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>

backtest_breakout_squeeze.py

@@ -0,0 +1,110 @@
+#!/usr/bin/env python3
+"""Volatilitäts-Squeeze-Breakout (B2, User-Idee 'Breakouterkennung'):
+Struktureller Ausbruch aus einer KOMPRESSION — NICHT aus dem EMA-Trend.
+Setup: die Spanne der letzten N Bars (Box) ist eng relativ zum ATR (Squeeze);
+danach bricht der Kurs k×ATR über/unter die Box → Einstieg in Ausbruchsrichtung.
+Exit = live-Modell (SL 2,0×ATR + Trailing 1,5, Breakeven 1,3), pessimistisch.
+Kosten = echter Bar-Spread/ATR (Ø ~0,265). 2 Halbjahre. R = Profit/ATR.
+
+Kernfrage (B3): Trägt der SQUEEZE-Filter netto in BEIDEN Hälften — schlägt er den
+Ausbruch aus einer BELIEBIGEN Box (ohne Kompression)? Sonst raus.
+"""
+import sys
+import MetaTrader5 as mt5
+
+_MAXH = 288; _ATRMIN = 0.12
+_N   = 12      # Box-Länge (Bars) = 1 h auf M5
+_W   = 24      # Fenster nach der Box, in dem der Breakout erfolgen muss (2 h)
+_COOL = 12     # Cooldown nach einem Trade (Bars) gegen Überlappung
+_K   = 0.1     # Ausbruch k×ATR über/unter die Box-Grenze
+
+
+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])))
+    out = [None]
+    for i in range(1, len(C)):
+        seg = t[max(1, i-p+1):i+1]
+        out.append(sum(seg)/len(seg))
+    return out
+
+
+def sim(entry, d, atr, H, L, C, j0, sl_atr=2.0, trail=1.5, trail_on=0.3, be_on=1.3):
+    eff = entry - d*sl_atr*atr; hw = entry
+    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): exit_px = eff; break
+        hw = max(hw, hi) if d > 0 else min(hw, lo)
+        prof = (C[j]-entry)*d
+        if prof >= trail_on*atr:
+            cand = hw - d*trail*atr
+            if prof >= be_on*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
+            eff = max(eff, cand) if d > 0 else min(eff, cand)
+    return (exit_px-entry)*d/atr
+
+
+def rep(name, Rs):
+    if not Rs: print(f"  {name:<32} -"); return
+    n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
+    up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
+    pf = up/dn if dn > 0 else 9.99
+    print(f"  {name:<32} Trades={n:>4} Treffer={100*w/n:>3.0f}% "
+          f"ØR={s/n:+.3f} PF={pf:.2f} ΣR={s:+.0f}")
+
+
+def scan(H, L, C, A, SP, point, lo_i, hi_i, squeeze_mult):
+    """Ein Durchlauf: sammelt R (netto) je Breakout. Rs_any = ALLE Box-Ausbrüche,
+    Rs_sq = nur die mit Squeeze (Box<=squeeze_mult×ATR). i springt nach jedem
+    Breakout um _COOL vor (Überlappungsschutz) — für beide Listen identisch."""
+    def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
+    Rs_sq = []; Rs_any = []
+    i = max(lo_i, _N+15)
+    while i < min(hi_i, len(C)-_MAXH-1):
+        atr = A[i]
+        if not atr or atr < _ATRMIN: i += 1; continue
+        boxHi = max(H[i-_N:i]); boxLo = min(L[i-_N:i]); box = boxHi-boxLo
+        squeezed = box <= squeeze_mult*atr
+        hit = None
+        for j in range(i, min(i+_W, len(C)-_MAXH-1)):
+            up = boxHi + _K*atr; dn = boxLo - _K*atr
+            if H[j] >= up: hit = (j, 1, up); break
+            if L[j] <= dn: hit = (j, -1, dn); break
+        if hit is None: i += 1; continue
+        j, d, lvl = hit
+        R = sim(lvl, d, atr, H, L, C, j+1) - cost(j, atr)
+        Rs_any.append(R)
+        if squeezed: Rs_sq.append(R)
+        i = j + _COOL
+    return Rs_sq, Rs_any
+
+
+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 = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n+_MAXH+30)
+    si = mt5.symbol_info(sym); point = si.point
+    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]; SP = [float(b["spread"])*point for b in bars]
+    A = _atr_series(H, L, C)
+    N = len(C); mid = N//2
+    print("="*88)
+    print(f"  Volatilitäts-Squeeze-Breakout — {sym} M5  ({N} Bars · Box={_N} · Ausbruch={_K}×ATR)")
+    print(f"  Exit=live(SL2,0/Trail1,5/BE1,3) · Kosten=Bar-Spread/ATR · 2 Halbjahre")
+    print("="*88)
+    for label, lo, hi in (("H1 (alt)", 0, mid), ("H2 (neu)", mid, N)):
+        print(f"\n{label}:")
+        _, any_R = scan(H, L, C, A, SP, point, lo, hi, 99.0)
+        rep("Ausbruch OHNE Squeeze-Filter", any_R)
+        for sm in (2.5, 2.0, 1.5):
+            sq_R, _ = scan(H, L, C, A, SP, point, lo, hi, sm)
+            rep(f"Squeeze  Box<={sm}×ATR", sq_R)
+    print(f"\n  Squeeze trägt nur, wenn ØR & PF in BEIDEN Hälften > 'ohne Filter' UND ØR netto > 0.")
+
+if __name__ == "__main__":
+    main()