回测基本一致

shared/mt5_pipeline/set_gen.py

@@ -0,0 +1,71 @@
+""".set file generator (doc 07 §2a).
+
+A ``.set`` is the EA's inputs serialized as ``key=value`` lines. **MT5 writes
+``.set`` files as UTF-16-LE** — generate yours in the same encoding or the
+tester silently ignores them.
+
+The bridge's set generator takes the *same* parameter dict you backtested in
+Python and writes the matching ``.set``. The mapping from Python parameter
+names to EA input names is strategy-specific — keep a small mapping table
+next to the strategy so the two tiers always agree. Watch the enum-valued
+inputs (mode flags, timeframe codes): MT5 inputs are often integers.
+"""
+from __future__ import annotations
+
+from dataclasses import dataclass
+from pathlib import Path
+from typing import Any, Mapping
+
+SET_FILE_ENCODING = "utf-16-le"
+
+
+@dataclass
+class ParamMapping:
+    """Maps a Python param name to an EA input name (+ enum cast if needed).
+
+    ``cast`` converts a Python value to the EA input's wire form (e.g. a
+    timeframe string to its ``ENUM_TIMEFRAMES`` integer, a bool to ``true``/
+    ``false``). Defaults to identity.
+    """
+
+    py_name: str
+    ea_name: str
+    cast: Any = None  # callable(value) -> str, optional
+
+    def to_wire(self, value: Any) -> str:
+        v = self.cast(value) if self.cast is not None else value
+        if isinstance(v, bool):
+            return "true" if v else "false"
+        if isinstance(v, float) and v.is_integer():
+            return str(int(v))
+        return str(v)
+
+
+def write_set_file(
+    params: Mapping[str, Any],
+    mappings: list[ParamMapping],
+    path: str | Path,
+    *,
+    extra_lines: list[str] | None = None,
+) -> None:
+    """Write a ``.set`` file (UTF-16-LE) from a Python params dict.
+
+    Only parameters with a mapping are written — frozen baseline values that
+    match the EA's compiled-in defaults can be omitted. ``extra_lines`` lets a
+    strategy inject raw ``key=value`` lines that don't have a Python
+    counterpart (e.g. EA constants).
+
+    **Lot-mode guard (doc 05 §4, doc 07 §2a):** make sure the fixed-lot input
+    is ``0`` if you intend money mode — a mismatched ``.set`` is the #1 reason
+    a verified MT5 number disagrees with Python.
+    """
+    out = Path(path)
+    out.parent.mkdir(parents=True, exist_ok=True)
+    lines: list[str] = ["; Generated by the MT5 bridge (UTF-16-LE)"]
+    for m in mappings:
+        if m.py_name in params:
+            lines.append(f"{m.ea_name}={m.to_wire(params[m.py_name])}")
+    if extra_lines:
+        lines.extend(extra_lines)
+    text = "\n".join(lines) + "\n"
+    out.write_bytes(text.encode(SET_FILE_ENCODING))