Commit: d21bada40c06056e353dca42cdcecc742753d8f6 - mt5-operator (git)

Commit MetaInfo

• Revision: d21bada40c06056e353dca42cdcecc742753d8f6 (tree)
• Time: 2023-02-22 21:41:00
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

Backtestingの結果をsetting.iniに反映

main.py
並びを変更

position_mng
指標反転次にフラグをクリアする動作を修正

exchange_rate_info
MACDテクニカル判定を安定させる目的で修正を
加え続けているが正解がまだ見えない
いったん、角度評価についてパラメータが小数の時に
大きい角度を取っている様子がある

Change Summary

• add: backtesting_fx_m1_7_result.txt
• add: investigation_study/backtesting_fx_M1_7.py
• modified: investigation_study/numpy_vector_angle_1.py
• modified: investigation_study/oanda_v20_api_calendar_test.py
• modified: src/config/setting.ini
• modified: src/exchange_rate_info.py
• modified: src/main.py
• modified: src/position_mng.py

Incremental Difference

--- /dev/null
+++ b/backtesting_fx_m1_7_result.txt
@@ -0,0 +1,32 @@
+Processing time(sec): 4.0
+Start                     2022-11-18 00:00...
+End                       2023-02-16 00:00...
+Duration                     90 days 00:00:00
+Exposure Time [%]                   82.612554
+Equity Final [$]                  9405.308164
+Equity Peak [$]                  10478.629701
+Return [%]                          -5.946918
+Buy & Hold Return [%]               -4.777882
+Return (Ann.) [%]                  -19.025605
+Volatility (Ann.) [%]                8.457869
+Sharpe Ratio                              0.0
+Sortino Ratio                             0.0
+Calmar Ratio                              0.0
+Max. Drawdown [%]                  -11.023872
+Avg. Drawdown [%]                   -0.230081
+Max. Drawdown Duration       43 days 13:43:00
+Avg. Drawdown Duration        0 days 16:28:00
+# Trades                                  166
+Win Rate [%]                        58.433735
+Best Trade [%]                       1.149513
+Worst Trade [%]                     -1.187417
+Avg. Trade [%]                      -0.032828
+Max. Trade Duration           6 days 18:23:00
+Avg. Trade Duration           0 days 11:14:00
+Profit Factor                        0.821075
+Expectancy [%]                      -0.031742
+SQN                                 -1.010143
+_strategy                           MACDCross
+_equity_curve                             ...
+_trades                        Size  Entry...
+dtype: object

