mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-08-02 21:57:43 +00:00
songkunling
63 lines
2.1 KiB
Python
63 lines
2.1 KiB
Python
import MetaTrader5 as mt5
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import pandas as pd
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from utils import get_rates, has_open_position, close_all, send_order
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from logger import logger
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class Strategy:
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def __init__(self):
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self.symbol = "XAUUSD"
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self.timeframe = mt5.TIMEFRAME_M1
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self.kdj_period = 9
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def _calculate_indicators(self, df):
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"""
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计算KDJ指标
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"""
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low_min = df['low'].rolling(self.kdj_period).min()
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high_max = df['high'].rolling(self.kdj_period).max()
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rsv = (df['close'] - low_min) / (high_max - low_min) * 100
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df['k'] = rsv.ewm(com=2).mean()
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df['d'] = df['k'].ewm(com=2).mean()
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df['j'] = 3 * df['k'] - 2 * df['d']
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return df
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def generate_signal(self):
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"""
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KDJ策略实盘
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K线向上穿越D线（金叉）买入，K线向下穿越D线（死叉）卖出
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"""
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rates = get_rates(self.symbol, self.timeframe, self.kdj_period + 30)
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if rates is None or len(rates) < self.kdj_period:
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return 0
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df = pd.DataFrame(rates)
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df = self._calculate_indicators(df)
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# Golden cross
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if df['k'].iloc[-2] < df['d'].iloc[-2] and df['k'].iloc[-1] > df['d'].iloc[-1]:
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logger.info(f"KDJ Golden Cross, creating buy signal: {self.symbol}")
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return 1
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# Dead cross
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elif df['k'].iloc[-2] > df['d'].iloc[-2] and df['k'].iloc[-1] < df['d'].iloc[-1]:
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logger.info(f"KDJ Dead Cross, creating sell signal: {self.symbol}")
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return -1
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return 0
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def run_backtest(self, df):
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"""
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KDJ回测方法
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根据金叉和死叉生成信号
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"""
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df = df.copy()
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df = self._calculate_indicators(df)
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signals = pd.Series(0, index=df.index)
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for i in range(1, len(df)):
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# Golden cross
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if df['k'].iloc[i-1] < df['d'].iloc[i-1] and df['k'].iloc[i] > df['d'].iloc[i]:
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signals.iat[i] = 1
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# Dead cross
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elif df['k'].iloc[i-1] > df['d'].iloc[i-1] and df['k'].iloc[i] < df['d'].iloc[i]:
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signals.iat[i] = -1
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return signals
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