Commit: ba14272cef6659e472eb6a9ca8f03296d14a1e3d - mt5-operator (git)

Commit MetaInfo

• Revision: ba14272cef6659e472eb6a9ca8f03296d14a1e3d (tree)
• Time: 2023-02-13 06:33:39
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

macdの使い方を見直し
判定はGoldenCross,DeahCrossのみに変更
交差の角度要素を追加

macdパラメータを過去90日のデータからmacdの4要素で
最適化して設定
最適化はbacktesting_skoptを使用

経済指標イベントのフラグを追加
現状は機能しない

Change Summary

• modified: Docs/memo.ods
• modified: freeze.txt
• add: investigation_study/for_backtesting_skopt_util.py
• add: investigation_study/oanda_v20_api_calendar_test.py
• modified: src/config/setting.ini
• modified: src/configuration.py
• modified: src/event_mng.py
• modified: src/exchange_rate_info.py
• modified: src/position_mng.py

Incremental Difference

Binary files a/Docs/memo.ods and b/Docs/memo.ods differ

--- a/freeze.txt
+++ b/freeze.txt
@@ -1,18 +1,34 @@
 altgraph==0.17.3
 autopep8==2.0.0
+Backtesting==0.3.3
+bayesian-optimization==1.4.2
 beautifulsoup4==4.11.1
+bokeh==3.0.3
 certifi==2022.12.7
 charset-normalizer==3.0.1
+colorama==0.4.6
+contourpy==1.0.7
 flake8==6.0.0
 future==0.18.2
+html5lib==1.1
 idna==3.4
+investpy==1.0.8
+Jinja2==3.1.2
+joblib==1.2.0
+lxml==4.9.2
+MarkupSafe==2.1.2
 mccabe==0.7.0
 MetaTrader5==5.0.43
 mypy==0.991
 mypy-extensions==0.4.3
 numpy==1.23.5
+oandapyV20==0.7.2
+packaging==23.0
 pandas==1.5.2
+pandas-datareader==0.10.0
 pefile==2022.5.30
+Pillow==9.4.0
+pyaml==21.10.1
 pycodestyle==2.10.0
 pyflakes==3.0.1
 pyinstaller==5.7.0
@@ -20,12 +36,22 @@ pyinstaller-hooks-contrib==2022.14
 python-dateutil==2.8.2
 pytz==2022.6
 pywin32-ctypes==0.2.0
+PyYAML==6.0
 requests==2.28.2
 schedule==1.1.0
+scikit-learn==1.2.1
+scikit-optimize==0.9.0
+scipy==1.10.0
 six==1.16.0
 soupsieve==2.3.2.post1
 style==1.1.0
+TA-Lib==0.4.25
+threadpoolctl==3.1.0
 tomli==2.0.1
+tornado==6.2
 typing_extensions==4.4.0
+Unidecode==1.3.6
 update==0.0.1
 urllib3==1.26.14
+webencodings==0.5.1
+xyzservices==2022.9.0

