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>
2026-07-24 08:29:23 +02:00
commit 75d28827e8
104 changed files with 21059 additions and 0 deletions
@@ -0,0 +1,104 @@
+#!/usr/bin/env python3
+"""ATR-Floor-Check (Track B): `trailing._ATR_MIN=0.12` stammt aus einer höheren
+Vola-Phase — real ist ATR(M1/M5) inzwischen oft 0,07–0,12, der Floor bindet also
+staendig und macht SL/Trail-Distanzen ~1,3–1,6x breiter als der echte ATR.
+Misst die echte Phasen-Trailing-Sim (wie backtest_trailing) mit Floor NUR im Exit
+(Signale identisch, raw ATR): floor ∈ {0.00, 0.06, 0.12, 0.25} über 2 Halbjahre.
+Metrik in PREIS-Punkten (ΣPts), damit Floor-Varianten fair vergleichbar sind
+(R-Normierung würde je Variante anders skalieren). Plus Bind-Quote je Hälfte.
+"""
+import sys
+import MetaTrader5 as mt5
+from core.analysis import calc_trend_angle
+from core.wave_rec import (_EMA_FAST, _EMA_SLOW, _N_BARS, _ANGLE_LR, _ANGLE_DEAD,
+                           _REVERSAL_STRETCH, _STRETCH_MAX)
+_MAXH=200; _TP_INIT=3.5; _LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2
+_BE=1.3; _TRAIL_START=0.3; _MULT=1.5   # Live-Exit-Parameter (M5)
+
+def _ema_series(v,p):
+    k=2.0/(p+1); o=[]; e=v[0]
+    for i,x in enumerate(v): e=x if i==0 else x*k+e*(1-k); o.append(e)
+    return o
+def _atr_series(H,L,C,p=14):
+    t=[0.0]
+    for i in range(1,len(C)): t.append(max(H[i]-L[i],abs(H[i]-C[i-1]),abs(L[i]-C[i-1])))
+    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 for i in range(len(C))]
+
+def sim(entry,d,atr_eff,H,L,C,j0):
+    """Live-Phasen-Trailing mit effektivem (ggf. gefloortem) ATR."""
+    sl=entry-d*2.0*atr_eff; tp=entry+d*_TP_INIT*atr_eff
+    hw=entry; rank=0
+    end=min(j0+_MAXH,len(C)-1)
+    for j in range(j0,end+1):
+        hi,lo=H[j],L[j]
+        if (lo<=sl) if d>0 else (hi>=sl): return (sl-entry)*d
+        if (hi>=tp) if d>0 else (lo<=tp): return (tp-entry)*d
+        hw=max(hw,hi) if d>0 else min(hw,lo)
+        profit=(hw-entry)*d
+        ph=0 if profit<_TRAIL_START*atr_eff else (1 if profit<_LOCK_START*atr_eff else 2)
+        if ph<rank: ph=rank
+        rank=ph
+        if ph==1:
+            cand=hw-d*_MULT*atr_eff
+            if profit>=_BE*atr_eff:
+                cand=max(cand,entry) if d>0 else min(cand,entry)
+            sl=max(sl,cand) if d>0 else min(sl,cand)
+        elif ph==2:
+            tm=max(_LOCK_MIN,_MULT*_LOCK_SCALE)
+            cand=hw-d*tm*atr_eff
+            cand=max(cand,entry) if d>0 else min(cand,entry)
+            sl=max(sl,cand) if d>0 else min(sl,cand)
+    return (C[end]-entry)*d
+
+def st(v):
+    if not v: return "n=0"
+    n=len(v); w=sum(1 for x in v if x>0)
+    g=sum(x for x in v if x>0); ls=-sum(x for x in v if x<0)
+    return (f"n={n:>5} WR={100*w/n:>3.0f}% ØPts={sum(v)/n:+.4f} "
+            f"PF={(g/ls if ls>0 else 99):>4.2f} Worst={min(v):+.3f} ΣPts={sum(v):+.1f}")
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
+    mt5.initialize(); sym=None
+    for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
+        if mt5.symbol_info(c): sym=c; break
+    bars=None
+    for req in (n,100000,80000,60000,40000):
+        bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,req)
+        if bars is not None and len(bars)>2000: break
+    mt5.shutdown()
+    H=[float(b["high"]) for b in bars]; L=[float(b["low"]) for b in bars]; C=[float(b["close"]) for b in bars]
+    EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
+    mid=len(C)//2
+    halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
+    # Signale (raw ATR, identisch für alle Floor-Varianten)
+    TH=_REVERSAL_STRETCH
+    SIG={}
+    for lbl,a,b in halves:
+        out=[]
+        for i in range(max(a,_N_BARS), min(b,len(C)-_MAXH-1)):
+            atr=AT[i]
+            if not atr or atr<=0: continue
+            es=ES[i]; ef=EF[i]; stretch=(C[i]-es)/atr
+            ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR); ad=ang-90.0
+            d=0
+            if stretch<=-TH and ad>=_ANGLE_DEAD: d=1
+            elif stretch>=TH and ad<=-_ANGLE_DEAD: d=-1
+            elif abs(stretch)<_STRETCH_MAX: d=1 if ef>es else -1 if ef<es else 0
+            if d: out.append((i,d,atr))
+        SIG[lbl]=out
+    print("="*96)
+    print(f"  ATR-Floor im Exit — {sym} M5 ({len(C)} Bars)  Live-Exit (SL2 · start0,3 · mult1,5 · BE1,3)")
+    print("="*96)
+    for lbl,_,_ in halves:
+        sig=SIG[lbl]
+        bind12=100*sum(1 for _,_,a in sig if a<0.12)/max(1,len(sig))
+        bind06=100*sum(1 for _,_,a in sig if a<0.06)/max(1,len(sig))
+        print(f"\n{lbl}: {len(sig)} Signale · ATR<0,12 bei {bind12:.0f}% · ATR<0,06 bei {bind06:.0f}%")
+        for floor in (0.0, 0.06, 0.12, 0.25):
+            v=[sim(C[i],d,max(atr,floor),H,L,C,i+1) for (i,d,atr) in sig]
+            tag="  ← LIVE" if floor==0.12 else ""
+            print(f"   Floor {floor:4.2f}  {st(v)}{tag}")
+
+if __name__=="__main__":
+    main()