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feat: 盈亏计算改为账户余额% + 拖尾止损绝对值扣除

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- _calculate_pnl_pct: 从金价涨跌%改为账户余额%
- _get_contract_size: 新增缓存合约规格方法
- 硬止损: 从金价%乘法改为账户$→点数→价格转换
- 拖尾止损: peak*(1-retrace) 改为 peak-retrace（绝对值扣除）
- 统一 _record_closed_trade/_calculate_unrealized_pnl 使用缓存合约规格
- RISK_CONFIG: 止损-1.5%/止盈+3.0%/拖尾激活+2.0%/回撤1.0%（均为账户%）
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silencesdg
2026-05-14 17:14:50 +08:00
parent 430376eb61
commit 9b0eeb521e
5 changed files with 195 additions and 97 deletions
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config.py
+82 -81
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@@ -135,54 +135,55 @@ GENETIC_OPTIMIZER_CONFIG = {
# 信号阈值配置（优化器结果 2026-05-10，5万根M1数据）
SIGNAL_THRESHOLDS = {
"buy_threshold": 1.344,
"sell_threshold": -2.980
"buy_threshold": 1.0315663601353515,
"sell_threshold": -2.312867704316165
}
# 风险管理参数（优化器结果 2026-05-10，5万根M1数据）
RISK_CONFIG = {
"stop_loss_pct": -0.046,
"profit_retracement_pct": 0.030,
"min_profit_for_trailing": 0.03,
"take_profit_pct": 0.246,
# ★ 以下百分比均为账户余额%，非金价涨跌%
# 例：余额$1682，-1.5% = -$25 ≈ 25点金价（0.01手）
"stop_loss_pct": -0.015, # -1.5% 账户
"profit_retracement_pct": 0.01, # 1.0% 账户（拖尾回撤容忍）
"min_profit_for_trailing": 0.02, # +2.0% 后激活拖尾
"take_profit_pct": 0.03, # +3.0% 账户
"max_daily_loss": -0.3,
"max_holding_minutes": 133,
"min_profit_for_time_exit": 0.010,
"cooldown_bars": 30,
# ★ 硬止损倍率：MT5 服务器端 SL/TP = 软止损 × 倍率（兜底，仅 EA 挂掉时触发）
# 硬止损必须比软止损宽（倍率>1），否则会抢先触发导致拖尾失效
"hard_sl_multiplier": 1.5, # 硬 SL = 软 SL × 1.5（例如软-4.6%→硬-6.9%）
"hard_tp_multiplier": 1.3, # 硬 TP = 软 TP × 1.3（例如软+24.6%→硬+32.0%）
"hard_sl_multiplier": 1.5, # 硬 SL = 软 SL × 1.5（-1.5%→-2.25%账户）
"hard_tp_multiplier": 1.3, # 硬 TP = 软 TP × 1.3（+3.0%→+3.9%账户）
}
# 市场状态分析参数
MARKET_STATE_CONFIG = {
"trend_period": 24,
"retracement_tolerance": 0.425,
"volume_period": 21,
"volume_ma_period": 12
"trend_period": 83,
"retracement_tolerance": 0.15567164907853615,
"volume_period": 29,
"volume_ma_period": 23
}
# 策略参数配置（优化器结果 2026-05-10，5万根M1数据）
STRATEGY_CONFIG = {
"ma_cross": {
"short_window": 12,
"long_window": 30
"short_window": 13,
"long_window": 17
},
"rsi": {
"period": 21,
"overbought": 75,
"oversold": 26
"period": 30,
"overbought": 68,
"oversold": 32
},
"bollinger": {
"period": 20,
"std_dev": 2.162
"std_dev": 2.4663422649047333
},
"macd": {
"fast_ema": 16,
"slow_ema": 34,
"signal_period": 12
"fast_ema": 14,
"slow_ema": 24,
"signal_period": 9
},
"mean_reversion": {
"period": 29,
@@ -190,7 +191,7 @@ STRATEGY_CONFIG = {
},
"momentum_breakout": {
"period": 15,
"momentum_period": 17
"momentum_period": 13
},
"kdj": {
"period": 21
@@ -199,96 +200,96 @@ STRATEGY_CONFIG = {
"period": 42
},
"daily_breakout": {
"bars_count": 746
"bars_count": 2008
},
"wave_theory": {
