mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-28 19:27:43 +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
469 lines
22 KiB
Python
469 lines
22 KiB
Python
"""贝叶斯优化器（Optuna TPE）
|
||
高效替代 DEAP 遗传算法，50次试验 ≈ 2分钟收敛
|
||
|
||
关键改进：
|
||
1. TPE sampler 建模适应度曲面，采样效率高 3-5 倍
|
||
2. 权重基因通过 individual_weights → MarketStateAnalyzer.get_strategy_weights() 真正生效
|
||
3. evaluate_fitness 逐 bar 调用 get_market_state(bar_index) 获取每根bar的动态权重
|
||
"""
|
||
|
||
import random
|
||
import numpy as np
|
||
import pandas as pd
|
||
import sys
|
||
import os
|
||
import logging
|
||
from datetime import datetime
|
||
|
||
import optuna
|
||
|
||
SEED = 42
|
||
random.seed(SEED)
|
||
np.random.seed(SEED)
|
||
|
||
sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||
|
||
from core.data import MultiTimeframeDataStore, BacktestDataProvider
|
||
from core.risk.market_state import MarketStateAnalyzer
|
||
from core.risk.position import PositionManager
|
||
from core.signal.registry import StrategyRegistry
|
||
from core.signal.combiner import SignalCombiner
|
||
from config import (
|
||
SYMBOL, TIMEFRAME, OPTIMIZER_COUNT, OPTIMIZER_START_DATE, OPTIMIZER_END_DATE,
|
||
USE_DATE_RANGE, INITIAL_CAPITAL, SIGNAL_THRESHOLDS, DEFAULT_WEIGHTS,
|
||
RISK_CONFIG,
|
||
MARKET_STATE_CONFIG, TREND_INDICATOR_WEIGHTS, TREND_THRESHOLDS, CONFIDENCE_THRESHOLDS,
|
||
DATA_PROVIDER_MODE, REMOTE_SERVER_HOST, REMOTE_SERVER_PORT
|
||
)
|
||
from utils.constants import PERIOD_H1
|
||
from core.utils import get_rates, initialize, shutdown
|
||
from core.data.remote import RemoteDataProvider
|
||
from logger import logger
|
||
|
||
# 导入策略模块确保 StrategyRegistry 已注册
|
||
import strategies # noqa: F401
|
||
|
||
# ── 全局缓存 ──
|
||
_multi_tf: MultiTimeframeDataStore | None = None
|
||
|
||
# MT5 结构化数组 dtype（用于远程 API JSON → numpy 转换）
|
||
_MT5_RATES_DTYPE = np.dtype([
|
||
('time', 'i8'),
|
||
('open', 'f8'),
|
||
('high', 'f8'),
|
||
('low', 'f8'),
|
||
('close', 'f8'),
|
||
('tick_volume', 'i8'),
|
||
('spread', 'i4'),
|
||
('real_volume', 'i8'),
|
||
])
|
||
|
||
|
||
# ── 参数定义 ──
|
||
PARAMETER_DEFINITIONS = [
|
||
# MACrossStrategy
|
||
{'name': 'ma_cross_short_window', 'type': 'int', 'min': 3, 'max': 15, 'strategy': 'MACrossStrategy'},
|
||
{'name': 'ma_cross_long_window', 'type': 'int', 'min': 10, 'max': 60, 'strategy': 'MACrossStrategy'},
|
||
# RSIStrategy
|
||
{'name': 'rsi_period', 'type': 'int', 'min': 7, 'max': 21, 'strategy': 'RSIStrategy'},
|
||
{'name': 'rsi_overbought', 'type': 'int', 'min': 65, 'max': 80, 'strategy': 'RSIStrategy'},
|
||
{'name': 'rsi_oversold', 'type': 'int', 'min': 20, 'max': 35, 'strategy': 'RSIStrategy'},
|
||
# BollingerStrategy
|
||
{'name': 'bollinger_period', 'type': 'int', 'min': 10, 'max': 50, 'strategy': 'BollingerStrategy'},
|
||
{'name': 'bollinger_std_dev', 'type': 'float', 'min': 1.5, 'max': 3.0, 'strategy': 'BollingerStrategy'},
|
||
# MACDStrategy
|
||
{'name': 'macd_fast_ema', 'type': 'int', 'min': 8, 'max': 20, 'strategy': 'MACDStrategy'},
