mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-27 18:57:44 +00:00
silencesdg
e1691c3c41
- 新增适应度门槛: min_backtest_fitness=95, 适应度<95暂停开仓 - 新增 SwingPointRetest 策略替代 Turtle - 新增 monday_reset.py 周重置脚本 - exit_rules: 拖尾止损相对回撤模式 - market_state: 趋势检测优化 - position: 一票制并发锁+合约规格缓存 - optimize: Optuna 替代 DEAP 遗传算法 - realtime_trader: 适应度门槛+同向递增 - weights: 动态权重管理 - cron_optimize: PYTHONPATH 修复 - .gitignore: 排除生成文件
318 lines
11 KiB
Python
318 lines
11 KiB
Python
# MT5 代理服务配置
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import importlib as _importlib, sys as _sys
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def reload():
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"""★ 热重载配置 — 运行时调用，无需重启 EA"""
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_importlib.reload(_sys.modules[__name__])
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SERVER_HOST = "0.0.0.0"
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SERVER_PORT = 5555
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# 远端客户端配置（迁移到其他电脑时填写 MT5 机器的 IP）
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REMOTE_SERVER_HOST = "192.168.1.5"
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REMOTE_SERVER_PORT = 5555
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# 数据提供者模式: "remote" (远程HTTP API) / "local" (本机MT5)
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DATA_PROVIDER_MODE = "remote"
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# 交易配置
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SYMBOL = "XAUUSDz"
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INITIAL_CAPITAL = 2054 # 初始资金（5月12日 实盘余额 $2054.23）
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# 时间配置
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TIMEFRAME = 1# M1 (1分钟图) - MT5常量值
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# 回测时间范围 (格式: "YYYY-MM-DD")
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BACKTEST_START_DATE = "2025-05-01"
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BACKTEST_END_DATE = "2025-08-01"
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# 优化器时间范围 (格式: "YYYY-MM-DD")
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OPTIMIZER_START_DATE = "2025-04-01"
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OPTIMIZER_END_DATE = "2025-05-01"
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# 安全设置：如果日期获取失败，自动回退到数据量模式
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USE_DATE_RANGE = False # 设置为False可强制使用数据量模式
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# 兼容性配置 (如果日期配置不可用，则使用数据量)
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BACKTEST_COUNT = 30000 # 回测数据量
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OPTIMIZER_COUNT = 6000 # 优化器数据量（约4天M1，更快响应行情）
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RISK_CONFIG_CONST = {
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'enable_time_based_exit': False # 关闭超时平仓，让止盈/止损/跟踪止损接管
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}
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# 资金分配配置
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CAPITAL_ALLOCATION = {
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"long_pct": 0.7, # 多头持仓分配资金比例
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"short_pct": 0.3, # 空头持仓分配资金比例
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}
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# 模拟交易特定配置 (用于dry_run模式)
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SIMULATION_CONFIG = {
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"leverage": 100, # 模拟杠杆
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"contract_size": 1, # XAUUSD的合约大小
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"volume_step": 0.01, # 交易手数步长
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"volume_min": 0.01, # 最小交易手数
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"volume_max": 100.0, # 最大交易手数
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"spread": 16, # 点差（点数）
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}
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# 回测配置
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BACKTEST_CONFIG = {
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"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
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"spread": 16, # 点差（点数）
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}
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# 实时交易配置
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REALTIME_CONFIG = {
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"update_interval": 5, # 更新间隔（秒）
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"daily_reset_time": "00:00", # 每日重置时间
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"max_long_positions": 10, # 同方向最多10单
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"max_short_positions": 10, # 同方向最多10单
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"min_trade_interval": 0, # 最小交易间隔（分钟），0表示无限制
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"enable_auto_trading": True, # 是否启用自动交易
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"dry_run": False, # 是否为模拟运行（不实际下单）
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"logging_level": "DEBUG", # 日志级别
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"trade_direction": "both", # 交易方向: "long"(只做多), "short"(只做空), "both"(多空都支持)
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}
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# 对冲配置（信号对冲 + 回撤锁仓）
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HEDGE_CONFIG = {
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# ── 信号对冲 ──
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"signal_hedge_enabled": True, # 启用信号对冲
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"signal_hedge_threshold": 2.0, # 加权信号绝对值超此值触发对冲
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"signal_hedge_ratio": 0.5, # 对冲手数比例 (0.5=半仓对冲)
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"signal_unhedge_threshold": 1.0, # 信号回到此值以下解锁
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# ── 回撤锁仓 ──
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"drawdown_hedge_enabled": True, # 启用回撤锁仓
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"drawdown_hedge_pct": -0.003, # 浮亏超-0.3%触发锁仓
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"drawdown_hedge_ratio": 1.0, # 锁仓比例 (1.0=全额锁仓)
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# ── 对冲单止盈 ──
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"hedge_take_profit_pct": 0.005, # 对冲单自身盈利0.5%止盈
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# ── 锁仓管理 ──
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"lock_net_profit_pct": 0.0, # 锁仓组合净盈利>0→双平离场
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# ── 风控限制 ──
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"max_hedges_per_day": 5, # 每日最多对冲5次
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}
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# 数据获取配置
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DATA_CONFIG = {
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"m1_bars_count": 5000, # 1分钟K线数据获取数量
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}
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# 遗传算法优化器配置
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GENETIC_OPTIMIZER_CONFIG = {
