Initial commit: Oil Trading Bot (MT5, WTI)
Headless FastAPI-Backend (server.py + core/engine.py) mit Mobile-PWA (web/), Strategie-/Backtest-Suite und Doku. Secrets, DB, Logs und Laufzeit-State sind via .gitignore ausgeschlossen; Config-Vorlage: oil_widget_config.ini.example. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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Axel Hocks
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#!/usr/bin/env python3
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"""Ausführungs-Analyse (Track B, Mess-Kalibrierung — KEINE Strategie-Änderung):
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A) Kosten-Profil: echter Spread je Berlin-Stunde (Bar-Feld `spread`, in Points)
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absolut und als ×ATR — ersetzt die pauschale 0,1×ATR-Kostenannahme.
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B) Slippage: SL-Closes, die SCHLECHTER als der Initial-SL ausgeführt wurden
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(sichere Untergrenze der echten Slippage; getrailte SLs sind nicht rekonstruierbar).
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C) MAE/MFE der Live-Trades: wie weit liefen echte Trades ins Minus (MAE) und
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ins Plus (MFE), normiert auf ATR≈|Entry−InitialSL|/2 — validiert SL-Band,
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Breakeven-Schwelle (1,3) und Trailing an LIVE-Daten statt Simulation.
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Aufruf: python analyze_execution.py [m5_bars] [m1_bars]
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"""
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import sys, sqlite3, datetime as dt
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from zoneinfo import ZoneInfo
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from collections import defaultdict
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import MetaTrader5 as mt5
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_BROKER_OFF = 3 * 3600
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_BERLIN = ZoneInfo("Europe/Berlin")
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DB = "oil_widget_history.db"
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def bhour(broker_ts):
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return dt.datetime.fromtimestamp(int(broker_ts) - _BROKER_OFF,
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tz=dt.timezone.utc).astimezone(_BERLIN).hour
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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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out = []
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for i in range(len(C)):
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w = t[max(1, i-p+1):i+1]
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out.append(sum(w)/len(w) if w else None)
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return out
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def main():
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n5 = int(sys.argv[1]) if len(sys.argv) > 1 else 80000
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n1 = int(sys.argv[2]) if len(sys.argv) > 2 else 100000
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mt5.initialize()
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sym = None
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for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD"):
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if mt5.symbol_info(c):
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sym = c; break
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si = mt5.symbol_info(sym)
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point = si.point
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bars5 = None
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for req in (n5, 80000, 60000, 40000):
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bars5 = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, req)
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if bars5 is not None and len(bars5) > 2000: break
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bars1 = None
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for req in (n1, 60000, 30000, 15000):
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bars1 = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M1, 0, req)
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if bars1 is not None and len(bars1) > 1000: break
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mt5.shutdown()
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# ── A) Kosten-Profil: Spread je Berlin-Stunde ────────────────────────────
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print("=" * 84)
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print(f" A) KOSTEN-PROFIL — {sym}, {len(bars5)} M5-Bars, Spread aus Bar-Feld (Points×{point})")
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print("=" * 84)
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H = [float(b["high"]) for b in bars5]; L = [float(b["low"]) for b in bars5]
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C = [float(b["close"]) for b in bars5]
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AT = _atr_series(H, L, C)
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byh = defaultdict(list)
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for i, b in enumerate(bars5):
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atr = AT[i]
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if not atr or atr <= 0: continue
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sp = float(b["spread"]) * point
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if sp <= 0: continue
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byh[bhour(b["time"])].append((sp, sp / atr))
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print(f" {'Std':>3} {'Ø-Spread':>9} {'×ATR':>6} (Kostenannahme bisher pauschal 0,10×ATR)")
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tot = []
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for h in range(24):
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v = byh.get(h)
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if not v: continue
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sp = sum(x[0] for x in v)/len(v); rel = sum(x[1] for x in v)/len(v)
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tot += v
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mark = " ⚠ teuer" if rel > 0.15 else (" günstig" if rel < 0.07 else "")
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print(f" {h:>3} {sp:>9.4f} {rel:>6.3f}{mark}")
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if tot:
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print(f" ALLE Ø-Spread {sum(x[0] for x in tot)/len(tot):.4f} · {sum(x[1] for x in tot)/len(tot):.3f}×ATR")
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# ── Trades laden (B + C) ─────────────────────────────────────────────────
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con = sqlite3.connect(DB); con.row_factory = sqlite3.Row
