Commit: bcd96f0d7d235c34951e5811a398b0edcd2c46fc - mt5-operator (git)

Commit MetaInfo

• Revision: bcd96f0d7d235c34951e5811a398b0edcd2c46fc (tree)
• Time: 2023-02-25 12:36:05
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

setting.ini
角度制限を一時的に解除

exchange_rate_info
Logを整理
テクニカル指標の判定を1つ前も再評価

exchange_rate_info
position_mng
trade_mng
市場が開いてないときは動作抑制

Change Summary

• add: investigation_study/numpy_vector_angle_3.ipynb
• modified: src/config/setting.ini
• modified: src/exchange_rate_info.py
• modified: src/position_mng.py
• modified: src/trade_mng.py

Incremental Difference

--- /dev/null
+++ b/investigation_study/numpy_vector_angle_3.ipynb
@@ -0,0 +1,226 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 8,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "u: [0.0016 0.0012]\n",
+      "v: [0.0014 0.0014]\n",
+      "vector angle1:8.130102354156005\n",
+      "u: [-0.0014 -0.0021]\n",
+      "v: [-0.0018 -0.0018]\n",
+      "vector angle2:11.309932474020227\n"
+     ]
+    }
+   ],
+   "source": [
+    "# vector angle\n",
+    "# ベクトルのなす角を用いてMACDのCrossOver判定について改良を試みる\n",
+    "# 参考文献\n",
+    "# https://hiraocafe.com/note/2lineanglevec.html\n",
+    "# https://www.mathpython.com/numpy-vector-angle\n",
+    "# 誤検知のLogから検証\n",
+    "\n",
+    "import numpy as np\n",
+    "from numpy import linalg as LA\n",
+    "\n",
+    "# 2023-02-22 17:31:04,931 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-6]: MACD: 0.0042, MACDSignal: 0.0002\n",
+    "# 2023-02-22 17:31:04,932 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-5]: MACD: 0.0035, MACDSignal: 0.0008\n",
+    "# 2023-02-22 17:31:04,932 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-4]: MACD: 0.0029, MACDSignal: 0.0012\n",
+    "# 2023-02-22 17:31:04,933 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-3]: MACD: 0.0022, MACDSignal: 0.0014\n",
+    "# 2023-02-22 17:31:04,933 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-2]: MACD: 0.0016, MACDSignal: 0.0014\n",
+    "# 2023-02-22 17:31:04,934 14620 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-1]: MACD: 0.0012, MACDSignal: 0.0014\n",
+    "# 2023-02-22 17:31:04,934 14620 MainThread exchange_rate_info.py:237 set_technical_indicators [DEBUG]: vector angle:8.130102354156005\n",
+    "# 2023-02-22 17:31:04,935 14620 MainThread exchange_rate_info.py:240 set_technical_indicators [DEBUG]: befor turning point:True\n",
+    "# 2023-02-22 17:31:04,935 14620 MainThread exchange_rate_info.py:252 set_technical_indicators [DEBUG]: Cross down.\n",
+    "# 2023-02-22 17:31:04,936 14620 MainThread exchange_rate_info.py:300 set_technical_indicators [INFO]: Technical Indicator: DeadCross.\n",
+    "\n",
+    "# 2023-02-23 03:45:04,653 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-6]: MACD: -0.0009, MACDSignal: -0.0024\n",
+    "# 2023-02-23 03:45:04,653 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-5]: MACD: -0.0006, MACDSignal: -0.0021\n",
+    "# 2023-02-23 03:45:04,654 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-4]: MACD: -0.0008, MACDSignal: -0.0019\n",
+    "# 2023-02-23 03:45:04,654 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-3]: MACD: -0.0014, MACDSignal: -0.0018\n",
+    "# 2023-02-23 03:45:04,655 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-2]: MACD: -0.0021, MACDSignal: -0.0018\n",
+    "# 2023-02-23 03:45:04,656 5892 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-1]: MACD: -0.0027, MACDSignal: -0.002\n",
+    "# 2023-02-23 03:45:04,656 5892 MainThread exchange_rate_info.py:237 set_technical_indicators [DEBUG]: vector angle:4.112228844718369\n",
+    "# 2023-02-23 03:45:04,657 5892 MainThread exchange_rate_info.py:240 set_technical_indicators [DEBUG]: befor turning point:True\n",
+    "# 2023-02-23 03:45:04,658 5892 MainThread exchange_rate_info.py:294 set_technical_indicators [DEBUG]: Re-evaluation Cross down.\n",
+    "# 2023-02-23 03:45:04,658 5892 MainThread exchange_rate_info.py:300 set_technical_indicators [INFO]: Re-evaluation Technical Indicator: DeadCross.\n",
+    "\n",
+    "def vector_angle(u: np.ndarray, v: np.ndarray):\n",
+    "    print(f'u: {u}')\n",
+    "    print(f'v: {v}')\n",
+    "    i = np.inner(u, v)\n",
+    "    n = LA.norm(u) * LA.norm(v)\n",
+    "    c = i / n\n",
+    "    return np.rad2deg(np.arccos(np.clip(c, -1.0, 1.0)))\n",
+    "\n",
+    "# 値のスケールに対して角度が大きい印象\n",
+    "# 入力値を標準化して調整できないか試みる\n",
+    "m1 = np.array([0.0016, 0.0012])\n",
+    "s1 = np.array([0.0014, 0.0014])\n",
