mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-29 03:37:43 +00:00
songkunling
40 lines
1.9 KiB
Python
40 lines
1.9 KiB
Python
import pandas as pd
|
|
from .base_strategy import BaseStrategy
|
|
from config import STRATEGY_CONFIG
|
|
|
|
class MACDStrategy(BaseStrategy):
|
|
def __init__(self, data_provider, symbol, timeframe, fast_ema=None, slow_ema=None, signal_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('macd', {})
|
|
self.fast_ema = fast_ema if fast_ema is not None else config.get('fast_ema', 12)
|
|
self.slow_ema = slow_ema if slow_ema is not None else config.get('slow_ema', 26)
|
|
self.signal_period = signal_period if signal_period is not None else config.get('signal_period', 9)
|
|
|
|
def _calculate_indicators(self, df):
|
|
df['exp12'] = df['close'].ewm(span=self.fast_ema, adjust=False).mean()
|
|
df['exp26'] = df['close'].ewm(span=self.slow_ema, adjust=False).mean()
|
|
df['dif'] = df['exp12'] - df['exp26']
|
|
df['dea'] = df['dif'].ewm(span=self.signal_period, adjust=False).mean()
|
|
return df
|
|
|
|
def generate_signal(self):
|
|
rates = self.data_provider.get_historical_data(self.symbol, self.timeframe, self.slow_ema + self.signal_period + 5)
|
|
if rates is None or len(rates) < self.slow_ema + self.signal_period:
|
|
return 0
|
|
df = pd.DataFrame(rates)
|
|
df = self._calculate_indicators(df)
|
|
|
|
if df['dif'].iloc[-1] > df['dea'].iloc[-1] and df['dif'].iloc[-2] <= df['dea'].iloc[-2]:
|
|
return 1
|
|
elif df['dif'].iloc[-1] < df['dea'].iloc[-1] and df['dif'].iloc[-2] >= df['dea'].iloc[-2]:
|
|
return -1
|
|
return 0
|
|
|
|
def run_backtest(self, df):
|
|
df = df.copy()
|
|
df = self._calculate_indicators(df)
|
|
signals = pd.Series(0, index=df.index)
|
|
signals[(df['dif'] > df['dea']) & (df['dif'].shift(1) <= df['dea'].shift(1))] = 1
|
|
signals[(df['dif'] < df['dea']) & (df['dif'].shift(1) >= df['dea'].shift(1))] = -1
|
|
return signals |