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# 算法参数
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"population_size": 20, # 种群大小（精简化，6000bar快速收敛）
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"generations": 6, # 进化代数
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"crossover_probability": 0.7, # 交叉概率
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"mutation_probability": 0.3, # 变异概率
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# 选择算法参数
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"tournament_size": 3, # 锦标赛选择大小
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# 变异算法参数
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"mutation_mu": 0, # 变异均值
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"mutation_sigma": 0.1, # 变异标准差
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"mutation_indpb": 0.1, # 变异概率（每个基因）
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# 并行处理
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"enable_multiprocessing": True, # 启用多进程
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"processes": None, # 进程数，None表示自动检测
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# 输出控制
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"verbose": True, # 详细输出
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"save_generation_info": True, # 保存代数信息
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}
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'''
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此处上面的是固定的参数，可手动调整
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--------------------------------------------------------
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此处下面所有参数，都将进入优化器进行优化
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'''
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# 信号阈值配置（优化器结果 2026-05-10，5万根M1数据）
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SIGNAL_THRESHOLDS = {
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"buy_threshold": 2.087211936631902,
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"sell_threshold": -0.6594468309213586
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}
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# 风险管理参数（手动设定，优化器不宜优化 — 保证金% 基础值，杠杆自适应缩放）
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RISK_CONFIG = {
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# ★ 以下百分比均为保证金%（100x基准），实盘按 (MT5杠杆/100) 缩放
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# 2000x下：-0.70 → -14×杠杆 → -1400%保证金 = -$32 ≈ 32点
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"risk_leverage": 100, # 100x基准计算保证金%（不改实际杠杆）
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"stop_loss_pct": -0.10, # -10% 保证金 ←手动设定，不进优化器
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"profit_retracement_pct": 0.03, # ★ 3% 回撤容忍（相对！3%×峰值利润） ←手动设定
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"retracement_mode": "relative", # ★ 回撤模式从绝对值改为相对（利润的3%）
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"min_profit_for_trailing": 0.10, # +10% 后激活拖尾 ←手动设定
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"take_profit_pct": 0.15, # +15% 止盈 ←手动设定
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"max_daily_loss": -0.3,
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"max_holding_minutes": 0, # 0=不启用时间平仓
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"min_profit_for_time_exit": 0.05,
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"cooldown_bars": 30,
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# ★ 同向加仓门槛递增：第N单需要的信号 = 基础阈值 × α^(N-1)
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"entry_escalation_alpha": 1.2, # 递增系数（1.2=每单信号强20%）
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# ★ 波动率自适应拖尾：激活点数 = 基础点数 × (当前ATR / 长周期ATR)
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"vol_adaptive_trailing": True, # 启动波动率自适应拖尾
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"trailing_atr_period": 14, # ATR短周期
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"trailing_atr_baseline": 100, # ATR长周期（基准）
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# ★ 硬止损倍率：MT5 服务器端 SL/TP = 软止损 × 倍率（兜底，仅 EA 挂掉时触发）
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"hard_sl_multiplier": 1.5, # 硬 SL = 软 SL × 1.5
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"hard_tp_multiplier": 1.3, # 硬 TP = 软 TP × 1.3
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# ★ 回测适应度门槛：低于此值不开新单（适应度≈回测总盈亏$）
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"min_backtest_fitness": 95, # 适应度<95 → 不开仓（低于95说明市场难做）
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}
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# ★ 最近优化适应度（daily_optimize.py 写入，EA 热加载读取）
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LAST_OPTIMIZATION_FITNESS = 58.63
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# 市场状态分析参数
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MARKET_STATE_CONFIG = {
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"trend_period": 60,
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"retracement_tolerance": 0.3857733104065197,
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"volume_period": 42,
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"volume_ma_period": 30
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}
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# 策略参数配置（优化器结果 2026-05-10，5万根M1数据）
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STRATEGY_CONFIG = {
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"ma_cross": {
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"short_window": 7,
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"long_window": 18
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},
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"rsi": {
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"period": 19,
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"overbought": 75,
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"oversold": 31
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},
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"bollinger": {
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"period": 20,
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"std_dev": 2.2757986281351896
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},
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"macd": {
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"fast_ema": 19,
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"slow_ema": 23,
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"signal_period": 13
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},
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"mean_reversion": {
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"period": 29,
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"std_dev": 2.149
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},
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"momentum_breakout": {
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"period": 15,
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"momentum_period": 19
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},
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"kdj": {
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"period": 21
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},