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rows = [dict(r) for r in con.execute(
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"SELECT * FROM trades WHERE exit_time IS NOT NULL AND entry_price IS NOT NULL "
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"ORDER BY entry_time")]
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# ── B) Slippage bei SL-Closes ────────────────────────────────────────────
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print("\n" + "=" * 84)
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print(" B) SLIPPAGE — SL-Closes schlechter als der Initial-SL (sichere Untergrenze)")
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print("=" * 84)
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slips = []
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n_sl = 0
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for r in rows:
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if r["closed_by"] != "sl" or not r["sl_at_entry"]: continue
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n_sl += 1
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d = 1 if r["direction"] in ("BUY", "LONG", "buy") else -1
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gap = (r["sl_at_entry"] - r["exit_price"]) * d # >0 = schlechter als Initial-SL
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if gap > 0:
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slips.append((gap, r))
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print(f" SL-Closes gesamt: {n_sl} · davon SCHLECHTER als Initial-SL: {len(slips)}")
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if slips:
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gaps = [g for g, _ in slips]
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gaps.sort()
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print(f" Slippage: Ø {sum(gaps)/len(gaps):.3f} · Median {gaps[len(gaps)//2]:.3f} "
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f"· Max {max(gaps):.3f} (Preis-Punkte)")
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worst = sorted(slips, key=lambda x: -x[0])[:5]
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for g, r in worst:
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t = dt.datetime.fromtimestamp(r["entry_time"]).strftime("%d.%m %H:%M")
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print(f" {t} {r['direction']:<4} SL {r['sl_at_entry']:.3f} → Exit "
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f"{r['exit_price']:.3f} Slippage {g:.3f} (netto {((r['pnl'] or 0)+(r['commission'] or 0)):+.2f})")
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# ── C) MAE/MFE der Live-Trades (M1-Fenster) ─────────────────────────────
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print("\n" + "=" * 84)
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print(f" C) MAE/MFE live — M1-Abdeckung {len(bars1)} Bars "
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f"(~{len(bars1)/60/24*1.0:.0f} Handelstage), ATR≈|Entry−InitSL|/2")
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print("=" * 84)
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T1 = [int(b["time"]) for b in bars1]
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H1 = [float(b["high"]) for b in bars1]; L1 = [float(b["low"]) for b in bars1]
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t0 = T1[0]
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import bisect
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cov = 0
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mae_w, mae_l, mfe_w, mfe_l = [], [], [], []
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for r in rows:
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eb = int(r["entry_time"]) + _BROKER_OFF # lokale Epoch → Broker-Epoch
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xb = int(r["exit_time"]) + _BROKER_OFF
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if eb < t0 or not r["sl_at_entry"]: continue
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i0 = bisect.bisect_left(T1, eb); i1 = bisect.bisect_right(T1, xb)
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if i1 - i0 < 1: continue
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d = 1 if r["direction"] in ("BUY", "LONG", "buy") else -1
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entry = float(r["entry_price"])
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atr_est = abs(entry - float(r["sl_at_entry"])) / 2.0
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if atr_est <= 0: continue
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seg_h = H1[i0:i1]; seg_l = L1[i0:i1]
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# adverse/favorable Exkursion je Richtung
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if d > 0:
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mae = max(0.0, entry - min(seg_l)); mfe = max(0.0, max(seg_h) - entry)
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else:
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mae = max(0.0, max(seg_h) - entry); mfe = max(0.0, entry - min(seg_l))
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net = (r["pnl"] or 0) + (r["commission"] or 0)
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cov += 1
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(mae_w if net > 0 else mae_l).append(mae / atr_est)
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(mfe_w if net > 0 else mfe_l).append(mfe / atr_est)
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def st(v):
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if not v: return "n=0"
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v = sorted(v)
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return (f"n={len(v):>3} Ø={sum(v)/len(v):.2f} Median={v[len(v)//2]:.2f} "
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f"P90={v[int(len(v)*0.9)]:.2f}")
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print(f" Abgedeckte Trades: {cov}")
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print(f" MAE Gewinner {st(mae_w)} (wie tief liefen GEWINNER ins Minus)")
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print(f" MAE Verlierer {st(mae_l)}")
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print(f" MFE Gewinner {st(mfe_w)}")
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print(f" MFE Verlierer {st(mfe_l)} (wie viel Plus gaben VERLIERER wieder her)")
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if mfe_l:
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gave = sum(1 for x in mfe_l if x >= 1.3) / len(mfe_l)
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print(f" Verlierer, die ≥1,3×ATR im Plus waren (Breakeven hätte greifen müssen): {100*gave:.0f}%")
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if mae_w:
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deep = sum(1 for x in mae_w if x >= 1.8) / len(mae_w)
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print(f" Gewinner, die ≥1,8×ATR im Minus waren (SL-Band-Nähe überlebt): {100*deep:.0f}%")
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if __name__ == "__main__":
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main()
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