|
||
{'name': 'macd_slow_ema', 'type': 'int', 'min': 20, 'max': 35, 'strategy': 'MACDStrategy'},
|
||
{'name': 'macd_signal_period', 'type': 'int', 'min': 5, 'max': 15, 'strategy': 'MACDStrategy'},
|
||
# MeanReversionStrategy
|
||
{'name': 'mean_reversion_period', 'type': 'int', 'min': 10, 'max': 50, 'strategy': 'MeanReversionStrategy'},
|
||
{'name': 'mean_reversion_std_dev', 'type': 'float', 'min': 1.5, 'max': 3.0, 'strategy': 'MeanReversionStrategy'},
|
||
# MomentumBreakoutStrategy
|
||
{'name': 'momentum_breakout_period', 'type': 'int', 'min': 10, 'max': 50, 'strategy': 'MomentumBreakoutStrategy'},
|
||
{'name': 'momentum_breakout_momentum_period', 'type': 'int', 'min': 5, 'max': 30, 'strategy': 'MomentumBreakoutStrategy'},
|
||
# KDJStrategy
|
||
{'name': 'kdj_period', 'type': 'int', 'min': 5, 'max': 21, 'strategy': 'KDJStrategy'},
|
||
# SwingPointRetestStrategy — 前高前低回踩
|
||
{'name': 'swing_point_left_bars', 'type': 'int', 'min': 2, 'max': 5, 'strategy': 'SwingPointRetestStrategy'},
|
||
{'name': 'swing_point_right_bars', 'type': 'int', 'min': 2, 'max': 5, 'strategy': 'SwingPointRetestStrategy'},
|
||
{'name': 'swing_point_tolerance_pct', 'type': 'float', 'min': 0.0003, 'max': 0.002, 'strategy': 'SwingPointRetestStrategy'},
|
||
{'name': 'swing_point_num_swings', 'type': 'int', 'min': 1, 'max': 3, 'strategy': 'SwingPointRetestStrategy'},
|
||
# WaveTheoryStrategy
|
||
{'name': 'wave_ema_short', 'type': 'int', 'min': 3, 'max': 10, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_ema_medium', 'type': 'int', 'min': 8, 'max': 20, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_ema_long', 'type': 'int', 'min': 20, 'max': 50, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_period', 'type': 'int', 'min': 10, 'max': 40, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_range_period', 'type': 'int', 'min': 10, 'max': 40, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_adx_period', 'type': 'int', 'min': 10, 'max': 25, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_momentum_period', 'type': 'int', 'min': 7, 'max': 21, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_range_threshold', 'type': 'float', 'min': 0.002, 'max': 0.01, 'strategy': 'WaveTheoryStrategy'},
|
||
{'name': 'wave_adx_threshold', 'type': 'int', 'min': 15, 'max': 35, 'strategy': 'WaveTheoryStrategy'},
|
||
# DailyBreakoutStrategy
|
||
{'name': 'daily_breakout_bars_count', 'type': 'int', 'min': 720, 'max': 2880, 'strategy': 'DailyBreakoutStrategy'},
|
||
# Signal Thresholds
|
||
{'name': 'buy_threshold', 'type': 'float', 'min': 0.5, 'max': 3.0, 'strategy': 'signal'},
|
||
{'name': 'sell_threshold', 'type': 'float', 'min': -3.0, 'max': -0.5, 'strategy': 'signal'},
|
||
# ★ Strategy Weights
|
||
