Commit: b256639f78930d43173401fd25cfca4fc5f7c573 - mt5-operator (git)

Commit MetaInfo

• Revision: b256639f78930d43173401fd25cfca4fc5f7c573 (tree)
• Time: 2023-04-03 07:07:46
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

macdsignalの判定に一定の制限を設ける
ポジション解消フラグを見直し->全てのポジション解消へ動作修正

Change Summary

• modified: src/config/setting.ini
• modified: src/configuration.py
• modified: src/definition.py
• modified: src/exchange_rate_info.py
• modified: src/position_mng.py

Incremental Difference

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -53,16 +53,19 @@ LossCut = 1.0
 # テクニカル分析
 [Technical]
 # 短期EMAの期間
-FastEMAperiod = 15
+FastEMAperiod = 20
 # 長期EMAの期間
-SlowEMAperiod = 64
+SlowEMAperiod = 98
 # シグナルの期間
-Signalperiod = 33
+Signalperiod = 34
 # 交差角度閾値
-CrossingAngleThreshold = 1.375
+CrossingAngleThreshold = 1.025
 
 ; 2023/04/02
-; MACDCross(n1=15,n2=64,ns=33,angle=55,take=20,cut=40)
-; crossover_angle = 1.375
+; Trades                                180.0
+; Win Rate [%]                        66.111111
+; SQN                                  2.571405
+; MACDCross(n1=20,n2=98,ns=34,angle=41,take=20,cut=40)
+; crossover_angle = 1.025
 ; ProfitTaking = 0.5
 ; LossCut = 1.0
\ No newline at end of file

--- a/src/configuration.py
+++ b/src/configuration.py
@@ -193,8 +193,8 @@ class Setting(object):
     @property
     def close_position(self) -> bool | None:
         """close position
-        True: sellポジションを解消
-        False: buyポジションを解消
+        True: 全てのポジションを解消
+        False: Unset
         None: Unset
         """
         return self.__close_position

--- a/src/definition.py
+++ b/src/definition.py
@@ -5,4 +5,4 @@ TECHNICAL_GOLDEN_CROSS = 1
 TECHNICAL_DEAD_CROSS = 2
 TECHNICAL_UPTREND = 3
 TECHNICAL_DOWNTREND = 4
-
+TECHNICAL_ROSSCUT = 5

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -258,8 +258,38 @@ class ExchangeRateInfo():
             msg = f'befor turning point:{s.turning_point}'
             logger.debug(msg)
 
+            # signalが降下サインのまま0を超えた
+            if self.__crossover(macdsignal[-2:], [0.0, 0.0]) and \
+                    s.turning_point is False:
+                # turning_pointが降下サインのまま0を上回った場合
+                # 降下サインを取り消し、ロスカットを行う
+                msg = (
+                    'CrossOver up zero line. Treat as a rising sign.'
+                )
+                msg = msg + ' Already judged loss cut.'
+                s.technical_indicator = DEF.TECHNICAL_UPTREND
+                s.turning_point = None
+                s.close_position = True
+
+            # signalが上昇サインのまま0を下回った
+            elif self.__crossover([0.0, 0.0], macdsignal[-2:]) and \
+                    s.turning_point is True:
+                # turning_pointが上昇サインのまま0を下回った場合
+                # 上昇サインを取り消し、ロスカットを行う
+                msg = (
+                    'CrossOver down zero line. Treat as a descent sign.'
+                )
+                msg = msg + ' Already judged loss cut.'
+                s.technical_indicator = DEF.TECHNICAL_DOWNTREND
+                s.turning_point = None
+                s.close_position = True
+
+            # macdsignalが一定範囲の時は判定しない
+            elif macdsignal < 0.04 and macdsignal > -0.04:
+                return
+
             # macdがsignalを上回った時
-            if self.__crossover(macd[-2:], macdsignal[-2:]):
+            elif self.__crossover(macd[-2:], macdsignal[-2:]):
                 msg = (
                     'CrossOver up.'
                     f' vector angle:{v_angle}'
@@ -288,31 +318,31 @@ class ExchangeRateInfo():
                     msg = msg + ' Already judged deadcross.'
                     s.technical_indicator = DEF.TECHNICAL_DOWNTREND
 