+    "m2 = np.array([-0.0014, -0.0021])\n",
+    "s2 = np.array([-0.0018, -0.0018])\n",
+    "\n",
+    "print(f'vector angle1:{vector_angle(m1, s1)}')\n",
+    "\n",
+    "print(f'vector angle2:{vector_angle(m2, s2)}')\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 9,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "v1 array:[0.0016 0.0012 0.0014 0.0014]\n",
+      "v2 array:[-0.0014 -0.0021 -0.0018 -0.0018]\n",
+      "v1 nomalize array:[1.  0.  0.5 0.5]\n",
+      "v2 nomalize array:[1.         0.         0.42857143 0.42857143]\n",
+      "u: [1. 0.]\n",
+      "v: [0.5 0.5]\n",
+      "v1 normalize vector angle1:45.00000000000001\n",
+      "u: [1. 0.]\n",
+      "v: [0.42857143 0.42857143]\n",
+      "v2 normalize vector angle1:45.0\n"
+     ]
+    }
+   ],
+   "source": [
+    "\n",
+    "# 値を母集団とする標準化(nの標準化)\n",
+    "# https://note.nkmk.me/python-list-ndarray-dataframe-normalize-standardize/\n",
+    "v1 = np.append(m1, s1)\n",
+    "v2 = np.append(m2, s2)\n",
+    "\n",
+    "print(f'v1 array:{v1}')\n",
+    "print(f'v2 array:{v2}')\n",
+    "\n",
+    "nom_v1 = (v1 - v1.min()) / (v1.max() - v1.min())\n",
+    "nom_v2 = (v2 - v2.min()) / (v2.max() - v2.min())\n",
+    "\n",
+    "print(f'v1 nomalize array:{nom_v1}')\n",
+    "print(f'v2 nomalize array:{nom_v2}')\n",
+    "\n",
+    "print(f'v1 normalize vector angle1:{vector_angle(nom_v1[:2], nom_v1[-2:])}')\n",
+    "print(f'v2 normalize vector angle1:{vector_angle(nom_v2[:2], nom_v2[-2:])}')\n",
+    "\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 10,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "v1 array:[0.0016 0.0012 0.0014 0.0014]\n",
+      "v2 array:[-0.0014 -0.0021 -0.0018 -0.0018]\n",
+      "v1 standard array:[ 1.41421356 -1.41421356  0.          0.        ]\n",
+      "v2 standard array:[ 1.50755672 -1.30654916 -0.10050378 -0.10050378]\n",
+      "u: [ 1.41421356 -1.41421356]\n",
+      "v: [0. 0.]\n",
+      "v1 standard vector angle1:nan\n",
+      "u: [ 1.50755672 -1.30654916]\n",
+      "v: [-0.10050378 -0.10050378]\n",
+      "v2 standard vector angle1:94.08561677997483\n"
+     ]
+    },
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "C:\\Users\\user1\\AppData\\Local\\Temp\\ipykernel_9192\\3331901012.py:38: RuntimeWarning: invalid value encountered in double_scalars\n",
+      "  c = i / n\n"
+     ]
+    }
+   ],
+   "source": [
+    "print(f'v1 array:{v1}')\n",
+    "print(f'v2 array:{v2}')\n",
+    "\n",
+    "std_v1 = (v1 - v1.mean()) / v1.std()\n",
+    "std_v2 = (v2 - v2.mean()) / v2.std()\n",
+    "\n",
+    "print(f'v1 standard array:{std_v1}')\n",
+    "print(f'v2 standard array:{std_v2}')\n",
+    "\n",
+    "print(f'v1 standard vector angle1:{vector_angle(std_v1[:2], std_v1[-2:])}')\n",
+    "print(f'v2 standard vector angle1:{vector_angle(std_v2[:2], std_v2[-2:])}')\n",
+    "\n"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 14,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "u: [-0.13  -0.127]\n",
+      "v: [-0.1292 -0.1288]\n",
+      "vector angle3: 0.5799613582311788\n",
+      "u: [-0.133 -0.127]\n",
+      "v: [-0.1291 -0.1288]\n",
+      "vector angle4: 1.255326857283915\n"
+     ]
+    }
+   ],
+   "source": [
+    "\n",
+    "# 一つ飛ばしではどうか？\n",
+    "# 2023-02-24 00:26:04,788 13660 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-3]: MACD: -0.133, MACDSignal: -0.1291\n",
+    "# 2023-02-24 00:26:04,789 13660 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-2]: MACD: -0.13, MACDSignal: -0.1292\n",
+    "# 2023-02-24 00:26:04,789 13660 MainThread exchange_rate_info.py:208 set_technical_indicators [DEBUG]: num[-1]: MACD: -0.127, MACDSignal: -0.1288\n",
+    "\n",
+    "m3 = np.array([-0.13, -0.127])\n",
+    "s3 = np.array([-0.1292, -0.1288])\n",
+    "\n",
+    "print(f'vector angle3: {vector_angle(m3, s3)}')\n",
+    "\n",
+    "m4 = np.array([-0.133, -0.127])\n",
+    "s4 = np.array([-0.1291, -0.1288])\n",
+    "\n",
+    "print(f'vector angle4: {vector_angle(m4, s4)}')\n"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "venv",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "orig_nbformat": 4,
+  "vscode": {
+   "interpreter": {
+    "hash": "3434ed70bd0ce2eb2bb8ac6e97f0ebaa4c4b8adeb56c97e7db5709836a4a2d70"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -36,7 +36,7 @@ Allowablespread = 0.01
 # 1銭は0.01円
 OpenMergin = 0.007
 # 利益確定(円)
-ProfitTaking = 0.15
+ProfitTaking = 0.125
 # 損切(円)
 LossCut = 0.265
 
