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
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+#!/usr/bin/env python3
+"""Misst antizyklische BOUNCE-Einstiege (gegen die EMA) bei verschiedenen
+Überdehnungs-Schwellen + echter Exit-Sim (SL fix 2,0×ATR + Trailing-TP).
+
+Bounce-LONG  : Kurs ueberverkauft (stretch <= -TH unter EMA50) UND Winkel gedreht
+               (Momentum dreht hoch) -> LONG.
+Bounce-SHORT : stretch >= +TH ueber EMA50 UND Winkel dreht runter -> SHORT.
+Frage: Bei welcher Schwelle TH traegt der Bounce noch? (Tiefer = mehr Bounces
+erwischt, wie der verpasste +1,3-Move; zu tief = Edge kippt.)
+Vergleich gegen den reinen Trend-Edge (~+0,20 R) als Benchmark.
+"""
+import sys
+import MetaTrader5 as mt5
+from core.analysis import calc_trend_angle
+from core.wave_rec import (_atr, _ema_last, _EMA_FAST, _EMA_SLOW, _N_BARS,
+                           _ANGLE_LR, _ANGLE_DEAD)
+
+_MAXH=240; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0
+
+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 simulate(entry,d,atr,sl,H,L,C,j0):
+    eff=sl; hw=entry; trail=False
+    end=min(j0+_MAXH,len(C)-1); exit_px=C[end]
+    for j in range(j0,end+1):
+        hi,lo=H[j],L[j]
+        if (lo<=eff) if d>0 else (hi>=eff): return (eff-entry)*d/atr
+        hw=max(hw,hi) if d>0 else min(hw,lo)
+        if (C[j]-entry)*d>=_TRAILON*atr: trail=True
+        if trail:
+            lock=hw-d*_TPTRAIL*atr
+            eff=max(eff,lock) if d>0 else min(eff,lock)
+    return (exit_px-entry)*d/atr
+
+def stats(Rs):
+    if not Rs: return "  -"
+    n=len(Rs); w=sum(1 for r in Rs if r>0)
+    g=sum(r for r in Rs if r>0); ls=-sum(r for r in Rs if r<0)
+    pf=g/ls if ls>0 else 99.9
+    return f"n={n:>4} Treffer={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={pf:>4.2f} Worst={min(Rs):+.2f} ΣR={sum(Rs):+.0f}"
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 40000
+    mt5.initialize()
+    sym=None
+    for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
+        if mt5.symbol_info(c): sym=c; break
+    bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,n+_N_BARS+_MAXH+5)
+    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]
+    ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
+
+    print("="*92)
+    print(f"  Bounce-Einstieg (antizyklisch) — {sym} M5  Exit: SL {_SL_ATR}×ATR + Trailing-TP  pessimistisch")
+    print(f"  Benchmark Trend-Edge ≈ +0,20 R (backtest_rev_exit/exit). Reversal-Schwelle aktuell 3,5×ATR.")
+    print("="*92)
+    for TH in (1.5, 2.0, 2.5, 3.0, 3.5):
+        with_ang=[]; no_ang=[]
+        for i in range(_N_BARS, len(C)-_MAXH-1):
+            atr=AT[i]
+            if not atr or atr<=0: continue
+            atr=max(atr,_ATRMIN); es=ES[i]
+            stretch=(C[i]-es)/atr
+            ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR); ad=ang-90.0
+            # Bounce-LONG: ueberverkauft; Bounce-SHORT: ueberkauft
+            for d,cond_stretch,cond_ang in ((1, stretch<=-TH, ad>=_ANGLE_DEAD),
+                                            (-1, stretch>=TH, ad<=-_ANGLE_DEAD)):
+                if not cond_stretch: continue
+                R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
+                no_ang.append(R)                    # nur Überdehnung
+                if cond_ang: with_ang.append(R)     # + Winkel gedreht (echtes Bounce-Signal)
+        print(f"\nSchwelle TH={TH}×ATR:")
+        print(f"  nur überdehnt          {stats(no_ang)}")
+        print(f"  + Winkel gedreht (BOUNCE) {stats(with_ang)}")
+
+if __name__=="__main__":
+    main()