--- /dev/null
+++ b/investigation_study/for_backtesting_skopt_util.py
@@ -0,0 +1,60 @@
+# 過去90日のrateを取得してcsvファイルを作成する
+
+import pandas as pd
+import datetime as dt
+import pytz
+import MetaTrader5 as mt5
+
+# 本日日付
+now = dt.datetime.now()
+# 日本のtimezone
+tz_local = pytz.timezone('Etc/GMT-9')
+# OANDAサーバのtimezone
+tz_oanda = pytz.timezone('Etc/GMT-2')
+
+local_to = dt.datetime(
+    now.year,
+    now.month,
+    now.day,
+    0,
+    0,
+    0,
+    tzinfo=tz_local
+)
+local_from = local_to - dt.timedelta(days=90)
+
+rate_to = local_to.astimezone(tz_oanda)
+rate_from = local_from.astimezone(tz_oanda)
+
+# レートを取得
+cp = 'USDJPY'
+mt5.initialize()
+rates = mt5.copy_rates_range(cp, mt5.TIMEFRAME_M1, rate_from, rate_to)
+
+df = pd.DataFrame(rates)
+
+# timeカラムをdatetime型に変換
+df.time = pd.to_datetime(df['time'], unit='s')
+# timeカラムをindexに時系列インデックスとして割り当て
+df.index = pd.DatetimeIndex(df.time, name='Date')
+# インデックスのTimeZoneをUTCに設定
+df.index = df.index.tz_localize(dt.timezone.utc)
+# インデックスのTimeZoneをLovalに変換
+df.index = df.index.tz_convert(tz_local)
+
+# DataFrameのカラム名をbacktesting向けに修正
+df = df.rename(
+    columns={
+        "time": "Date",
+        "open": "Open",
+        "high": "High",
+        "low": "Low",
+        "close": "Close",
+        "tick_volume": "Volume",
+        "spread": "Spread",
+        "real_volume": "not_use",
+    }
+)
+
+# csvファイル保存
+df.to_csv('USDJPY_1M.csv')

--- /dev/null
+++ b/investigation_study/oanda_v20_api_calendar_test.py
@@ -0,0 +1,28 @@
+import oandapyV20
+import oandapyV20.endpoints.forexlabs as labs
+
+
+client = oandapyV20.API(access_token=...)
+params = {
+    "instrument": "USD_JPY",
+    "period": 604800
+}
+
+# instrument
+# 必須 カレンダー取得対象の銘柄名。　全ての取引可能な銘柄が指定可能です。
+# period
+# 必須 カレンダーデータを取得する期間（秒単位）。 以下の有効な値のいずれかに合致しない値を設定した場合は、一番近い有効な値に自動的に修正されます。
+# 有効な値:
+
+# 3600 - 1時間
+# 43200 - 12時間
+# 86400 - 1日
+# 604800 - 1週間
+# 2592000 - 1ヶ月
+# 7776000 - 3ヶ月
+# 15552000 - 6ヶ月
+# 31536000 - 1年
+
+r = labs.Calendar(params=params)
+client.request(r)
+print(r.response)

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -43,8 +43,10 @@ LossCut = 0.2
 # テクニカル分析
 [Technical]
 # 短期EMAの期間
-FastEMAperiod = 28
+FastEMAperiod = 39
 # 長期EMAの期間
-SlowEMAperiod = 53
+SlowEMAperiod = 56
 # シグナルの期間
-Signalperiod = 15
+Signalperiod = 21
+# 交差角度閾値
+CrossingAngleThreshold = 0.684

--- a/src/configuration.py
+++ b/src/configuration.py
@@ -6,6 +6,7 @@ import logging
 logger = logging.getLogger()
 
 
+# 週次イベントフラグを設置、月曜日に発生する「窓開け」リスク対策
 class Setting(object):
     """アプリ設定
     モジュール間の状態保持機能
@@ -35,8 +36,10 @@ class Setting(object):
         self.__market_availability: bool = False
         # 口座の取引可否フラグ
         self.__account_availability: bool = False
-        # イベントの有無フラグ
+        # 週次イベントの有無フラグ
         self.__event_availability: bool = False
+        # 経済指標イベントの有無フラグ
+        self.__economic_indicator_event_availability: bool = False
         # 最後に確認した為替レート
         self.__last_checked_exchange_rate: float = 0.0
         # 注文可能lot数
@@ -69,24 +72,36 @@ class Setting(object):
         self.__account_availability = value
 
     @property
-    def upcoming_event(self) -> bool:
-        """イベントの有無
+    def weekday_event(self) -> bool:
+        """週次イベントフラグ
         """
         return self.__event_availability
 
-    @upcoming_event.setter
-    def upcoming_event(self, value: bool = False):
+    @weekday_event.setter
+    def weekday_event(self, value: bool = False):
         self.__event_availability = value
 
