Commit: 2ec087034349def7169d4a604073e79e98b86229 - mt5-operator (git)

Commit MetaInfo

• Revision: 2ec087034349def7169d4a604073e79e98b86229 (tree)
• Time: 2023-03-19 10:39:33
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

mt5.TIMEFRAME_M3に変更
indicatorの再評価を追加

Change Summary

• modified: src/config/setting.ini
• modified: src/exchange_rate_info.py
• modified: src/main.py
• modified: src/trade_mng.py

Incremental Difference

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -22,6 +22,9 @@ Magic = 1
 # Tick Volumeを出来高の代用とし売買の活発度の指標とする
 # 過去6分間の下限を下回ると新規注文を控える
 TickVolumeLimit = 200
+# TimeFrame
+# 分単位の時間足設定(1-60)
+TimeFrame = 3
 
 # 口座設定
 [Account]
@@ -34,31 +37,31 @@ LossCut = 1.0
 [Strategy]
 # 許容スプリット(円)
 # 0.3~1.7銭がoandaの配信範囲94%
-Allowablespread = 0.01
+Allowablespread = 0.05
 # 取得した価格から注文を実行するトリガー値(円)
 # 1銭は0.01円
 OpenMergin = 0.007
 # 利益確定(円)
 ProfitTaking = 0.05
 # FXコアタイムの利益確定(円)
-CoreTimeProfitTaking = 0.275
+CoreTimeProfitTaking = 0.5
 # FXアイドルタイムの利益確定(円)
-IdleTimeProfitTaking = 0.05
+IdleTimeProfitTaking = 0.1
 # 損切(円)
-LossCut = 0.5
+LossCut = 1.85
 
 # テクニカル分析
 [Technical]
 # 短期EMAの期間
-FastEMAperiod = 16
+FastEMAperiod = 12
 # 長期EMAの期間
-SlowEMAperiod = 66
+SlowEMAperiod = 25
 # シグナルの期間
-Signalperiod = 27
+Signalperiod = 16
 # 交差角度閾値
-CrossingAngleThreshold = 0.925
+CrossingAngleThreshold = 0.375
 
-; MACDCross(n1=16,n2=66,ns=27,angle=37,take=2,cut=20)
-; crossover_angle = 0.925
-; ProfitTaking = 0.05
-; LossCut = 0.5
\ No newline at end of file
+; MACDCross(n1=12,n2=25,ns=16,angle=15,take=60,cut=74)
+; crossover_angle = 0.375
+; ProfitTaking = 1.5
+; LossCut = 1.85
\ No newline at end of file

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -40,6 +40,10 @@ class ExchangeRateInfo():
             self.__ns = int(s['Technical']['Signalperiod'])
             # 交差角度閾値
             self.__angle = float(s['Technical']['CrossingAngleThreshold'])
+            # 時間足設定値
+            self.__time_frame = int(
+                s['Trade']['TimeFrame']
+            )
         except Exception as e:
             logger.error(e)
             raise
@@ -49,6 +53,7 @@ class ExchangeRateInfo():
     def __get_latest_rate(self) -> tuple:
         """最新レート取得
         """
+        # mt5.TIMEFRAME_M1は固定
         rate = mt5.copy_rates_from_pos(
             self.__cp,
             mt5.TIMEFRAME_M1,
@@ -66,7 +71,7 @@ class ExchangeRateInfo():
         """
         rates = mt5.copy_rates_from_pos(
             self.__cp,
-            mt5.TIMEFRAME_M1,
+            self.__time_frame,
             0,
             count
         )
@@ -286,7 +291,7 @@ class ExchangeRateInfo():
                 msg = msg + ' Already judged loss cut.'
                 s.technical_indicator = DEF.TECHNICAL_UPTREND
                 s.turning_point = None
-                s.close_position = False
+                s.close_position = True
 
             elif self.__crossover([0.0, 0.0], macdsignal[-2:]) and \
                     s.turning_point is True:
@@ -298,18 +303,70 @@ class ExchangeRateInfo():
                 msg = msg + ' Already judged loss cut.'
                 s.technical_indicator = DEF.TECHNICAL_DOWNTREND
                 s.turning_point = None
-                s.close_position = True
+                s.close_position = False
 