{'name': 'weight_MACrossStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_RSIStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_BollingerStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_MeanReversionStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_MomentumBreakoutStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_MACDStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_KDJStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_SwingPointRetestStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_DailyBreakoutStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
{'name': 'weight_WaveTheoryStrategy', 'type': 'float', 'min': 0.0, 'max': 2.0, 'strategy': 'weight'},
|
||
# Market State Analysis parameters
|
||
{'name': 'market_trend_period', 'type': 'int', 'min': 20, 'max': 100, 'strategy': 'market_state'},
|
||
{'name': 'market_retracement_tolerance', 'type': 'float', 'min': 0.1, 'max': 0.5, 'strategy': 'market_state'},
|
||
{'name': 'market_volume_period', 'type': 'int', 'min': 10, 'max': 50, 'strategy': 'market_state'},
|
||
{'name': 'market_volume_ma_period', 'type': 'int', 'min': 5, 'max': 30, 'strategy': 'market_state'},
|
||
# Trend Indicator Weights
|
||
{'name': 'trend_price_breakout_weight', 'type': 'float', 'min': 0.1, 'max': 0.5, 'strategy': 'trend_weights'},
|
||
{'name': 'trend_volume_confirmation_weight', 'type': 'float', 'min': 0.1, 'max': 0.5, 'strategy': 'trend_weights'},
|
||
{'name': 'trend_momentum_oscillator_weight', 'type': 'float', 'min': 0.1, 'max': 0.5, 'strategy': 'trend_weights'},
|
||
{'name': 'trend_moving_average_weight', 'type': 'float', 'min': 0.1, 'max': 0.5, 'strategy': 'trend_weights'},
|
||
# Trend Thresholds
|
||
{'name': 'trend_strong_threshold', 'type': 'float', 'min': 0.4, 'max': 0.8, 'strategy': 'trend_thresholds'},
|
||
{'name': 'trend_weak_threshold', 'type': 'float', 'min': 0.2, 'max': 0.5, 'strategy': 'trend_thresholds'},
|
||
{'name': 'trend_volume_spike', 'type': 'float', 'min': 1.0, 'max': 3.0, 'strategy': 'trend_thresholds'},
|
||
{'name': 'trend_oversold', 'type': 'int', 'min': 20, 'max': 40, 'strategy': 'trend_thresholds'},
|
||
{'name': 'trend_overbought', 'type': 'int', 'min': 60, 'max': 80, 'strategy': 'trend_thresholds'},
|
||
# Confidence Thresholds
|
||
{'name': 'confidence_high', 'type': 'float', 'min': 0.5, 'max': 0.9, 'strategy': 'confidence'},
|
||
{'name': 'confidence_medium', 'type': 'float', 'min': 0.3, 'max': 0.7, 'strategy': 'confidence'},
|
||
]
|
||
|
||
_class_name_to_config_key = {
|
||
"MACrossStrategy": "ma_cross",
|
||
"RSIStrategy": "rsi",
|
||
"BollingerStrategy": "bollinger",
|
||
"MeanReversionStrategy": "mean_reversion",
|
||
"MomentumBreakoutStrategy": "momentum_breakout",
|
||
"MACDStrategy": "macd",
|
||
"KDJStrategy": "kdj",
|
||
"SwingPointRetestStrategy": "swing_point",
|
||
"DailyBreakoutStrategy": "daily_breakout",
|
||
"WaveTheoryStrategy": "wave_theory",
|
||
}
|
||
|
||
|
||
def _trial_to_params(trial: optuna.Trial) -> dict:
|
||
"""从 Optuna trial 提取参数 → 兼容旧 _parse_individual 格式"""
|
||
parsed = {}
|
||
for param_def in PARAMETER_DEFINITIONS:
|
||
name = param_def['name']
|
||
if param_def['type'] == 'int':
|
||
val = trial.suggest_int(name, param_def['min'], param_def['max'])
|
||
else:
|
||
