Commit: 779c588998898345a1895b59ad2e6817ff2d43ee - mt5-operator (git)

Commit MetaInfo

• Revision: 779c588998898345a1895b59ad2e6817ff2d43ee (tree)
• Zeit: 2023-02-15 06:37:05
• Autor: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

loggerのLogファイルがローテーションしない事象を修正

macd判定が誤る事象について
毎分計算し直すと前回結果が異なると判明
内部に前回結果を退避して改善を試みる

転換点判定を何度も判定しないようにフラグ設定

Ändern Zusammenfassung

• modified: .gitignore
• add: investigation_study/check_exchange_rate_info.py
• add: investigation_study/macd_value_verification.py
• modified: src/config/logging.conf
• modified: src/config/setting.ini
• modified: src/configuration.py
• modified: src/exchange_rate_info.py

Diff

--- a/.gitignore
+++ b/.gitignore
@@ -20,4 +20,5 @@ __pycache__/
 *.json
 *.log*
 Docs/.~lock.memo.ods#
-*.spec
\ No newline at end of file
+*.spec
+*.csv
\ No newline at end of file

--- /dev/null
+++ b/investigation_study/check_exchange_rate_info.py
@@ -0,0 +1,75 @@
+import numpy as np
+from numpy import linalg as LA
+
+
+# テクニカル分析
+TECHNICAL_UNCHANGED = 0
+TECHNICAL_GOLDEN_CROSS = 1
+TECHNICAL_DEAD_CROSS = 2
+TECHNICAL_UPTREND = 3
+TECHNICAL_DOWNTREND = 4
+
+
+def crossover(series1: np.ndarray, series2: np.ndarray) -> bool:
+    return series1[-2] < series2[-2] and series1[-1] > series2[-1]
+
+
+def vector_angle(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)))
+
+
+# 確認したい動作
+# 2023-02-14 06:14:02,857 13268 MainThread exchange_rate_info.py:197 set_technical_indicators [DEBUG]: num[-2]: MACD: -0.018727, MACDSignal: -0.017417  <
+# 2023-02-14 06:14:02,858 13268 MainThread exchange_rate_info.py:197 set_technical_indicators [DEBUG]: num[-1]: MACD: -0.018409, MACDSignal: -0.017507  <
+# 2023-02-14 06:14:02,860 13268 MainThread exchange_rate_info.py:202 set_technical_indicators [DEBUG]: vector angle:0.6382709010386011
+# 2023-02-14 06:15:02,500 13268 MainThread exchange_rate_info.py:197 set_technical_indicators [DEBUG]: num[-2]: MACD: -0.01741, MACDSignal: -0.017416   >
+# 2023-02-14 06:15:02,502 13268 MainThread exchange_rate_info.py:197 set_technical_indicators [DEBUG]: num[-1]: MACD: -0.016186, MACDSignal: -0.017305  >
+# 2023-02-14 06:15:02,504 13268 MainThread exchange_rate_info.py:202 set_technical_indicators [DEBUG]: vector angle:1.9033600682385448
+# 2023-02-14 06:15:02,505 13268 MainThread exchange_rate_info.py:239 set_technical_indicators [INFO]: Technical Indicator: Downtrand.
+# 結果としてはmacd_value_verification.pyで確認した通り、判定時に使用したmacdの値の扱いを考え直す必要がわかった
+
+macd = [-0.016186, -0.01741]
+macdsignal = [-0.017305, -0.017416]
+
+v_angle = vector_angle(macd[-2:], macdsignal[-2:])
+angle = 1.54
+turning_point: bool | None = None
+
+if crossover(macd, macdsignal) and \
+        v_angle > angle and \
+        macd[-1] < 0.0:
+    print('Cross up.')
+    if turning_point is not True:
+        # GoldenCross 上昇転換サイン
+        technical_indicator = TECHNICAL_GOLDEN_CROSS
+        turning_point = True
+        msg = 'Technical Indicator: GoldenCros'
+    else:
+        print('Already judged goldencros')
+elif crossover(macdsignal, macd) and \
+        v_angle > angle and \
+        macd[-1] > 0.0:
+    print('Cross down.')
+    if turning_point is not False:
+        # DeadCross 降下転換サイン
+        technical_indicator = TECHNICAL_DEAD_CROSS
+        turning_point = False
+        msg = 'Technical Indicator: DeadCros'
+    else:
+        print('Already judged deadcros')
+elif macd[-1] > 0.0:
+    # 上昇トレンド
+    technical_indicator = TECHNICAL_UPTREND
+    msg = 'Technical Indicator: Uptrend.'
+elif macd[-1] < 0.0:
+    # 降下トレンド
+    technical_indicator = TECHNICAL_DOWNTREND
+    msg = 'Technical Indicator: Downtrand.'
+else:
+    # いずれにも該当しない
+    technical_indicator = TECHNICAL_UNCHANGED
+    msg = 'Technical Indicator: Unchanged.'
+print(msg)

