mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-29 11:47:44 +00:00
songkunling
36 lines
1.4 KiB
Python
36 lines
1.4 KiB
Python
import pandas as pd
|
|
from .base_strategy import BaseStrategy
|
|
from config import STRATEGY_CONFIG
|
|
|
|
class TurtleStrategy(BaseStrategy):
|
|
def __init__(self, data_provider, symbol, timeframe, 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('turtle', {})
|
|
self.period = period if period is not None else config.get('period', 20)
|
|
|
|
def _calculate_indicators(self, df):
|
|
df['high_period'] = df['high'].rolling(self.period).max()
|
|
df['low_period'] = df['low'].rolling(self.period).min()
|
|
return df
|
|
|
|
def generate_signal(self):
|
|
rates = self.data_provider.get_historical_data(self.symbol, self.timeframe, self.period + 2)
|
|
if rates is None or len(rates) < self.period + 1:
|
|
return 0
|
|
df = pd.DataFrame(rates)
|
|
df = self._calculate_indicators(df)
|
|
|
|
if df['close'].iloc[-1] > df['high_period'].iloc[-2]:
|
|
return 1
|
|
elif df['close'].iloc[-1] < df['low_period'].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['close'] > df['high_period'].shift(1)] = 1
|
|
signals[df['close'] < df['low_period'].shift(1)] = -1
|
|
return signals |