Gegen-Squeeze-Exit unter Vola-Regimen re-getestet: erneut verworfen
backtest_squeeze_exit_vol.py: echte Squeeze-Entries, 4 Exit-Varianten, ATR-Terzil-Split + letzte 30 Tage. Effekt ~0 (±0,005 R/Trade), Vorzeichen kippt zwischen Regimen, Worst-Case in allen Varianten identisch (SL greift bei echten Brüchen zuerst). 3. Messung derselben Idee, gleiche Antwort — Live-Exit bleibt. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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Axel Hocks
co-authored by
Claude Opus 4.8
Claude Opus 4.8
parent
c1994b369a
commit
30f08842d2
@@ -742,6 +742,22 @@ dort bereits nachvalidiert, ØR +0,305.) **Eine** Oberfläche:
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sich erholt hätten. Der 07:38-Fall (LONG lief zum SL während SHORT-Ausbruch) war Varianz.
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**Fazit: Squeeze taugt als ENTRY (validiert), NICHT als Gegen-EXIT.** Der einzige
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Speed-Hebel bleibt die schnellere Erkennung (Variante A, ~5 s).
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**Re-Test unter Vola-Regimen = ERNEUT VERWORFEN (gemessen
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`backtest_squeeze_exit_vol.py`, 2026-07-24, User-Frage „Markt gerade sehr volatil —
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wirklich nicht profitabel?"):** Verschärfter Test mit echten SQUEEZE-Entries (statt
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EMA-Crosses), 4 Varianten (immer/nur-im-Minus/nur-Verlust>0,5×ATR), ATR-Terzil-Split
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je Hälfte + Extra-Fenster letzte ~30 Tage. Ergebnis: Effektgröße überall ~0
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(±0,002–0,005 R/Trade bei ~1150 Trades/Hälfte), **Vorzeichen kippt zwischen den
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Regimen** (MODL: H1-Hochvola −1,6 / H2-Hochvola +3,0 / letzte 30 Tage −0,3) → nach
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der vorab festgelegten Regel (beide Hälften UND Hoch-Vola-Terzil ≥ BASE) fällt JEDE
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Variante durch. **Kernbefund: Worst-Case ist in ALLEN Varianten identisch**
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(−2,33/−2,47 = SL-Deckel) — der Gegen-Squeeze-Exit reduziert das Tail-Risiko um
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exakt 0, weil bei echten schnellen Brüchen immer der SL zuerst greift; er kappt nur
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langsame Kriecher, von denen sich >50 % erholt hätten. (Methodik-Hinweis: absolute
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ØR pessimistischer als im validierten Squeeze-Backtest — Entry am Bar-Close statt
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am Level, keine Flat-Bedingung; für den Varianten-VERGLEICH neutral, da alle Exits
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denselben Entries folgen.) 3. Messung derselben Idee (Reverse · Exit-only ·
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Vola-Regime-Re-Test) — gleiche Antwort.
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**S/R-Close kappt Squeeze-Runner? = GEPRÜFT, KEINE Änderung (gemessen
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`backtest_squeeze_srclose.py`, 2026-07-24, User-Beobachtung „Squeeze wird direkt am
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nächsten S/R geschlossen"):** Der Log bestätigt, dass Auto-Squeeze-Trades regelmäßig
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@@ -0,0 +1,169 @@
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#!/usr/bin/env python3
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"""Gegen-Squeeze-EXIT unter Volatilitäts-Regimen (2026-07-24, User-Frage „Markt ist
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gerade sehr volatil — hilft der Gegen-Ausstieg da wirklich nicht?").
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Verschärfter Re-Test des 2026-07-22-Befunds (backtest_squeeze_exit.py = EMA-Entries):
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1. ENTRIES = echte SQUEEZE-Ausbrüche (Live-Params _SQ_N/_SQ_MULT/_SQ_K aus
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core.wave_rec) — exakt das Auto-Squeeze-Szenario, nicht EMA-Crosses.