-            # signalが降下サインのまま0を超えた
-            elif self.__crossover(macdsignal[-2:], [0.0, 0.0]) and \
-                    s.turning_point is False:
-                # turning_pointが降下サインのまま0を上回った場合
-                # 降下サインを取り消し、ロスカットを行う
-                msg = (
-                    'CrossOver up zero line. Treat as a rising sign.'
-                )
-                msg = msg + ' Already judged loss cut.'
-                s.technical_indicator = DEF.TECHNICAL_UPTREND
-                s.turning_point = None
-                s.close_position = True
-
-            # signalが上昇サインのまま0を下回った
-            elif self.__crossover([0.0, 0.0], macdsignal[-2:]) and \
-                    s.turning_point is True:
-                # turning_pointが上昇サインのまま0を下回った場合
-                # 上昇サインを取り消し、ロスカットを行う
-                msg = (
-                    'CrossOver down zero line. Treat as a descent sign.'
-                )
-                msg = msg + ' Already judged loss cut.'
-                s.technical_indicator = DEF.TECHNICAL_DOWNTREND
-                s.turning_point = None
-                s.close_position = False
+            # # signalが降下サインのまま0を超えた
+            # elif self.__crossover(macdsignal[-2:], [0.0, 0.0]) and \
+            #         s.turning_point is False:
+            #     # turning_pointが降下サインのまま0を上回った場合
+            #     # 降下サインを取り消し、ロスカットを行う
+            #     msg = (
+            #         'CrossOver up zero line. Treat as a rising sign.'
+            #     )
+            #     msg = msg + ' Already judged loss cut.'
+            #     s.technical_indicator = DEF.TECHNICAL_UPTREND
+            #     s.turning_point = None
+            #     s.close_position = True
+
+            # # signalが上昇サインのまま0を下回った
+            # elif self.__crossover([0.0, 0.0], macdsignal[-2:]) and \
+            #         s.turning_point is True:
+            #     # turning_pointが上昇サインのまま0を下回った場合
+            #     # 上昇サインを取り消し、ロスカットを行う
+            #     msg = (
+            #         'CrossOver down zero line. Treat as a descent sign.'
+            #     )
+            #     msg = msg + ' Already judged loss cut.'
+            #     s.technical_indicator = DEF.TECHNICAL_DOWNTREND
+            #     s.turning_point = None
+            #     s.close_position = True
 
                 # 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

--- a/src/position_mng.py
+++ b/src/position_mng.py
@@ -58,11 +58,9 @@ class PositionMng():
             indicator = s.technical_indicator
             # 解消する対象のポジション mt5.ENUM_POSITION_TYPE
             position_to_be_canceled: int = -1  # -1:Undefine
-            if indicator == DEF.TECHNICAL_GOLDEN_CROSS or \
-                    s.close_position is True:
+            if indicator == DEF.TECHNICAL_GOLDEN_CROSS:
                 position_to_be_canceled = mt5.POSITION_TYPE_SELL
-            elif indicator == DEF.TECHNICAL_DEAD_CROSS or \
-                    s.close_position is False:
+            elif indicator == DEF.TECHNICAL_DEAD_CROSS:
                 position_to_be_canceled = mt5.POSITION_TYPE_BUY
             else:
                 pass
@@ -84,8 +82,23 @@ class PositionMng():
                                 f'position {position.ticket} is close.'
                             )
 
-            # エラーが無ければフラグを初期化
-            s.close_position = None
+            # 無条件にすべてのポジションを解消する
+            if s.close_position:
+                logger.warning('========== Close All positions. ==========')
+                for position in positions:
+                    result = self.__close_position(
+                        position.ticket,
+                        position.volume,
+                        position.type
+                    )
+                    if result:
+                        logger.info(
+                            f'position {position.ticket} is close.'
+                        )
+                s.close_position = False
+
+            # # エラーが無ければフラグを初期化
+            # s.close_position = None
 
         except Exception as e:
             logger.error(e)