@@ -49,4 +49,4 @@ SlowEMAperiod = 56
 # シグナルの期間
 Signalperiod = 10
 # 交差角度閾値
-CrossingAngleThreshold = 0.576
+CrossingAngleThreshold = 0.0

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -77,6 +77,9 @@ class ExchangeRateInfo():
 
         return ret
 
+# 2023-02-24 02:25:04,702 13660 num[-2]: MACD: 0.0215, MACDSignal: 0.0215
+# 2023-02-24 02:25:04,703 13660 num[-1]: MACD: 0.0209, MACDSignal: 0.0214
+# 不発の事象があるため、< から <= に修正
     def __crossover(self, series1: np.ndarray, series2: np.ndarray) -> bool:
         """指標値列の交差判定
         """
@@ -85,7 +88,7 @@ class ExchangeRateInfo():
                 np.isnan(series2[-1]) or \
                 np.isnan(series2[-2]):
             raise ValueError('Nan is included in the value.')
-        return series1[-2] < series2[-2] and series1[-1] > series2[-1]
+        return series1[-2] <= series2[-2] and series1[-1] > series2[-1]
 
     def __vector_angle(self, u: np.ndarray, v: np.ndarray):
         if np.isnan(u[-1]) or \
@@ -233,30 +236,34 @@ class ExchangeRateInfo():
 
             # 指標判定
             v_angle = self.__vector_angle(macd[-2:], macdsignal[-2:])
-            msg = f'vector angle:{v_angle}'
-            logger.debug(msg)
 
             msg = f'befor turning point:{s.turning_point}'
             logger.debug(msg)
 
             if self.__crossover(macd[-2:], macdsignal[-2:]):
-                logger.debug('Cross up.')
+                msg = (
+                    'CrossOver up.'
+                    f' vector angle:{v_angle}'
+                )
                 if s.turning_point is not True and v_angle > self.__angle:
                     # GoldenCross 上昇転換サイン
                     s.technical_indicator = DEF.TECHNICAL_GOLDEN_CROSS
                     s.turning_point = True
-                    msg = 'Technical Indicator: GoldenCross.'
+                    msg = msg + ' Technical Indicator: GoldenCross.'
                 else:
-                    logger.debug('Already judged goldencross.')
+                    msg = msg + ' Already judged goldencross.'
             elif self.__crossover(macdsignal[-2:], macd[-2:]):
-                logger.debug('Cross down.')
+                msg = (
+                    'CrossOver down.'
+                    f' vector angle:{v_angle}'
+                )
                 if s.turning_point is not False and v_angle > self.__angle:
                     # DeadCross 降下転換サイン
                     s.technical_indicator = DEF.TECHNICAL_DEAD_CROSS
                     s.turning_point = False
-                    msg = 'Technical Indicator: DeadCross.'
+                    msg = msg + ' Technical Indicator: DeadCross.'
                 else:
-                    logger.debug('Already judged deadcross.')
+                    msg = msg + ' Already judged deadcross.'
             elif macd[-1] > 0.0:
                 # 上昇トレンド
                 s.technical_indicator = DEF.TECHNICAL_UPTREND
@@ -269,6 +276,7 @@ class ExchangeRateInfo():
                 # いずれにも該当しない
                 s.technical_indicator = DEF.TECHNICAL_UNCHANGED
                 msg = 'Technical Indicator: Unchanged.'
+            logger.info(msg)
 