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2. Exit-Varianten:
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BASE = Live-Exit (SL 2,0×ATR + Trailing 1,5 + Breakeven 1,3)
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MOD = Gegen-Squeeze-Ausbruch schließt SOFORT (am Bar-Close), immer
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MODL = wie MOD, aber nur wenn Position im MINUS ist („Verlust minimieren")
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MODL5 = nur wenn Verlust > 0,5×ATR (erst bei klarem Minus kappen)
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3. VOLA-SPLIT: Trades je Hälfte nach ATR-Terzil am Entry (low/mid/HIGH) getrennt —
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beantwortet direkt „gilt der Befund auch im Hoch-Vola-Regime?".
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4. Extra-Fenster: letzte ~30 Tage (8640 M5-Bars) = die aktuelle volatile Phase.
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Innerhalb eines Bars: erst SL/Trailing (intrabar H/L), dann Gegen-Squeeze (Close).
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Kosten = Bar-Spread/ATR am Entry. Verdict-Regel (vorab): eine MOD-Variante wird nur
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eingebaut, wenn sie in BEIDEN Hälften UND im High-Vol-Terzil ΣR ≥ BASE liefert.
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"""
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import sys
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import MetaTrader5 as mt5
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from core.wave_rec import _SQ_N, _SQ_MULT, _SQ_K
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_MAXH = 288; _ATRMIN = 0.06; _COOL = 12
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_RECENT_BARS = 8640 # ~30 Tage M5
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def _atr_series(H, L, C, p=14):
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t = [0.0]
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for i in range(1, len(C)):
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t.append(max(H[i]-L[i], abs(H[i]-C[i-1]), abs(L[i]-C[i-1])))
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return [(sum(t[max(1, i-p+1):i+1])/max(1, len(t[max(1, i-p+1):i+1]))) if i else None
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for i in range(len(C))]
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def _sq_dir(H, L, C, A):
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"""Squeeze-Ausbruchs-Richtung je Bar (+1/-1/0), Live-Params — Box = _SQ_N
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abgeschlossene Bars VOR i, aktueller Close bricht ±_SQ_K×ATR aus der Box."""
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out = [0]*len(C)
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for i in range(_SQ_N+1, len(C)):
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atr = A[i]
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if not atr or atr <= 0:
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continue
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hi = max(H[i-_SQ_N:i]); lo = min(L[i-_SQ_N:i])
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if (hi-lo)/atr > _SQ_MULT:
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continue
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if C[i] >= hi + _SQ_K*atr: out[i] = 1
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elif C[i] <= lo - _SQ_K*atr: out[i] = -1
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return out
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def sim(entry, d, atr, H, L, C, j0, SQ, mode):
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"""mode: base | mod | modl (nur Minus) | modl5 (nur Verlust>0,5×ATR)."""
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eff = entry - d*2.0*atr; hw = entry
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
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for j in range(j0, end+1):
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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff):
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return (eff-entry)*d/atr, j
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if mode != 'base' and SQ[j] == -d:
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prof = (C[j]-entry)*d
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fire = (mode == 'mod' or
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(mode == 'modl' and prof < 0) or
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(mode == 'modl5' and prof < -0.5*atr))
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if fire:
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return prof/atr, j
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
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eff = max(eff, cand) if d > 0 else min(eff, cand)
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return (exit_px-entry)*d/atr, exit_j
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def collect(H, L, C, A, SP, SQ, point, lo, hi):
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"""Squeeze-ENTRIES in [lo,hi) → Liste (atr_at_entry, {mode: R_netto})."""