--- /dev/null
+++ b/investigation_study/macd_value_verification.py
@@ -0,0 +1,97 @@
+# 毎回算出するMACDの値は直近の値の影響を強く受ける設計なので
+# 再計算のたびに値が変わる
+
+# 2023 - 02 - 14 06: 10: 02, 406 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.020016, MACDSignal: -0.016616
+# 2023 - 02 - 14 06: 10: 02, 407 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.020261, MACDSignal: -0.016947
+# 2023 - 02 - 14 06: 11: 02, 049 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.01968, MACDSignal: -0.016894
+# 2023 - 02 - 14 06: 11: 02, 050 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.019248, MACDSignal: -0.017108
+# 2023 - 02 - 14 06: 12: 02, 583 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.019278, MACDSignal: -0.017111
+# 2023 - 02 - 14 06: 12: 02, 583 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.01886, MACDSignal: -0.01727
+# 2023 - 02 - 14 06: 13: 02, 208 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.019039, MACDSignal: -0.017286
+# 2023 - 02 - 14 06: 13: 02, 210 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.018787, MACDSignal: -0.017423
+
+# 2023 - 02 - 14 06: 14: 02, 857 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.018727, MACDSignal: -0.017417   >
+# 2023 - 02 - 14 06: 14: 02, 858 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.018409, MACDSignal: -0.017507   >
+# mt5上ではグラフが交差した部分は直近２データが変わっている、本来なら前回最新が次回2個目のデータと近似するはず・・・
+# 2023 - 02 - 14 06: 15: 02, 500 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.01741, MACDSignal: -0.017416    <
+# 2023 - 02 - 14 06: 15: 02, 502 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.016186, MACDSignal: -0.017305   <
+
+# 2023 - 02 - 14 06: 16: 02, 159 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.016171, MACDSignal: -0.017303
+# 2023 - 02 - 14 06: 16: 02, 161 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.015187, MACDSignal: -0.017111
+# 2023 - 02 - 14 06: 17: 02, 856 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.015545, MACDSignal: -0.017143
+# 2023 - 02 - 14 06: 17: 02, 858 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.014928, MACDSignal: -0.016942
+# 2023 - 02 - 14 06: 18: 02, 545 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.014794, MACDSignal: -0.01693
+# 2023 - 02 - 14 06: 18: 02, 546 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.01408, MACDSignal: -0.016671
+# 2023 - 02 - 14 06: 19: 02, 168 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.013811, MACDSignal: -0.016646
+# 2023 - 02 - 14 06: 19: 02, 169 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.012886, MACDSignal: -0.016304
+# 2023 - 02 - 14 06: 20: 02, 712 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-2]: MACD: -0.013065, MACDSignal: -0.016321
+# 2023 - 02 - 14 06: 20: 02, 713 13268 MainThread exchange_rate_info.py: 197 set_technical_indicators[DEBUG]: num[-1]: MACD: -0.012373, MACDSignal: -0.015962
+import MetaTrader5 as mt5
+import talib as ta
+import datetime as dt
+import pytz
+import pandas as pd
+
+
+# 短期EMAの期間
+n1 = 39
+# 長期EMAの期間
+n2 = 56
+# シグナル（MACDのSMA）の期間
+ns = 21
+
+# 日本のtimezone
+tz_local = pytz.timezone('Etc/GMT-9')
+# OANDAサーバのtimezone
+tz_oanda = pytz.timezone('Etc/GMT-2')
+
+cp = 'USDJPY'
+mt5.initialize()
+
+# 終値履歴を取得
+rates = mt5.copy_rates_from_pos(
+    cp,
+    mt5.TIMEFRAME_M1,
+    0,
+    100000
+)
+
+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)
+
+# >>> df[-2:]
+#                                          time     open     high      low    close  tick_volume  spread  real_volume
+# Date
+# 2023-02-15 00:41:00+09:00 2023-02-14 15:41:00  132.383  132.404  132.242  132.249          709       3            0
+# 2023-02-15 00:42:00+09:00 2023-02-14 15:42:00  132.253  132.344  132.215  132.296          672       3            0
+#
+# mt5のmacd表示
+#           15:41:00    15:42:00
+# macd   : -0.0049      -0.0019
+# signal : -0.0107      -0.0102
+#
+# この値に近似するデータ数を探索する
+
+closes = df['close']
+
+# MACDを算出
+macd, macdsignal, _ = ta.MACD(
+    closes,
+    fastperiod=n1,
+    slowperiod=n2,
+    signalperiod=ns
+)
+print(macd[-2:])
+print(macdsignal[-2:])
+
+# 100   macd:0.012177       signal:-0.011877
+# 150   macd:0.012937       signal:-0.010785
+# 200   macd:0.013341       signal:-0.010236
\ No newline at end of file