val = trial.suggest_float(name, param_def['min'], param_def['max'])
|
||
parsed[name] = val
|
||
return parsed
|
||
|
||
|
||
def _extract_strategy_params(parsed: dict) -> dict:
|
||
"""从解析后的参数提取策略参数字典"""
|
||
strategy_params = {}
|
||
for param_def in PARAMETER_DEFINITIONS:
|
||
strategy_name = param_def.get('strategy')
|
||
if strategy_name in ('weight', 'signal', 'risk', 'market_state',
|
||
'trend_weights', 'trend_thresholds', 'confidence'):
|
||
continue
|
||
if strategy_name not in strategy_params:
|
||
strategy_params[strategy_name] = {}
|
||
|
||
param_name = param_def['name']
|
||
if param_name == 'ma_cross_short_window': param_name = 'short_window'
|
||
elif param_name == 'ma_cross_long_window': param_name = 'long_window'
|
||
elif param_name == 'rsi_period': param_name = 'period'
|
||
elif param_name == 'rsi_overbought': param_name = 'overbought'
|
||
elif param_name == 'rsi_oversold': param_name = 'oversold'
|
||
elif param_name == 'bollinger_period': param_name = 'period'
|
||
elif param_name == 'bollinger_std_dev': param_name = 'std_dev'
|
||
elif param_name == 'macd_fast_ema': param_name = 'fast_ema'
|
||
elif param_name == 'macd_slow_ema': param_name = 'slow_ema'
|
||
elif param_name == 'macd_signal_period': param_name = 'signal_period'
|
||
elif param_name == 'mean_reversion_period': param_name = 'period'
|
||
elif param_name == 'mean_reversion_std_dev': param_name = 'std_dev'
|
||
elif param_name == 'momentum_breakout_period': param_name = 'period'
|
||
elif param_name == 'momentum_breakout_momentum_period': param_name = 'momentum_period'
|
||
elif param_name == 'kdj_period': param_name = 'period'
|
||
elif param_name == 'swing_point_left_bars': param_name = 'left_bars'
|
||
elif param_name == 'swing_point_right_bars': param_name = 'right_bars'
|
||
elif param_name == 'swing_point_tolerance_pct': param_name = 'tolerance_pct'
|
||
elif param_name == 'swing_point_num_swings': param_name = 'num_swings'
|
||
elif param_name.startswith("wave_"):
|
||
param_name = param_name[5:]
|
||
if param_name == "period": param_name = "wave_period"
|
||
elif param_name == 'daily_breakout_bars_count': param_name = 'bars_count'
|
||
|
||
strategy_params[strategy_name][param_name] = parsed[param_def['name']]
|
||
return strategy_params
|
||
|
||
|
||
def _extract_weight_genes(parsed: dict) -> dict:
|
||
"""提取权重基因 → {config_key: weight}"""
|
||
weight_genes = {}
|
||
for param_def in PARAMETER_DEFINITIONS:
|
||
if param_def.get('strategy') != 'weight':
|
||
continue
|
||
class_name = param_def['name'].replace('weight_', '')
|
||
config_key = _class_name_to_config_key.get(class_name, class_name.lower())
|
||
weight_genes[config_key] = parsed[param_def['name']]
|
||
return weight_genes
|
||
|
||
|
||
def _precompute_h1_states(multi_tf: MultiTimeframeDataStore, analyzer: MarketStateAnalyzer) -> list:
|
||
"""预计算H1市场状态序列 → 映射到M1时间轴"""
|
||
h1_df = multi_tf.ensure_timeframe(PERIOD_H1)
|
||
if h1_df is None or len(h1_df) == 0:
|
||
return [("none", 0.0)] * multi_tf.length