--- /dev/null
+++ b/investigation_study/backtesting_fx_M1_7.py
@@ -0,0 +1,199 @@
+# 元ネタ
+# https://qiita.com/Fujinoinvestor/items/780b138e441531860e60
+
+# 過去90日のrateを取得してbacktestingを実行する
+# セオリーからGoldenCross,DeadCross判定に
+# macdの0.0以上、以下を外した場合の方が
+# backtesting_fx_M1_5.pyと比較して
+# Backtestingの結果が良かった
+# backtesting_bayes_optimize_case1.pyから
+# 個々のパラメータを最適化してこちらで検証した結果
+
+import talib as ta
+from backtesting.lib import crossover
+from backtesting import Backtest
+from backtesting import Strategy
+import pandas as pd
+import datetime as dt
+import pytz
+import MetaTrader5 as mt5
+import numpy as np
+from numpy import linalg as LA
+
+# 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",
+    }
+)
+
+# 必要なカラムのみ取得
+data = df.loc[:, ['Open', 'High', 'Low', 'Close', 'Volume']]
+
+
+def MACD(close, n1, n2, ns):
+    macd, macdsignal, macdhist = ta.MACD(
+        close, fastperiod=n1, slowperiod=n2, signalperiod=ns)
+    return macd, macdsignal
+
+
+# 下記記事を参考にStrategyを修正
+# https://mmorley.hatenablog.com/entry/fx_backtesting01
+
+class MACDCross(Strategy):
+    # 短期EMAの期間
+    n1 = 18
+    # 長期EMAの期間
+    n2 = 41
+    # シグナル（MACDのSMA）の期間
+    ns = 24
+    # angleの閾値
+    crossover_angle = 3.794
+    # 利益確定(円)
+    ProfitTaking = 1.428
+    # 損切(円)
+    LossCut = 1.8
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    def vector_angle(self, u: np.ndarray, v: np.ndarray):
+        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)))
+
+    # チャートデータの行ごとに呼び出される
+    # tp（take profit）利確する価格
+    # sl（stop losst）損切りする価格
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal) and \
+                self.vector_angle(
+                    self.macd[-2:],
+                    self.macdsignal[-2:]
+        ) > self.crossover_angle:
+            # 買いオーダー
+            self.buy(
+                tp=self.data.Close[-1] + self.ProfitTaking,
+                sl=self.data.Close[-1] - self.LossCut
+            )
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd) and \
+                self.vector_angle(
+                    self.macd[-2:],
+                    self.macdsignal[-2:]
+        ) > self.crossover_angle:
+            # 売りオーダー
+            self.sell(
+                tp=self.data.Close[-1] - self.ProfitTaking,
+                sl=self.data.Close[-1] + self.LossCut
+            )
+
+
+# バックテストを設定
+bt = Backtest(
+    # チャートデータ
+    data,
+    # 売買戦略
+    MACDCross,
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True
+)
+
+s_time = dt.datetime.timestamp(dt.datetime.utcnow())
+# バックテスト実行
+output = bt.run()
+e_time = dt.datetime.timestamp(dt.datetime.utcnow())
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 0)
+print(f'Processing time(sec): {p_time}')
+
+# 実行結果(データ)
+print(output)
+
+# Processing time(sec): 5.0
+# Start                     2022-11-18 00:00...
+# End                       2023-02-16 00:00...
+# Duration                     90 days 00:00:00
+# Exposure Time [%]                   97.433366
+# Equity Final [$]                 12025.707282
+# Equity Peak [$]                  12357.610885
+# Return [%]                          20.257073
+# Buy & Hold Return [%]               -4.777882
+# Return (Ann.) [%]                   85.150565
+# Volatility (Ann.) [%]               22.785833
+# Sharpe Ratio                         3.736996
+# Sortino Ratio                        13.20781
+# Calmar Ratio                        20.604035
+# Max. Drawdown [%]                   -4.132713
+# Avg. Drawdown [%]                   -0.136679
+# Max. Drawdown Duration       12 days 22:28:00
+# Avg. Drawdown Duration        0 days 04:29:00
+# # Trades                                   66
+# Win Rate [%]                        78.787879
+# Best Trade [%]                       1.289563
+# Worst Trade [%]                     -1.422667
+# Avg. Trade [%]                       0.492818
+# Max. Trade Duration          12 days 18:25:00
+# Avg. Trade Duration           2 days 15:42:00
+# Profit Factor                        2.825621
+# Expectancy [%]                       0.497406
+# SQN                                  2.896036
+# _strategy                           MACDCross
+# _equity_curve                             ...
+# _trades                       Size  EntryB...
+# dtype: object

--- a/investigation_study/numpy_vector_angle_1.py
+++ b/investigation_study/numpy_vector_angle_1.py
@@ -45,3 +45,8 @@ u3 = np.array([0.007748, 0.007773])
 v3 = np.array([0.006698, 0.007639])
 print(vector_angle(u3, v3))
 # 3.6628990024599957
+
+u2 = np.array([-0.0295, -0.0293])
+v2 = np.array([-0.0283, -0.0291])
+print(vector_angle(u2, v2))
+

--- a/investigation_study/oanda_v20_api_calendar_test.py
+++ b/investigation_study/oanda_v20_api_calendar_test.py
@@ -1,8 +1,9 @@
+import os
 import oandapyV20
 import oandapyV20.endpoints.forexlabs as labs
 
-
-client = oandapyV20.API(access_token=...)
+token = os.getenv('OANDA_TOKEN')
+client = oandapyV20.API(access_token=token)
 params = {
     "instrument": "USD_JPY",
     "period": 604800
@@ -26,3 +27,18 @@ params = {
 r = labs.Calendar(params=params)
 client.request(r)
 print(r.response)
+
+# oandapyV20.exceptions.V20Error: {
+#     "code" : 4,
+#     "message" : "The access token provided does not allow this request to be made",
+#     "moreInfo" : "http:\/\/developer.oanda.com\/docs\/v1\/authentication\/#overview"
+# }
+# 現状ではエラーとなってしまう
+
+# これは動作した
+# curl -H "Content-Type: application/json" -H "Authorization: Bearer <token>" "https://api-fxtrade.oanda.com/v3/accounts"
+# {"accounts":[{"id":"001-009-5378507-001","tags":[]},{"id":"001-009-5378507-002","tags":[]}]}
+
+# これはエラーが帰らないけどデータが無い様子
+# curl -H "Content-Type: application/json" -H "Authorization: Bearer <token>" "https://api-fxtrade.oanda.com/labs/v1/calendar?instrument=USD_JPY&period=2592000"
+# []