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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out = []
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i = max(lo, _SQ_N+15)
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while i < min(hi, len(C)-_MAXH-1):
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d = SQ[i]
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if d == 0:
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i += 1; continue
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atr = max(A[i], _ATRMIN); c = cost(i, atr)
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rec = {}
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xj = i+1
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for m in ('base', 'mod', 'modl', 'modl5'):
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r, xj = sim(C[i], d, atr, H, L, C, i+1, SQ, m)
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rec[m] = r - c
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out.append((A[i], rec))
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i = i + _COOL
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return out
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def st(Rs):
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if not Rs: return None
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n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
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up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99),
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sum=s, worst=min(Rs))
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def block(title, trades):
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"""Vergleichstabelle BASE vs Varianten für eine Trade-Menge."""
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if not trades:
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print(f" {title}: (keine Trades)"); return
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print(f" {title} (n={len(trades)}):")
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base = st([r['base'] for _, r in trades])
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print(f" {'BASE (Live-Exit)':<22} WR={base['wr']:>3.0f}% ØR={base['oR']:+.3f} "
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f"PF={base['pf']:>4.2f} ΣR={base['sum']:>+7.1f} Worst={base['worst']:+.2f}")
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for m, lbl in (('mod', 'MOD (immer)'), ('modl', 'MODL (im Minus)'),
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('modl5', 'MODL5 (Minus>0,5ATR)')):
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s = st([r[m] for _, r in trades])
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d = s['sum']-base['sum']
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print(f" {lbl:<22} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
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f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+7.1f} Worst={s['worst']:+.2f}"
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f" Δ={d:+.1f}")
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def vol_split(trades):
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"""Terzile nach ATR am Entry (innerhalb der Menge)."""
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if len(trades) < 9: return []
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atrs = sorted(a for a, _ in trades)
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t1 = atrs[len(atrs)//3]; t2 = atrs[2*len(atrs)//3]
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lo = [(a, r) for a, r in trades if a <= t1]
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mid = [(a, r) for a, r in trades if t1 < a <= t2]
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hi = [(a, r) for a, r in trades if a > t2]
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return [(f"Vola NIEDRIG (ATR≤{t1:.3f})", lo),
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(f"Vola MITTEL", mid),
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(f"Vola HOCH (ATR>{t2:.3f})", hi)]
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def main():
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n = int(sys.argv[1]) if len(sys.argv) > 1 else 80000
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mt5.initialize()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n)
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point = mt5.symbol_info(sym).point; mt5.shutdown()
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H = [float(b["high"]) for b in bars]; L = [float(b["low"]) for b in bars]
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C = [float(b["close"]) for b in bars]; SP = [float(b["spread"])*point for b in bars]
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A = _atr_series(H, L, C); SQ = _sq_dir(H, L, C, A)
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N = len(C); mid = N//2
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print("="*88)
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print(f" Gegen-Squeeze-EXIT × Vola-Regime — {sym} M5 ({N} Bars) · ENTRIES=Squeeze-Ausbrüche")
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print(f" Live-Params Box={_SQ_N}·mult={_SQ_MULT}·k={_SQ_K} · Exit BASE=SL2,0/Trail1,5/BE1,3")
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print("="*88)
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for lbl, lo, hi in (("H1 (alt)", 0, mid), ("H2 (neu)", mid, N)):
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trades = collect(H, L, C, A, SP, SQ, point, lo, hi)
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print(f"\n{lbl}:")
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block("ALLE Trades", trades)
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for t, sub in vol_split(trades):
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block(t, sub)
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recent = collect(H, L, C, A, SP, SQ, point, max(0, N-_RECENT_BARS), N)
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print(f"\nAKTUELLE PHASE (letzte ~30 Tage):")
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block("ALLE Trades", recent)
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for t, sub in vol_split(recent):
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block(t, sub)
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print("\n Verdict-Regel (vorab): Variante nur einbauen, wenn sie in BEIDEN Hälften")
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print(" UND im Hoch-Vola-Terzil ΣR ≥ BASE liefert. Sonst bleibt der Live-Exit.")
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if __name__ == "__main__":
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main()
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