     @property
+    def economic_event(self) -> bool:
+        """経済指標イベントフラグ
+        """
+        return self.__economic_indicator_event_availability
+
+    @economic_event.setter
+    def economic_event(self, value: bool = False):
+        self.__economic_indicator_event_availability = value
+
+    @property
     def ready_to_order(self) -> bool:
-        # TODO:現状はイベントを避ける
+        # 経済指標イベント以外がTrueの場合、注文可能
         ret = self.__event_availability and \
             self.__account_availability and \
+            not self.__economic_indicator_event_availability and \
             self.__market_availability
         logger.debug(
             f'Market:{self.__market_availability} - '
             f'Event:{self.__event_availability} - '
+            f'Economic:{self.__economic_indicator_event_availability} - '
             f'Account:{self.__account_availability} => '
             f'Ready to order?:{ret}'
         )

--- a/src/event_mng.py
+++ b/src/event_mng.py
@@ -62,7 +62,7 @@ class EventMng():
         weekday = local_date.weekday()
         if weekday == 6:
             logger.info('It Sunday is closed market.')
-            Setting().upcoming_event = False
+            Setting().weekday_event = False
         elif weekday == 5:
             # サマータイムの期間 クローズ時間： 土曜日の午前6時
             if is_dst and hour_minut > 555:
@@ -70,32 +70,32 @@ class EventMng():
                     'During daylight saving time. '
                     'The market is closed after 6am on Saturdays.'
                 )
-                Setting().upcoming_event = False
+                Setting().weekday_event = False
             # サマータイムの期間 クローズ時間： 土曜日の午前6時前
             elif is_dst and hour_minut <= 555:
                 logger.info(
                     'During daylight saving time. '
                     'Saturday market not closed yet.'
                 )
-                Setting().upcoming_event = True
+                Setting().weekday_event = True
             # サマータイム以外の期間 クローズ時間： 土曜日の午前7時
             elif not is_dst and hour_minut > 655:
                 logger.info(
                     'During non-summertime periods. '
                     'The market is closed after 7am on Saturdays.'
                 )
-                Setting().upcoming_event = False
+                Setting().weekday_event = False
             elif not is_dst and hour_minut <= 655:
                 logger.info(
                     'During daylight saving time. '
                     'Saturday market not closed yet.'
                 )
-                Setting().upcoming_event = True
+                Setting().weekday_event = True
             else:
                 pass
         elif weekday in [4, 3, 2, 1]:
             logger.info('It weekday.')
-            Setting().upcoming_event = True
+            Setting().weekday_event = True
         elif weekday == 0:
             # サマータイムの期間 オープン時間： 月曜日の午前6時
             if is_dst and hour_minut < 610:
@@ -103,17 +103,17 @@ class EventMng():
                     'During daylight saving time. '
                     'The market is closed before 6am on Mondays.'
                 )
-                Setting().upcoming_event = False
+                Setting().weekday_event = False
             # サマータイム以外の期間 オープン時間： 月曜日の午前7時
             elif not is_dst and hour_minut < 710:
                 logger.info(
                     'During non-summertime periods. '
                     'The market is closed before 7am on Mondays.'
                 )
-                Setting().upcoming_event = False
+                Setting().weekday_event = False
             else:
                 logger.info('It weekday.')
-                Setting().upcoming_event = True
+                Setting().weekday_event = True
 
     def __check_economic_index_event(self):
         """経済指標イベント確認

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -4,6 +4,7 @@ from datetime import datetime
 import MetaTrader5 as mt5
 import talib as ta
 import numpy as np
+from numpy import linalg as LA
 import pytz
 import logging
 