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -36,17 +36,17 @@ Allowablespread = 0.01
 # 1銭は0.01円
 OpenMergin = 0.007
 # 利益確定(円)
-ProfitTaking = 1.5
+ProfitTaking = 0.15
 # 損切(円)
-LossCut = 0.25
+LossCut = 0.265
 
 # テクニカル分析
 [Technical]
 # 短期EMAの期間
-FastEMAperiod = 35
+FastEMAperiod = 18
 # 長期EMAの期間
-SlowEMAperiod = 53
+SlowEMAperiod = 56
 # シグナルの期間
-Signalperiod = 18
+Signalperiod = 10
 # 交差角度閾値
-CrossingAngleThreshold = 1.54
+CrossingAngleThreshold = 0.576

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -68,7 +68,14 @@ class ExchangeRateInfo():
             0,
             count
         )
-        return rates['close']
+
+        ret = rates['close']
+
+        # 最新bidを暫定closeとして追加
+        tick = mt5.symbol_info_tick(self.__cp)
+        ret = np.append(ret, tick.bid)
+
+        return ret
 
     def __crossover(self, series1: np.ndarray, series2: np.ndarray) -> bool:
         """指標値列の交差判定
@@ -171,9 +178,8 @@ class ExchangeRateInfo():
             s = Setting()
 
             # MACDテクニカル分析に必要なデータ件数
-            # mt5アプリの表示と数値の乖離があるので件数を増やしてみる
-            # count = (self.__n2 + self.__n1) * 20
-            count = self.__ns * 20
+            # 暫定でmacd_value_verification.pyから1000と推定
+            count = 1000
 
             # 終値履歴を取得
             closes = self.__get_history_closes(
@@ -189,50 +195,62 @@ class ExchangeRateInfo():
             )
 
             # MACDの結果を端数処理(少数点以下6)
+            # 結果は最後の二つを使う
             macd = np.around(macd, 4)
             macdsignal = np.around(macdsignal, 4)
 
-            # 前回結果が未設定なら判定しない
-            if self.__previous_macd is None:
-                self.__previous_macd = macd[-1]
-                self.__previous_signal = macdsignal[-1]
-                s.technical_indicator = DEF.TECHNICAL_UNCHANGED
-                msg = 'Previous MACD result not set.'
-                logger.info(msg)
-                return
-            else:
-                macd[-2] = self.__previous_macd
-                macdsignal[-2] = self.__previous_signal
-
             # for debug
-            for i in range(-3, 0, 1):
+            logger.debug('MACD実測値')
+            for i in range(-6, 0, 1):
                 msg = (
                     f'num[{i}]: MACD: {macd[i]}, MACDSignal: {macdsignal[i]}'
                 )
                 logger.debug(msg)
 
+            # 指標判定は最後の2データで行う
+            # macd = macd[-2:]
+            # macdsignal = macdsignal[-2:]
+
+            # # 前回結果が未設定なら判定しない
+            # if self.__previous_macd is None:
+            #     self.__previous_macd = macd[-1]
+            #     self.__previous_signal = macdsignal[-1]
+            #     s.technical_indicator = DEF.TECHNICAL_UNCHANGED
+            #     msg = 'Previous MACD result not set.'
+            #     logger.info(msg)
+            #     return
+            # else:
+            #     macd[-2] = self.__previous_macd
+            #     macdsignal[-2] = self.__previous_signal
+
+            # for debug
+            # logger.debug('MACD判定値')
+            # for i in range(-2, 0, 1):
+            #     msg = (
+            #         f'num[{i}]: MACD: {macd[i]}, MACDSignal: {macdsignal[i]}'
+            #     )
+            #     logger.debug(msg)
+
             # 指標判定
             v_angle = self.__vector_angle(macd[-2:], macdsignal[-2:])
             msg = f'vector angle:{v_angle}'
             logger.debug(msg)
-            msg = f'macd vector angle:{v_angle}'
 
