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backend/app/backtest/strategies/macd_cross.py

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+"""MACD 金叉死叉策略。"""
+from __future__ import annotations
+
+import pandas as pd
+
+from ...indicators import macd
+from ..broker import PaperBroker
+from .base import Strategy
+
+
+class MACDCrossStrategy(Strategy):
+    def __init__(self, fast: float = 12, slow: float = 26, signal: float = 9):
+        self.fast = int(fast)
+        self.slow = int(slow)
+        self.signal = int(signal)
+        self._ind: pd.DataFrame | None = None
+        self._prev_dif: float | None = None
+        self._prev_dea: float | None = None
+
+    def compute(self, close: pd.Series, high: pd.Series, low: pd.Series) -> pd.DataFrame:
+        self._ind = macd(close, self.fast, self.slow, self.signal)
+        return self._ind
+
+    def on_bar(self, i: int, row: pd.Series, broker: PaperBroker) -> None:
+        dif = float(self._ind["macd"].iloc[i])
+        dea = float(self._ind["signal"].iloc[i])
+
+        if self._prev_dif is None:
+            self._prev_dif, self._prev_dea = dif, dea
+            return
+
+        golden = self._prev_dif <= self._prev_dea and dif > dea   # 金叉
+        death = self._prev_dif >= self._prev_dea and dif < dea    # 死叉
+
+        price = float(row["close"])
+        ts = row["ts"]
+        if golden and pd.notna(dif):
+            broker.buy_max(ts, price)
+        elif death and broker.position > 0 and pd.notna(dif):
+            broker.sell_all(ts, price)
+
+        self._prev_dif, self._prev_dea = dif, dea