|
||
|
||
m1_index = multi_tf.main_df.index
|
||
h1_index = h1_df.index
|
||
|
||
h1_states = []
|
||
for i in range(len(h1_df)):
|
||
lookback = analyzer.trend_period + 10
|
||
start = max(0, i - lookback)
|
||
df_slice = h1_df.iloc[start:i + 1]
|
||
state, conf = analyzer._calculate_state_from_df(df_slice)
|
||
h1_states.append((state, conf))
|
||
|
||
m1_states = []
|
||
h1_pos = 0
|
||
first_h1_time = h1_index[0]
|
||
for m1_time in m1_index:
|
||
if m1_time < first_h1_time:
|
||
m1_states.append(("none", 0.0))
|
||
continue
|
||
while h1_pos < len(h1_index) - 1 and m1_time >= h1_index[h1_pos + 1]:
|
||
h1_pos += 1
|
||
if h1_pos < len(h1_states):
|
||
m1_states.append(h1_states[h1_pos])
|
||
else:
|
||
m1_states.append(("none", 0.0))
|
||
return m1_states
|
||
|
||
|
||
def evaluate_fitness(trial: optuna.Trial, multi_tf: MultiTimeframeDataStore) -> float:
|
||
"""★ Optuna 适应度函数 — 所有权重/策略/趋势参数真正生效"""
|
||
parsed = _trial_to_params(trial)
|
||
|
||
# 1. 策略参数
|
||
strategy_params = _extract_strategy_params(parsed)
|
||
# 2. 权重基因
|
||
weight_genes = _extract_weight_genes(parsed)
|
||
# 3. 风控参数（从 config 读，不进优化器）
|
||
risk_params = {
|
||
'stop_loss_pct': RISK_CONFIG.get('stop_loss_pct', -0.50),
|
||
'profit_retracement_pct': RISK_CONFIG.get('profit_retracement_pct', 0.35),
|
||
'min_profit_for_trailing': RISK_CONFIG.get('min_profit_for_trailing', 0.70),
|
||
'take_profit_pct': RISK_CONFIG.get('take_profit_pct', 1.00),
|
||
'max_holding_minutes': RISK_CONFIG.get('max_holding_minutes', 0),
|
||
'min_profit_for_time_exit': RISK_CONFIG.get('min_profit_for_time_exit', 0.005),
|
||
'max_daily_loss': RISK_CONFIG.get('max_daily_loss', -0.30),
|
||
}
|
||
|
||
# 4. 市场状态和趋势参数
|
||
market_params = {
|
||
'trend_period': parsed.get('market_trend_period', 50),
|
||
'retracement_tolerance': parsed.get('market_retracement_tolerance', 0.30),
|
||
'volume_period': parsed.get('market_volume_period', 20),
|
||
'volume_ma_period': parsed.get('market_volume_ma_period', 10),
|
||
'hourly_data_count': 100,
|
||
}
|
||
trend_weights = {
|
||
'price_breakout': parsed.get('trend_price_breakout_weight', 0.35),
|
||
'volume_confirmation': parsed.get('trend_volume_confirmation_weight', 0.25),
|
||
'momentum oscillator': parsed.get('trend_momentum_oscillator_weight', 0.20),
|
||
'moving_average': parsed.get('trend_moving_average_weight', 0.20),
|
||
}
|
||
trend_thresholds = {
|
||
'strong_trend': parsed.get('trend_strong_threshold', 0.6),
|
||
'weak_trend': parsed.get('trend_weak_threshold', 0.3),
|
||
'volume_spike': parsed.get('trend_volume_spike', 1.5),
|
||
'oversold': parsed.get('trend_oversold', 30),
|
||
'overbought': parsed.get('trend_overbought', 70),
|
||
}
|
||
confidence_thresholds = {
|
||
'high_confidence': parsed.get('confidence_high', 0.7),
|
||
'medium_confidence': parsed.get('confidence_medium', 0.4),
|
||
}
|
||
|
||
# 5. MarketStateAnalyzer
|
||
analyzer = MarketStateAnalyzer(
|
||
timeframe=PERIOD_H1,
|
||
market_state_params=market_params,
|
||
