mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-08-07 16:07:56 +00:00
songkunling
69 lines
2.2 KiB
Python
69 lines
2.2 KiB
Python
import MetaTrader5 as mt5
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import pandas as pd
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from datetime import datetime
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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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def _calculate_indicators(self, df):
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"""
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计算日内突破指标
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"""
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df['time'] = pd.to_datetime(df['time'], unit='s')
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today = datetime.now().date()
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day_data = df[df['time'].dt.date == today]
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if day_data.empty:
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return df, None, None
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day_high = day_data['high'].max()
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day_low = day_data['low'].min()
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return df, day_high, day_low
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def generate_signal(self):
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"""
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日内突破策略实盘
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当价格突破当日最高买入，突破当日最低卖出
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"""
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rates = get_rates(self.symbol, self.timeframe, 1440) # 24 hours * 60 minutes
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if rates is None or len(rates) < 2:
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return 0
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df = pd.DataFrame(rates)
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df, day_high, day_low = self._calculate_indicators(df)
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if day_high is None or day_low is None:
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return 0
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if df['close'].iloc[-2] > day_high:
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logger.info(f"价格突破当日最高，产生买入信号: {self.symbol}")
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return 1
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elif df['close'].iloc[-2] < day_low:
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logger.info(f"价格突破当日最低，产生卖出信号: {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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日内突破回测方法
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计算每个交易日的高低点，突破买卖信号
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"""
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df = df.copy()
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df['time'] = pd.to_datetime(df['time'], unit='s')
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signals = pd.Series(0, index=df.index)
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grouped = df.groupby(df['time'].dt.date)
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for date, group in grouped:
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day_high = group['high'].max()
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day_low = group['low'].min()
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for i, row in group.iterrows():
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if row['close'] > day_high:
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signals.loc[i] = 1
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elif row['close'] < day_low:
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signals.loc[i] = -1
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return signals
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