--- a/src/config/logging.conf
+++ b/src/config/logging.conf
@@ -18,7 +18,7 @@ args=(sys.stdout,)
 class=logging.handlers.TimedRotatingFileHandler
 level=DEBUG
 formatter=simple
-args=('./mt5-operator.log', 'D', 10, 10, 'utf-8')
+args=('./mt5-operator.log', 'MIDNIGHT', 10, 10, 'utf-8')
 
 [formatters]
 keys=simple

--- a/src/config/setting.ini
+++ b/src/config/setting.ini
@@ -11,7 +11,7 @@ TradeContractSize = 100000.0
 # 約定の最小ボリューム
 VolumeMin = 0.1
 # 約定の最大ボリューム
-VolumeMax = 10.0
+VolumeMax = 0.1
 # 約定実行のための最小限のボリューム変化のステップ
 VolumeStep = 0.01
 
@@ -38,15 +38,15 @@ OpenMergin = 0.007
 # 利益確定(円)
 ProfitTaking = 1.5
 # 損切(円)
-LossCut = 0.2
+LossCut = 0.25
 
 # テクニカル分析
 [Technical]
 # 短期EMAの期間
-FastEMAperiod = 39
+FastEMAperiod = 35
 # 長期EMAの期間
-SlowEMAperiod = 56
+SlowEMAperiod = 53
 # シグナルの期間
-Signalperiod = 21
+Signalperiod = 18
 # 交差角度閾値
-CrossingAngleThreshold = 0.684
+CrossingAngleThreshold = 1.54

--- a/src/configuration.py
+++ b/src/configuration.py
@@ -46,6 +46,8 @@ class Setting(object):
         self.__orderable_lot: float = 0.0
         # テクニカル指標
         self.__technical_indicator: int = 0
+        # テクニカル転換点
+        self.__turning_point: bool | None = None
 
     @property
     def get_instance(self):
@@ -136,3 +138,16 @@ class Setting(object):
     @technical_indicator.setter
     def technical_indicator(self, value: int):
         self.__technical_indicator = value
+
+    @property
+    def turning_point(self) -> bool | None:
+        """テクニカル転換点
+        True: GoldenCross
+        False: DeadCross
+        None: Unset
+        """
+        return self.__turning_point
+
+    @turning_point.setter
+    def turning_point(self, value: bool):
+        self.__turning_point = value

--- a/src/exchange_rate_info.py
+++ b/src/exchange_rate_info.py
@@ -41,6 +41,8 @@ class ExchangeRateInfo():
         except Exception as e:
             logger.error(e)
             raise
+        self.__previous_macd: float | None = None
+        self.__previous_signal: float | None = None
 
     def __get_latest_rate(self) -> tuple:
         """最新レート取得
@@ -79,7 +81,10 @@ class ExchangeRateInfo():
         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):
+        if np.isnan(u[-1]) or \
+                np.isnan(u[-2]) or \
+                np.isnan(v[-1]) or \
+                np.isnan(v[-2]):
             raise ValueError('Nan is included in the value.')
         i = np.inner(u, v)
         n = LA.norm(u) * LA.norm(v)
@@ -167,7 +172,8 @@ class ExchangeRateInfo():
 
             # 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.__ns) * 20
+            # count = (self.__n2 + self.__n1) * 20
+            count = self.__ns * 10
 
             # 終値履歴を取得
             closes = self.__get_history_closes(
@@ -186,6 +192,18 @@ class ExchangeRateInfo():
             macd = np.around(macd, 6)
             macdsignal = np.around(macdsignal, 6)
 
+            # 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(-2, 0, 1):
                 msg = (
@@ -195,24 +213,50 @@ 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'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.'
+                    v_angle > self.__angle and \
+                    macd[-1] < 0.0:
+                logger.debug('Cross up.')
+                if s.turning_point is not True:
+                    # 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 \
-                    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.'
+                    v_angle > self.__angle and \
+                    macd[-1] > 0.0:
+                logger.debug('Cross down.')
+                if s.turning_point is not False:
+                    # DeadCross 降下転換サイン
+                    s.technical_indicator = DEF.TECHNICAL_DEAD_CROSS
+                    s.turning_point = False
+                    msg = 'Technical Indicator: DeadCross.'
+                else:
+                    logger.debug('Already judged deadcross.')
+            elif macd[-1] > 0.0:
+                # 上昇トレンド
+                s.technical_indicator = DEF.TECHNICAL_UPTREND
+                msg = 'Technical Indicator: Uptrend.'
+            elif macd[-1] < 0.0:
+                # 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
                 msg = 'Technical Indicator: Unchanged.'
             logger.info(msg)
 
+            # 今回MACD結果を退避
+            self.__previous_macd = macd[-1]
+            self.__previous_signal = macdsignal[-1]
+
         except Exception as e:
             logger.error(e)
             raise