"ema_short": 3,
"ema_medium": 16,
"ema_long": 26,
"wave_period": 32,
"range_period": 30,
"adx_period": 23,
"ema_medium": 11,
"ema_long": 46,
"wave_period": 11,
"range_period": 35,
"adx_period": 20,
"momentum_period": 10,
"range_threshold": 0.002,
"adx_threshold": 23
"range_threshold": 0.01,
"adx_threshold": 21
}
}
# 市场趋势判断权重配置
TREND_INDICATOR_WEIGHTS = {
"price_breakout": -0.0949,
"volume_confirmation": 0.5277,
"price_breakout": 0.1504199442999585,
"volume_confirmation": 0.12782205952949638,
"momentum oscillator": 0.3677,
"moving_average": 0.1506
"moving_average": 0.4092273363154768
}
# 趋势判断阈值
TREND_THRESHOLDS = {
"strong_trend": 0.4182,
"weak_trend": 0.2164,
"volume_spike": 1.5843,
"oversold": 24,
"overbought": 80
"strong_trend": 0.7940886082643032,
"weak_trend": 0.4565953163045441,
"volume_spike": 2.7329673335105396,
"oversold": 32,
"overbought": 68
}
# 动态权重配置（优化器结果 2026-05-10，5万根M1数据）
DEFAULT_WEIGHTS = {
"ma_cross": 0.809,
"rsi": 1.141,
"bollinger": 0.389,
"mean_reversion": 1.106,
"momentum_breakout": 0.147,
"macd": 1.181,
"kdj": 1.525,
"turtle": 0.559,
"daily_breakout": 1.846,
"wave_theory": 1.361
"ma_cross": 0.32048324544087786,
"rsi": 1.906009222972592,
"bollinger": 0.9232444456662969,
"mean_reversion": 1.1649306516234597,
"momentum_breakout": 0.8769099086178171,
"macd": 0.748930985323352,
"kdj": 1.4647470623067596,
"turtle": 1.637931136008917,
"daily_breakout": 1.478598649389487,
"wave_theory": 0.818283180489803
}
# 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
"ma_cross": 0.32048324544087786,
"momentum_breakout": 0.8769099086178171,
"turtle": 1.637931136008917,
"macd": 0.748930985323352,
"daily_breakout": 1.478598649389487,
"rsi": 1.906009222972592,
"bollinger": 0.9232444456662969,
"kdj": 1.4647470623067596,
"mean_reversion": 1.1649306516234597,
"wave_theory": 0.818283180489803
},
"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
"ma_cross": 0.32048324544087786,
"momentum_breakout": 0.8769099086178171,
"turtle": 1.637931136008917,
"macd": 0.748930985323352,
"daily_breakout": 1.478598649389487,
"rsi": 1.906009222972592,
"bollinger": 0.9232444456662969,
"kdj": 1.4647470623067596,
"mean_reversion": 1.1649306516234597,
"wave_theory": 0.818283180489803
},
"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
"rsi": 1.906009222972592,
"bollinger": 0.9232444456662969,
"mean_reversion": 1.1649306516234597,
"kdj": 1.4647470623067596,
"wave_theory": 0.818283180489803,
"ma_cross": 0.32048324544087786,
"macd": 0.748930985323352,
"turtle": 1.637931136008917,
"momentum_breakout": 0.8769099086178171,
"daily_breakout": 1.478598649389487
},
"none": DEFAULT_WEIGHTS
}
# 市场趋势置信度阈值配置
CONFIDENCE_THRESHOLDS = {
"high_confidence": 0.8474,
"medium_confidence": 0.4964
"high_confidence": 0.6813641209473742,
"medium_confidence": 0.6336441706563001
}