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https://github.com/silencesdg/mt5_python_ea_suite.git
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silencesdg
0fcd676a0a
- risk_leverage=100: 0.01手按7保证金算，不改变实际杠杆 - _calculate_pnl_pct: dollar_pnl / position_margin - 硬止损: 保证金% × 开仓保证金 × 倍率 - RISK_CONFIG: SL-50%/TP+100%/拖尾+70%/回撤35%（均为保证金%）
298 lines
9.4 KiB
Python
298 lines
9.4 KiB
Python
# MT5 代理服务配置
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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 = 50000 # 优化器数据量
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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": 1, # 同方向只持一单，避免重复开仓
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"max_short_positions": 1, # 同方向只持一单
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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": 50, # 种群大小
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"generations": 10, # 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": 1.0315663601353515,
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"sell_threshold": -2.312867704316165
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}
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# 风险管理参数（优化器结果 2026-05-10，5万根M1数据）
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RISK_CONFIG = {
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# ★ 以下百分比均为保证金%（开仓成本%），非金价涨跌%、非账户%
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# risk_leverage 控制计算杠杆：设100则0.01手按$47保证金算%
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# 例：亏损$25 / 保证金$47 = -53%，而不是 $25/账户$1682=-1.5%
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"risk_leverage": 100, # 计算杠杆（实际杠杆不变，仅影响%基准）
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"stop_loss_pct": -0.50, # -50% 保证金（亏一半保证金就平）
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"profit_retracement_pct": 0.35, # 35% 保证金（拖尾回撤容忍）
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"min_profit_for_trailing": 0.70, # +70% 保证金后激活拖尾
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"take_profit_pct": 1.00, # +100% 保证金（赚一倍保证金就平）
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"max_daily_loss": -0.3,
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"max_holding_minutes": 133,
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"min_profit_for_time_exit": 0.010,
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"cooldown_bars": 30,
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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（-1.5%→-2.25%账户）
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"hard_tp_multiplier": 1.3, # 硬 TP = 软 TP × 1.3（+3.0%→+3.9%账户）
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}
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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": 83,
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"retracement_tolerance": 0.15567164907853615,
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"volume_period": 29,
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"volume_ma_period": 23
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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": 13,
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"long_window": 17
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},
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"rsi": {
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"period": 30,
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"overbought": 68,
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"oversold": 32
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},
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"bollinger": {
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"period": 20,
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"std_dev": 2.4663422649047333
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},
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"macd": {
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"fast_ema": 14,
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"slow_ema": 24,
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"signal_period": 9
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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": 13
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},
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"kdj": {
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"period": 21
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},
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"turtle": {
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"period": 42
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},
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"daily_breakout": {
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"bars_count": 2008
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},
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"wave_theory": {
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"ema_short": 3,
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"ema_medium": 11,
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"ema_long": 46,
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"wave_period": 11,
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"range_period": 35,
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"adx_period": 20,
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"momentum_period": 10,
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"range_threshold": 0.01,
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"adx_threshold": 21
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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": 0.1504199442999585,
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"volume_confirmation": 0.12782205952949638,
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"momentum oscillator": 0.3677,
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"moving_average": 0.4092273363154768
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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": 0.7940886082643032,
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"weak_trend": 0.4565953163045441,
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"volume_spike": 2.7329673335105396,
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"oversold": 32,
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"overbought": 68
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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": 0.32048324544087786,
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"rsi": 1.906009222972592,
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"bollinger": 0.9232444456662969,
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"mean_reversion": 1.1649306516234597,
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"momentum_breakout": 0.8769099086178171,
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"macd": 0.748930985323352,
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"kdj": 1.4647470623067596,
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"turtle": 1.637931136008917,
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"daily_breakout": 1.478598649389487,
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"wave_theory": 0.818283180489803
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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": 0.32048324544087786,
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"momentum_breakout": 0.8769099086178171,
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"turtle": 1.637931136008917,
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"macd": 0.748930985323352,
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"daily_breakout": 1.478598649389487,
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"rsi": 1.906009222972592,
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"bollinger": 0.9232444456662969,
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"kdj": 1.4647470623067596,
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"mean_reversion": 1.1649306516234597,
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"wave_theory": 0.818283180489803
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},
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"downtrend": {
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"ma_cross": 0.32048324544087786,
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"momentum_breakout": 0.8769099086178171,
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"turtle": 1.637931136008917,
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"macd": 0.748930985323352,
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"daily_breakout": 1.478598649389487,
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"rsi": 1.906009222972592,
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"bollinger": 0.9232444456662969,
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"kdj": 1.4647470623067596,
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"mean_reversion": 1.1649306516234597,
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"wave_theory": 0.818283180489803
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},
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"ranging": {
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"rsi": 1.906009222972592,
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"bollinger": 0.9232444456662969,
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"mean_reversion": 1.1649306516234597,
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"kdj": 1.4647470623067596,
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"wave_theory": 0.818283180489803,
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"ma_cross": 0.32048324544087786,
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"macd": 0.748930985323352,
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"turtle": 1.637931136008917,
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"momentum_breakout": 0.8769099086178171,
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"daily_breakout": 1.478598649389487
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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": 0.6813641209473742,
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"medium_confidence": 0.6336441706563001
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}
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