@@ -35,6 +36,8 @@ class ExchangeRateInfo():
             self.__n2 = int(s['Technical']['SlowEMAperiod'])
             # シグナル（MACDのSMA）の期間
             self.__ns = int(s['Technical']['Signalperiod'])
+            # 交差角度閾値
+            self.__angle = float(s['Technical']['CrossingAngleThreshold'])
         except Exception as e:
             logger.error(e)
             raise
@@ -75,6 +78,14 @@ class ExchangeRateInfo():
             raise ValueError('Nan is included in the value.')
         return series1[-2] < series2[-2] and series1[-1] > series2[-1]
 
+    def __vector_angle(self, u: np.ndarray, v: np.ndarray):
+        if np.isnan(u) or np.isnan(v):
+            raise ValueError('Nan is included in the value.')
+        i = np.inner(u, v)
+        n = LA.norm(u) * LA.norm(v)
+        c = i / n
+        return np.rad2deg(np.arccos(np.clip(c, -1.0, 1.0)))
+
     def __get_latest_bid(self) -> float:
         """最新bid取得
         """
@@ -176,39 +187,26 @@ class ExchangeRateInfo():
             macdsignal = np.around(macdsignal, 6)
 
             # for debug
-            for i in range(-4, 0, 1):
+            for i in range(-2, 0, 1):
                 msg = (
                     f'num[{i}]: MACD: {macd[i]}, MACDSignal: {macdsignal[i]}'
                 )
                 logger.debug(msg)
 
             # 指標判定
-            if self.__crossover(macd, macdsignal) and macd[-1] < 0.0:
+            v_angle = self.__vector_angle(macd[-2:], macdsignal[-2:])
+            msg = f'macd vector angle:{v_angle}'
+            if self.__crossover(macd, macdsignal) and \
+                    v_angle > self.__angle:
                 # GoldenCross 上昇転換サイン
                 s.technical_indicator = DEF.TECHNICAL_GOLDEN_CROSS
                 msg = 'Technical Indicator: GoldenCross.'
-            elif self.__crossover(macdsignal, macd) and macd[-1] > 0.0:
+            elif self.__crossover(macdsignal, macd) and \
+                    self.__vector_angle(macd[-2:], macdsignal[-2:]) > \
+                    self.__angle:
                 # DeadCross 降下転換サイン
                 s.technical_indicator = DEF.TECHNICAL_DEAD_CROSS
                 msg = 'Technical Indicator: DeadCross.'
-            elif macd[-1] > macdsignal[-1]:
-                if macd[-1] < 0.0:
-                    # 弱い上昇トレンド
-                    s.technical_indicator = DEF.TECHNICAL_UPTREND
-                    msg = 'Technical Indicator: Weak Uptrend.'
-                else:
-                    # 強い上昇トレンド
-                    s.technical_indicator = DEF.TECHNICAL_UPTREND
-                    msg = 'Technical Indicator: Strong Uptrend.'
-            elif macd[-1] < macdsignal[-1]:
-                if macd[-1] > 0.0:
-                    # 弱い降下トレンド
-                    s.technical_indicator = DEF.TECHNICAL_DOWNTREND
-                    msg = 'Technical Indicator: Weak Downtrand.'
-                else:
-                    # 強い降下トレンド
-                    s.technical_indicator = DEF.TECHNICAL_DOWNTREND
-                    msg = 'Technical Indicator: Strong Downtrand.'
             else:
                 # いずれにも該当しない
                 s.technical_indicator = DEF.TECHNICAL_UNCHANGED

--- a/src/position_mng.py
+++ b/src/position_mng.py
@@ -48,11 +48,9 @@ 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 \
-                    indicator == DEF.TECHNICAL_UPTREND:
+            if indicator == DEF.TECHNICAL_GOLDEN_CROSS:
                 position_to_be_canceled = mt5.POSITION_TYPE_SELL
-            elif indicator == DEF.TECHNICAL_DEAD_CROSS or \
-                    indicator == DEF.TECHNICAL_DOWNTREND:
+            elif indicator == DEF.TECHNICAL_DEAD_CROSS:
                 position_to_be_canceled = mt5.POSITION_TYPE_BUY
             else:
                 pass