-            if self.__crossover(macd, macdsignal) and \
-                    v_angle > self.__angle and \
-                    macd[-1] < 0.0:
+            msg = f'befor turning point:{s.turning_point}'
+            logger.debug(msg)
+
+            if self.__crossover(macd[-2:], macdsignal[-2:]):
                 logger.debug('Cross up.')
-                if s.turning_point is not True:
+                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.'
                 else:
                     logger.debug('Already judged goldencross.')
-            elif self.__crossover(macdsignal, macd) and \
-                    v_angle > self.__angle and \
-                    macd[-1] > 0.0:
+            elif self.__crossover(macdsignal[-2:], macd[-2:]):
                 logger.debug('Cross down.')
-                if s.turning_point is not False:
+                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
@@ -251,11 +269,42 @@ class ExchangeRateInfo():
                 # いずれにも該当しない
                 s.technical_indicator = DEF.TECHNICAL_UNCHANGED
                 msg = 'Technical Indicator: Unchanged.'
+
+            # 過去指標の再判定
+            # 2023-02-22 02:17:04 num[-3]: MACD: 0.0278, MACDSignal: 0.0248 >
+            # 2023-02-22 02:17:04 num[-2]: MACD: 0.0287, MACDSignal: 0.0255 > !
+            # 2023-02-22 02:17:04 num[-1]: MACD: 0.0293, MACDSignal: 0.0262 > !
+            # 2023-02-22 02:18:04 num[-4]: MACD: 0.0278, MACDSignal: 0.0248 >
+            # 2023-02-22 02:18:04 num[-3]: MACD: 0.0259, MACDSignal: 0.025  >
+            # 2023-02-22 02:18:04 num[-2]: MACD: 0.0235, MACDSignal: 0.0248 < !
+            # 2023-02-22 02:18:04 num[-1]: MACD: 0.0213, MACDSignal: 0.0241 < !
+            # このような事象が発生するので転換サインが出てない場合に限り
+            # 過去指標(num[-2],num[-3])の再評価を行う
+            if s.technical_indicator == DEF.TECHNICAL_UPTREND or \
+                s.technical_indicator == DEF.TECHNICAL_DOWNTREND or \
+                    s.technical_indicator == DEF.TECHNICAL_UNCHANGED:
+                if self.__crossover(macd[-3:-1], macdsignal[-3:-1]):
+                    logger.debug('Re-evaluation Cross up.')
+                    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.'
+                elif self.__crossover(macdsignal[-3:-1], macd[-3:-1]):
+                    logger.debug('Re-evaluation Cross down.')
+                    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 = f'after turning point:{s.turning_point}'
+            logger.debug(msg)
+
             # 今回MACD結果を退避
-            self.__previous_macd = macd[-1]
-            self.__previous_signal = macdsignal[-1]
+            # self.__previous_macd = macd[-1]
+            # self.__previous_signal = macdsignal[-1]
 
         except Exception as e:
             logger.error(e)

--- a/src/main.py
+++ b/src/main.py
@@ -65,9 +65,9 @@ def main():
         # PositionMngは長期ポジションに対応する
         logger.debug("set schedule.")
         schedule.every().minute.at(":00").do(em.execute)
-        schedule.every().minute.at(":02").do(rt.execute)
-        schedule.every().minute.at(":04").do(pm.execute)
-        schedule.every().minute.at(":06").do(ac.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)
 
         logger.debug("start loop.")

--- a/src/position_mng.py
+++ b/src/position_mng.py
@@ -14,6 +14,8 @@ class PositionMng():
     # check_position
     # ポジション確認
     # テクニカル指標を確認しポジションを解消する
+    # ポジションが全くない状態でテクニカルフラグがOnなら
+    # フラグを初期化する
 
     def __init__(self):
         """initializer
@@ -42,6 +44,10 @@ class PositionMng():
             if positions is None:
                 # 保有ポジションは無いとする
                 logger.info('No open position.')
+                if s.turning_point is not None and \
+                        s.technical_indicator != DEF.TECHNICAL_GOLDEN_CROSS and \
+                        s.technical_indicator != DEF.TECHNICAL_DEAD_CROSS:
+                    s.turning_point = None
                 return
 
             # テクニカル指標を確認する