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"swing_point": {
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"left_bars": 4,
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"right_bars": 3,
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"tolerance_pct": 0.0006056955205083707,
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"num_swings": 2
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},
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"daily_breakout": {
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"bars_count": 1392
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},
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"wave_theory": {
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"ema_short": 8,
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"ema_medium": 11,
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"ema_long": 39,
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"wave_period": 19,
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"range_period": 15,
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"adx_period": 24,
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"momentum_period": 10,
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"range_threshold": 0.0023249568571626195,
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"adx_threshold": 28
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}
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}
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# 市场趋势判断权重配置
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TREND_INDICATOR_WEIGHTS = {
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"price_breakout": 0.2506453627492913,
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"volume_confirmation": 0.2851951176719032,
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"momentum oscillator": 0.3677,
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"moving_average": 0.353451489159348
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}
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# 趋势判断阈值
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TREND_THRESHOLDS = {
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"strong_trend": 0.4040165929726079,
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"weak_trend": 0.2963326526031991,
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"volume_spike": 1.5234871986051206,
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"oversold": 31,
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"overbought": 75
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}
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# 动态权重配置（优化器结果 2026-05-10，5万根M1数据）
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DEFAULT_WEIGHTS = {
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"ma_cross": 0.4771175228437661,
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"rsi": 0.478479356771334,
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"bollinger": 1.3391582231825303,
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"mean_reversion": 1.9958459833789346,
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"momentum_breakout": 0.7567594572894596,
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"macd": 1.170771336653618,
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"kdj": 0.013296663814979182,
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"swing_point": 0.5194535227966377,
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"daily_breakout": 0.6506588091889913,
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"wave_theory": 1.6765424080384428
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}
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# 市场状态策略权重配置
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MARKET_STATE_WEIGHTS = {
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"uptrend": {
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"ma_cross": 0.4771175228437661,
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"momentum_breakout": 0.7567594572894596,
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"swing_point": 0.5194535227966377,
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"macd": 1.170771336653618,
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"daily_breakout": 0.6506588091889913,
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"rsi": 0.478479356771334,
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"bollinger": 1.3391582231825303,
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"kdj": 0.013296663814979182,
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"mean_reversion": 1.9958459833789346,
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"wave_theory": 1.6765424080384428
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},
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"downtrend": {
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"ma_cross": 0.4771175228437661,
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"momentum_breakout": 0.7567594572894596,
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"swing_point": 0.5194535227966377,
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"macd": 1.170771336653618,
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"daily_breakout": 0.6506588091889913,
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"rsi": 0.478479356771334,
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"bollinger": 1.3391582231825303,
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"kdj": 0.013296663814979182,
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"mean_reversion": 1.9958459833789346,
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"wave_theory": 1.6765424080384428
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},
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"ranging": {
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"rsi": 0.478479356771334,
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"bollinger": 1.3391582231825303,
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"mean_reversion": 1.9958459833789346,
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"kdj": 0.013296663814979182,
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"wave_theory": 1.6765424080384428,
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"ma_cross": 0.4771175228437661,
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"macd": 1.170771336653618,
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"swing_point": 0.5194535227966377,
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"momentum_breakout": 0.7567594572894596,
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"daily_breakout": 0.6506588091889913
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},
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"none": DEFAULT_WEIGHTS
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}
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# 市场趋势置信度阈值配置
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CONFIDENCE_THRESHOLDS = {
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"high_confidence": 0.5050416445534804,
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"medium_confidence": 0.6102467437388168
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}
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