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https://github.com/silencesdg/mt5_python_ea_suite.git
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songkunling
53 lines
2.1 KiB
Python
53 lines
2.1 KiB
Python
import pandas as pd
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from datetime import datetime
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from .base_strategy import BaseStrategy
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from config import STRATEGY_CONFIG
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class DailyBreakoutStrategy(BaseStrategy):
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def __init__(self, data_provider, symbol, timeframe, bars_count=None):
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super().__init__(data_provider, symbol, timeframe)
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# 从配置中获取参数，如果传入参数则使用传入的参数
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config = STRATEGY_CONFIG.get('daily_breakout', {})
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self.bars_count = bars_count if bars_count is not None else config.get('bars_count', 1440)
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def _calculate_indicators(self, df):
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df['time'] = pd.to_datetime(df['time'], unit='s')
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today = datetime.now().date()
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day_data = df[df['time'].dt.date == today]
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if day_data.empty:
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return df, None, None
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day_high = day_data['high'].max()
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day_low = day_data['low'].min()
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return df, day_high, day_low
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def generate_signal(self):
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rates = self.data_provider.get_historical_data(self.symbol, self.timeframe, self.bars_count)
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if rates is None or len(rates) < 2:
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return 0
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df = pd.DataFrame(rates)
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df, day_high, day_low = self._calculate_indicators(df)
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if day_high is None or day_low is None:
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return 0
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if df['close'].iloc[-1] > day_high:
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return 1
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elif df['close'].iloc[-1] < day_low:
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return -1
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return 0
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def run_backtest(self, df):
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df = df.copy()
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# BUG FIX: The 'time' column does not exist in a properly formed dataframe.
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# Time information should be derived from the DatetimeIndex.
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df['date'] = df.index.date
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# LOGIC FIX: daily_lows should be the minimum of the day, not the maximum.
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daily_highs = df.groupby('date')['high'].transform('max')
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daily_lows = df.groupby('date')['low'].transform('min')
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signals = pd.Series(0, index=df.index)
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# Signal when close breaks yesterday's high/low
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signals[df['close'] > daily_highs.shift(1)] = 1
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signals[df['close'] < daily_lows.shift(1)] = -1
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return signals |