mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-08-12 18:28:09 +00:00
55 lines
1.9 KiB
Python
55 lines
1.9 KiB
Python
import MetaTrader5 as mt5
|
|
import pandas as pd
|
|
from utils import get_rates, has_open_position, close_all, send_order
|
|
from logger import logger
|
|
|
|
|
|
class Strategy:
|
|
def __init__(self):
|
|
self.symbol = "XAUUSD"
|
|
self.timeframe = mt5.TIMEFRAME_M1
|
|
self.breakout_period = 20
|
|
|
|
def _calculate_indicators(self, df):
|
|
"""
|
|
计算动量突破指标
|
|
"""
|
|
df['high_20'] = df['high'].rolling(self.breakout_period).max()
|
|
df['low_20'] = df['low'].rolling(self.breakout_period).min()
|
|
return df
|
|
|
|
def generate_signal(self):
|
|
"""
|
|
动量突破策略实盘
|
|
价格突破过去20根K线最高点买入，突破最低点卖出
|
|
"""
|
|
rates = get_rates(self.symbol, self.timeframe, self.breakout_period + 30)
|
|
if rates is None or len(rates) < self.breakout_period:
|
|
return 0
|
|
df = pd.DataFrame(rates)
|
|
df = self._calculate_indicators(df)
|
|
|
|
if df['close'].iloc[-2] > df['high_20'].iloc[-3]:
|
|
logger.info(f"价格突破{self.breakout_period}日最高点，产生买入信号: {self.symbol}")
|
|
return 1
|
|
elif df['close'].iloc[-2] < df['low_20'].iloc[-3]:
|
|
logger.info(f"价格突破{self.breakout_period}日最低点，产生卖出信号: {self.symbol}")
|
|
return -1
|
|
return 0
|
|
|
|
def run_backtest(self, df):
|
|
"""
|
|
动量突破回测方法
|
|
过去20根K线最高最低突破生成买卖信号
|
|
"""
|
|
df = df.copy()
|
|
df = self._calculate_indicators(df)
|
|
|
|
signals = pd.Series(0, index=df.index)
|
|
for i in range(self.breakout_period, len(df)):
|
|
if df['close'].iloc[i-1] > df['high_20'].iloc[i-2]:
|
|
signals.iat[i] = 1
|
|
elif df['close'].iloc[i-1] < df['low_20'].iloc[i-2]:
|
|
signals.iat[i] = -1
|
|
return signals
|