
             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}")
+        if df['close'].iloc[-1] > df['high_period'].iloc[-2]:
             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}")
+        elif df['close'].iloc[-1] < df['low_period'].iloc[-2]:
             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
+        signals[df['close'] > df['high_period'].shift(1)] = 1
+        signals[df['close'] < df['low_period'].shift(1)] = -1
+        return signals