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_chopgate.py

@@ -0,0 +1,94 @@
+#!/usr/bin/env python3
+"""ER-Chop-Gate testen (Track B): Signal → WARTEN, wenn Efficiency Ratio der letzten
+N Bars < X (choppy). Frage: haben die Chop-Signale (niedrige ER) wirklich schlechteren
+Edge als die Trend-Signale (hohe ER)? Über 2 Zeiträume. Exit-Sim SL 2×ATR + Trailing.
+Validiert nur, wenn in BEIDEN Hälften: behaltene (ER≥X) besser als alle, verworfene
+(ER<X) klar schlechter — sonst schneidet der Gate nur Trades weg ohne Edge-Gewinn.
+"""
+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; _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 st(Rs):
+    if not Rs: return "n=0"
+    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)
+    return f"n={n:>5} WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} ΣR={sum(Rs):+.0f}"
+
+def er_at(C,i,N):
+    if i-N<0: return None
+    net=abs(C[i]-C[i-N]); path=sum(abs(C[j]-C[j-1]) for j in range(i-N+1,i+1))
+    return net/path if path>0 else 0.0
+
+def collect(H,L,C,ES,EF,AT,lo,hi,N):
+    TH=_REVERSAL_STRETCH; out=[]
+    for i in range(max(lo,_N_BARS,N+2), min(hi,len(C)-_MAXH-1)):
+        atr=AT[i]
+        if not atr or atr<=0: continue
+        atr=max(atr,_ATRMIN); 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 not d: continue
+        R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
+        out.append((er_at(C,i,N), R))
+    return out
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
+    N=int(sys.argv[2]) if len(sys.argv)>2 else 20   # ER-Lookback in Bars
+    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))]
+    print("="*90)
+    print(f"  ER-Chop-Gate — {sym} M5 ({len(C)} Bars)  ER-Lookback N={N} Bars  Exit SL2+Trail")
+    print("="*90)
+    EV={lbl: collect(H,L,C,ES,EF,AT,a,b,N) for lbl,a,b in halves}
+    for lbl,_,_ in halves:
+        base=[R for _,R in EV[lbl]]
+        print(f"\n{lbl}: BASELINE (alle Signale)   {st(base)}")
+        for X in (0.15,0.20,0.25,0.30):
+            keep=[R for er,R in EV[lbl] if er is not None and er>=X]
+            drop=[R for er,R in EV[lbl] if er is not None and er< X]
+            print(f"   ER≥{X:.2f} behalten {st(keep)}")
+            print(f"   ER<{X:.2f} verworfen {st(drop)}")
+    print("\n  Gate lohnt NUR, wenn 'verworfen' in BEIDEN Hälften deutlich schlechteres")
+    print("  Ø-R hat als 'behalten' — sonst schneidet er nur Volumen ohne Edge-Gewinn.")
+
+if __name__=="__main__":
+    main()