+                # 2023-03-17 05:53:50 num[-3]: MACD: 0.0601, MACDSignal: 0.0504
+                # 2023-03-17 05:53:50 num[-2]: MACD: 0.0557, MACDSignal: 0.051
+                # 2023-03-17 05:53:50 num[-1]: MACD: 0.0518, MACDSignal: 0.0511
+                # 2023-03-17 05:53:50 befor turning point:True
+                # 2023-03-17 05:53:50 Technical Indicator: Uptrend.
+                # 2023-03-17 05:59:50 num[-3]: MACD: 0.0525, MACDSignal: 0.0512
+                # 2023-03-17 05:59:50 num[-2]: MACD: 0.0494, MACDSignal: 0.051
+                # 2023-03-17 05:59:50 num[-1]: MACD: 0.0447, MACDSignal: 0.0501
+                # 2023-03-17 05:59:50 befor turning point:True
+                # 2023-03-17 05:59:50 Technical Indicator: Downtrand.
+                # turning pointとindicatorの状態が飛ぶ場合があるので対策を講じる
+                # 状態不一致はひとつ前のmacd再評価を行う
             elif macd[-1] > macdsignal[-1]:
-                # 上昇トレンド
-                msg = 'Technical Indicator: Uptrend.'
-                s.technical_indicator = DEF.TECHNICAL_UPTREND
-
+                if s.turning_point is False:
+                    # ひとつ前のmacd再評価
+                    # 交差角度算出
+                    re_v_angle = self.__vector_angle(
+                        macd[-3:-1],
+                        macdsignal[-3:-1]
+                    )
+                    if self.__crossover(macd[-3:-1], macdsignal[-3:-1]):
+                        msg = (
+                            'Revaluation CrossOver up.'
+                            f' vector angle:{re_v_angle}'
+                        )
+                        if re_v_angle > self.__angle:
+                            # GoldenCross 上昇転換サイン
+                            s.technical_indicator = DEF.TECHNICAL_GOLDEN_CROSS
+                            s.turning_point = True
+                            msg = msg + ' Technical Indicator: GoldenCross.'
+                        else:
+                            msg = msg + ' Already judged goldencross.'
+                            s.technical_indicator = DEF.TECHNICAL_UPTREND
+                else:
+                    # 上昇トレンド
+                    msg = 'Technical Indicator: Uptrend.'
+                    s.technical_indicator = DEF.TECHNICAL_UPTREND
             elif macd[-1] < macdsignal[-1]:
-                # 降下トレンド
-                s.technical_indicator = DEF.TECHNICAL_DOWNTREND
-                msg = 'Technical Indicator: Downtrand.'
-
+                if s.turning_point is True:
+                    # ひとつ前のmacd再評価
+                    # 交差角度算出
+                    re_v_angle = self.__vector_angle(
+                        macd[-3:-1],
+                        macdsignal[-3:-1]
+                    )
+                    if self.__crossover(macdsignal[-3:-1], macd[-3:-1]):
+                        msg = (
+                            'Revaluation CrossOver down.'
+                            f' vector angle:{v_angle}'
+                        )
+                        if re_v_angle > self.__angle:
+                            # DeadCross 降下転換サイン
+                            s.technical_indicator = DEF.TECHNICAL_DEAD_CROSS
+                            s.turning_point = False
+                            msg = msg + ' Technical Indicator: DeadCross.'
+                        else:
+                            msg = msg + ' Already judged deadcross.'
+                            s.technical_indicator = DEF.TECHNICAL_DOWNTREND
+                else:
+                    # 降下トレンド
+                    s.technical_indicator = DEF.TECHNICAL_DOWNTREND
+                    msg = 'Technical Indicator: Downtrand.'
             else:
                 # いずれにも該当しない
                 s.technical_indicator = DEF.TECHNICAL_UNCHANGED
@@ -335,6 +392,13 @@ class ExchangeRateInfo():
     def execute(self):
         """処理実行
         """
+        # 時間足に合わせて動作チェック
+        # 時間足より1分早く動作
+        if self.__time_frame > 1:
+            if (datetime.now().minute % self.__time_frame) != \
+                    (self.__time_frame - 1):
+                return
+
         s = Setting()
 
         # 市場チェック

--- a/src/main.py
+++ b/src/main.py
@@ -81,12 +81,14 @@ def main():
         # Trade成績の改善を目指す
         # EventMngは経済指標の対応を実装する
         # PositionMngは長期ポジションに対応する
+        # mt5.TIMEFRAME_M3に変更
         logger.debug("set schedule.")
         schedule.every().minute.at(":00").do(em.execute)
         schedule.every().minute.at(":02").do(ac.execute)
-        schedule.every().minute.at(":04").do(rt.execute)
         schedule.every().minute.at(":06").do(pm.execute)
-        schedule.every().minute.at(":08").do(tm.execute)
+        # 動作タイミングをmt5.TIMEFRAME_M3に合わせて調整
+        schedule.every().minute.at(":10").do(tm.execute)
+        schedule.every().minute.at(":50").do(rt.execute)
 
         logger.debug("start loop.")
         while True:

--- a/src/trade_mng.py
+++ b/src/trade_mng.py
@@ -56,6 +56,9 @@ class TradeMng:
             self.__tick_limit = int(
                 s['Trade']['TickVolumeLimit']
             )
+            self.__time_frame = int(
+                s['Trade']['TimeFrame']
+            )
         except Exception as e:
             logger.error(e)
             raise
@@ -197,7 +200,7 @@ class TradeMng:
         """
         rates = mt5.copy_rates_from_pos(
             self.__cp,
-            mt5.TIMEFRAME_M1,
+            self.__time_frame,
             0,
             count
         )
@@ -323,6 +326,11 @@ class TradeMng:
         """
 
         try:
+            # 時間足に合わせて動作チェック
+            # 時間足で割って割り切れるなら動作
+            if (datetime.now().minute % self.__time_frame) != 0:
+                return
+
             s = Setting()
 
             # 未決注文の全解除
@@ -352,7 +360,7 @@ class TradeMng:
                 return
 
             # 直近のTick Volumeが基準以下ならorderしない
-            tick_vol = self.__get_recent_ticks_volume()
+            tick_vol = self.__get_recent_ticks_volume(2)
             if tick_vol < self.__tick_limit:
                 msg = (
                     "Out of tick volume. "