trend_weights=trend_weights,
|
||
trend_thresholds=trend_thresholds,
|
||
confidence_thresholds=confidence_thresholds,
|
||
)
|
||
analyzer._precomputed_states = _precompute_h1_states(multi_tf, analyzer)
|
||
|
||
# 5.5 用个体策略参数重新计算信号
|
||
strategy_params_by_key = {
|
||
_class_name_to_config_key.get(cn, cn.lower()): params
|
||
for cn, params in strategy_params.items()
|
||
}
|
||
registry = StrategyRegistry()
|
||
sig_instances = registry.instantiate_all(SYMBOL, TIMEFRAME, strategy_params_by_key)
|
||
signals_df = pd.DataFrame(index=multi_tf.main_df.index)
|
||
for config_key, strat in sig_instances.items():
|
||
try:
|
||
sig = strat.run_backtest(multi_tf.main_df)
|
||
signals_df[config_key] = sig if sig is not None else pd.Series(0, index=signals_df.index)
|
||
except Exception:
|
||
signals_df[config_key] = pd.Series(0, index=signals_df.index)
|
||
|
||
# 6. 回测环境
|
||
data_provider = BacktestDataProvider(multi_tf, INITIAL_CAPITAL)
|
||
pm = PositionManager(data_provider, trade_direction="both", risk_config=risk_params,
|
||
persist_peaks=False)
|
||
|
||
buy_th = parsed.get('buy_threshold', 1.5)
|
||
sell_th = parsed.get('sell_threshold', -1.5)
|
||
total_bars = multi_tf.length
|
||
|
||
# 7. 逐 bar 回测
|
||
for bar_index in range(total_bars):
|
||
current_price = data_provider.get_current_price(SYMBOL)
|
||
if not current_price:
|
||
data_provider.tick()
|
||
continue
|
||
|
||
state, conf = analyzer.get_market_state(bar_index)
|
||
weights = analyzer.get_strategy_weights(state, conf, individual_weights=weight_genes)
|
||
|
||
bar_signals = {col: signals_df[col].iloc[bar_index] for col in signals_df.columns}
|
||
final_signal = SignalCombiner.combine_at_bar(bar_signals, weights, buy_th, sell_th)
|
||
|
||
if final_signal == 1:
|
||
pm.open_position("buy", current_price, 1.0, dry_run=True)
|
||
elif final_signal == -1:
|
||
pm.open_position("sell", current_price, 1.0, dry_run=True)
|
||
|
||
pm.monitor_positions(current_price, dry_run=True)
|
||
data_provider.tick()
|
||
|
||
# 8. 适应度 = 总盈亏
|
||
return pm.total_equity - INITIAL_CAPITAL
|
||
|
||
|
||
def _json_to_mt5_rates(rates_data):
|
||
"""远程API JSON → MT5 numpy 结构化数组"""
|
||
if not rates_data:
|
||
return None
|
||
records = [(r['time'], r['open'], r['high'], r['low'], r['close'],
|
||
r.get('tick_volume', 0), r.get('spread', 0), r.get('real_volume', 0))
|
||
for r in rates_data]
|
||
return np.array(records, dtype=_MT5_RATES_DTYPE)
|
||
|
||
|
||
def load_historical_data():
|
||
"""一次性加载M1数据并返回 MultiTimeframeDataStore"""
|
||
if DATA_PROVIDER_MODE == "remote":
|
||
provider = RemoteDataProvider(host=REMOTE_SERVER_HOST, port=REMOTE_SERVER_PORT)
|
||
if not provider.initialize():
|
||
raise RuntimeError("远程MT5 API初始化失败，请检查 Windows MT5 是否运行")
|
||
rates_json = provider.get_historical_data(SYMBOL, TIMEFRAME, OPTIMIZER_COUNT)
|
||
provider.shutdown()
|
||
if not rates_json:
|
||
raise RuntimeError("远程获取历史数据失败")
|
||
rates = _json_to_mt5_rates(rates_json)
|
||
else:
|
||
initialize()
|
||