             # 過去指標の再判定
             # 2023-02-22 02:17:04 num[-3]: MACD: 0.0278, MACDSignal: 0.0248 >
@@ -283,21 +291,36 @@ class ExchangeRateInfo():
             if s.technical_indicator == DEF.TECHNICAL_UPTREND or \
                 s.technical_indicator == DEF.TECHNICAL_DOWNTREND or \
                     s.technical_indicator == DEF.TECHNICAL_UNCHANGED:
+
+                # 角度再計算
+                v_angle = self.__vector_angle(macd[-3:-1], macdsignal[-3:-1])
+
                 if self.__crossover(macd[-3:-1], macdsignal[-3:-1]):
-                    logger.debug('Re-evaluation Cross up.')
+                    msg = (
+                        'Re-evaluation Cross up.'
+                        f' vector angle:{v_angle}'
+                    )
                     if s.turning_point is not True and v_angle > self.__angle:
                         # GoldenCross 上昇転換サイン
                         s.technical_indicator = DEF.TECHNICAL_GOLDEN_CROSS
                         s.turning_point = True
-                        msg = 'Re-evaluation Technical Indicator: GoldenCross.'
+                        msg = msg + ' Technical Indicator: GoldenCross.'
+                    else:
+                        msg = msg + ' Already judged goldencross.'
+                    logger.info(msg)
                 elif self.__crossover(macdsignal[-3:-1], macd[-3:-1]):
-                    logger.debug('Re-evaluation Cross down.')
+                    msg = (
+                        'Re-evaluation Cross down.'
+                        f' vector angle:{v_angle}'
+                    )
                     if s.turning_point is not False and v_angle > self.__angle:
                         # DeadCross 降下転換サイン
                         s.technical_indicator = DEF.TECHNICAL_DEAD_CROSS
                         s.turning_point = False
-                        msg = 'Re-evaluation Technical Indicator: DeadCross.'
-            logger.info(msg)
+                        msg = msg + ' Technical Indicator: DeadCross.'
+                    else:
+                        msg = msg + ' Already judged deadcross.'
+                    logger.info(msg)
 
             msg = f'after turning point:{s.turning_point}'
             logger.debug(msg)
@@ -318,11 +341,13 @@ class ExchangeRateInfo():
     def execute(self):
         """処理実行
         """
+        s = Setting()
 
         # 市場チェック
         _ = self.check_market()
 
-        # テクニカル分析指標を設定
-        _ = self.set_technical_indicators()
+        if s.is_market_open:
+            # テクニカル分析指標を設定
+            _ = self.set_technical_indicators()
 
         return

--- a/src/position_mng.py
+++ b/src/position_mng.py
@@ -38,6 +38,10 @@ class PositionMng():
         try:
             s = Setting()
 
+            # 市場フラグ確認
+            if not s.is_market_open:
+                return
+
             # ポジション取得
             positions = self.__get_position()
 

--- a/src/trade_mng.py
+++ b/src/trade_mng.py
@@ -300,8 +300,12 @@ class TradeMng:
             # 未決注文の全解除
             _ = self.__remove_order()
 
+            # 市場フラグ確認
+            if not s.is_market_open:
+                return
+
             # order可否フラグを確認
-            if not Setting().ready_to_order:
+            if not s.ready_to_order:
                 return
 
             # tickを取得できない場合はorderしない
@@ -320,7 +324,7 @@ class TradeMng:
                 return
 
             # テクニカル指標から注文タイミングを判定
-            volume = Setting().orderable_lot
+            volume = s.orderable_lot
             if s.technical_indicator == DEF.TECHNICAL_GOLDEN_CROSS:
                 # 成行で買い注文を出す
                 buy_price = ask