rates = (get_rates(SYMBOL, TIMEFRAME, OPTIMIZER_COUNT, OPTIMIZER_START_DATE, OPTIMIZER_END_DATE)
|
||
if USE_DATE_RANGE else get_rates(SYMBOL, TIMEFRAME, OPTIMIZER_COUNT))
|
||
shutdown()
|
||
|
||
if rates is None or len(rates) == 0:
|
||
raise RuntimeError("获取历史数据失败")
|
||
if len(rates) > OPTIMIZER_COUNT:
|
||
rates = rates[-OPTIMIZER_COUNT:]
|
||
|
||
store = MultiTimeframeDataStore()
|
||
store.load_m1_data(rates)
|
||
store.ensure_timeframe(PERIOD_H1)
|
||
return store
|
||
|
||
|
||
def save_optimization_results(best_params: dict, best_fitness: float, study: optuna.Study):
|
||
"""保存优化结果（兼容旧格式）"""
|
||
timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
|
||
import json
|
||
|
||
results = {
|
||
'best_fitness': best_fitness,
|
||
'best_params': best_params,
|
||
'n_trials': len(study.trials),
|
||
'optimizer': 'optuna_tpe',
|
||
}
|
||
json_path = f"optimization_results_{timestamp}.json"
|
||
with open(json_path, 'w', encoding='utf-8') as f:
|
||
json.dump(results, f, ensure_ascii=False, indent=2, default=str)
|
||
logger.info(f"结果已保存: {json_path}")
|
||
|
||
txt_path = f"optimization_report_{timestamp}.txt"
|
||
with open(txt_path, 'w', encoding='utf-8') as f:
|
||
f.write(f"优化完成时间: {datetime.now()}\n")
|
||
f.write(f"最佳适应度: {best_fitness:.2f}\n")
|
||
f.write(f"试验次数: {len(study.trials)}\n\n")
|
||
f.write("最佳参数:\n")
|
||
for key, value in best_params.items():
|
||
f.write(f" {key}: {value}\n")
|
||
logger.info(f"报告已保存: {txt_path}")
|
||
|
||
|
||
def run_optimizer():
|
||
"""★ Optuna TPE 贝叶斯优化（替代 DEAP 遗传算法）"""
|
||
try:
|
||
# 1. 加载数据
|
||
logger.info("加载历史数据...")
|
||
multi_tf = load_historical_data()
|
||
logger.info(f"数据加载完成: {multi_tf.length} 条M1数据")
|
||
|
||
# 2. Optuna study
|
||
sampler = optuna.samplers.TPESampler(seed=SEED, n_startup_trials=10)
|
||
study = optuna.create_study(direction="maximize", sampler=sampler)
|
||
|
||
# 3. 优化（4进程并行，静默回测日志避免 I/O 争用）
|
||
optuna.logging.set_verbosity(optuna.logging.WARNING)
|
||
import logging as _logging
|
||
_old_level = logger.level
|
||
_old_handler_levels = [h.level for h in logger.handlers]
|
||
logger.setLevel(_logging.WARNING)
|
||
for h in logger.handlers:
|
||
h.setLevel(_logging.WARNING)
|
||
logger.info(f"开始贝叶斯优化: 50 次试验, TPE sampler (回测日志已静默)")
|
||
try:
|
||
study.optimize(
|
||
lambda trial: evaluate_fitness(trial, multi_tf),
|
||
n_trials=50,
|
||
n_jobs=4,
|
||
show_progress_bar=False,
|
||
)
|
||
finally:
|
||
logger.setLevel(_old_level)
|
||
for h, lvl in zip(logger.handlers, _old_handler_levels):
|
||
h.setLevel(lvl)
|
||
|
||
# 4. 结果
|
||
best_fitness = study.best_value
|
||
best_params = study.best_params
|
||
logger.info(f"优化完成: 最佳适应度={best_fitness:.2f}, 试验次数={len(study.trials)}")
|
||
|
||
save_optimization_results(best_params, best_fitness, study)
|
||
|
||
return best_params, best_fitness
|
||
|
||
except Exception as e:
|
||
import traceback
|
||
logger.error(f"优化器错误: {e}\n{traceback.format_exc()}")
|
||
raise
|
||
|
||
|
||
if __name__ == "__main__":
|
||
run_optimizer()
|