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>
This commit is contained in:
Axel Hocks
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#!/usr/bin/env python3
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"""Misst, ob eigene Indikatoren (MACD / ADX / RSI) als Konfluenz den Edge der
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Live-Empfehlung (M5 + M30-Filter) heben — VOR jeder Integration ("erst messen").
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Idee: keinen externen Anbieter, sondern lokal aus den MT5-Bars rechnen
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(Trend=EMA/ADX, Momentum=MACD/RSI). Pro EMA-Signal wird der Vorlauf-Edge je
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Indikator-Übereinstimmung gebucketet + ein kombiniertes Gate getestet.
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"""
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from __future__ import annotations
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import sys
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import MetaTrader5 as mt5
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from core.wave_rec import (WaveRecommender, _atr, _ema_last,
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_EMA_FAST, _EMA_SLOW, _N_BARS, _HTF_DEADBAND)
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_TF = {"M1": mt5.TIMEFRAME_M1, "M5": mt5.TIMEFRAME_M5, "M15": mt5.TIMEFRAME_M15,
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"M30": mt5.TIMEFRAME_M30, "H1": mt5.TIMEFRAME_H1}
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class _NeutralTU:
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def snapshot(self): return {"intervals": {}}
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def _ema_series(vals, period):
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k = 2.0/(period+1); out=[]; e=vals[0]
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for i,v in enumerate(vals):
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e = v if i==0 else v*k + e*(1-k); out.append(e)
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return out
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def _atr_series(H,L,C,period=14):
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trs=[0.0]
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for i in range(1,len(C)):
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trs.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=trs[max(1,i-period+1):i+1]; out.append(sum(w)/len(w) if w else None)
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return out
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def _rsi_series(C, period=14):
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n=len(C); out=[None]*n
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if n < period+1: return out
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ag=al=0.0
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for i in range(1, period+1):
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ch=C[i]-C[i-1]; ag+=max(ch,0); al+=max(-ch,0)
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ag/=period; al/=period
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out[period]=100 - 100/(1+(ag/al if al>0 else 1e9))
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for i in range(period+1, n):
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ch=C[i]-C[i-1]
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ag=(ag*(period-1)+max(ch,0))/period
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al=(al*(period-1)+max(-ch,0))/period
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out[i]=100 - 100/(1+(ag/al if al>0 else 1e9))
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return out
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def _macd_hist(C, fast=12, slow=26, sig=9):
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ef=_ema_series(C,fast); es=_ema_series(C,slow)
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line=[ef[i]-es[i] for i in range(len(C))]
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signal=_ema_series(line,sig)
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return [line[i]-signal[i] for i in range(len(C))]
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def _adx(H,L,C,period=14):
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"""Wilder ADX. Gibt (adx[], plus_di[], minus_di[]) (None vor Warmup)."""
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n=len(C); pdm=[0.0]*n; mdm=[0.0]*n; tr=[0.0]*n
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for i in range(1,n):
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up=H[i]-H[i-1]; dn=L[i-1]-L[i]
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pdm[i]=up if (up>dn and up>0) else 0.0
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mdm[i]=dn if (dn>up and dn>0) else 0.0
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tr[i]=max(H[i]-L[i], abs(H[i]-C[i-1]), abs(L[i]-C[i-1]))
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adx=[None]*n; pdi=[None]*n; mdi=[None]*n
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if n < 2*period+1: return adx,pdi,mdi
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s_tr=sum(tr[1:period+1]); s_p=sum(pdm[1:period+1]); s_m=sum(mdm[1:period+1])
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dxs=[]
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for i in range(period, n):
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if i>period:
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s_tr=s_tr - s_tr/period + tr[i]
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s_p =s_p - s_p/period + pdm[i]
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s_m =s_m - s_m/period + mdm[i]
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p=100*s_p/s_tr if s_tr>0 else 0.0
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m=100*s_m/s_tr if s_tr>0 else 0.0
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pdi[i]=p; mdi[i]=m
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dx=100*abs(p-m)/(p+m) if (p+m)>0 else 0.0
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dxs.append((i,dx))
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# ADX = Wilder-Glättung der DX
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if len(dxs) >= period:
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first_bar, _=dxs[period-1]
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a=sum(d for _,d in dxs[:period])/period
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adx[first_bar]=a
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for k in range(period, len(dxs)):
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bar,d=dxs[k]
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a=(a*(period-1)+d)/period
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adx[bar]=a
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return adx,pdi,mdi
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def _rep(name, rets):
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if not rets: print(f" {name:<26} -"); return
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n=len(rets); win=sum(1 for x in rets if x>0)
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print(f" {name:<26} n={n:>4} Treffer={100*win/n:>3.0f}% Oe-Edge={sum(rets)/n:+.4f}")
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def main():
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n_bars=int(sys.argv[1]) if len(sys.argv)>1 else 8000
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K=10
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if not mt5.initialize(): print("init",mt5.last_error()); sys.exit(1)
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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): sym=c; break
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sym=sym or "SpotCrude"
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bars=mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n_bars+_N_BARS+K+5)
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m30b=mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M30, 0, n_bars//6+400)
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mt5.shutdown()
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if bars is None or m30b is None: print("Bars fehlen"); sys.exit(1)
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T=[int(b["time"]) for b in bars]
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H=[float(b["high"]) for b in bars]; L=[float(b["low"]) for b in bars]; C=[float(b["close"]) for b in bars]
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mT=[int(b["time"]) for b in m30b]; mc=[float(b["close"]) for b in m30b]
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mh=[float(b["high"]) for b in m30b]; ml=[float(b["low"]) for b in m30b]
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mEf=_ema_series(mc,_EMA_FAST); mEs=_ema_series(mc,_EMA_SLOW); mATR=_atr_series(mh,ml,mc)
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rsi=_rsi_series(C); hist=_macd_hist(C); adx,pdi,mdi=_adx(H,L,C)
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def m30_sign(ts):
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lo,hi,idx=0,len(mT)-1,-1
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while lo<=hi:
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mid=(lo+hi)//2
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if mT[mid]<=ts: idx=mid; lo=mid+1
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else: hi=mid-1
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if idx<_EMA_SLOW or mATR[idx] is None or mATR[idx]<=0: return 0
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d=mEf[idx]-mEs[idx]
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return 0 if abs(d)<_HTF_DEADBAND*mATR[idx] else (1 if d>0 else -1)
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w=WaveRecommender(_NeutralTU(), mt5.TIMEFRAME_M5)
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base=[]; macd_ok=[]; macd_no=[]; di_ok=[]; di_no=[]
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adx_strong=[]; adx_weak=[]; rsi_ok=[]; rsi_no=[]; gate=[]
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for i in range(_N_BARS, len(C)-K):
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j=i-1
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if adx[j] is None or rsi[j] is None: continue
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wc=C[i-_N_BARS:i]; wh=H[i-_N_BARS:i]; wl=L[i-_N_BARS:i]
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atr=_atr(wh,wl,wc)
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if not atr or atr<=0: continue
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ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
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rec,_=w._build(ef,es,C[j],atr,"M5",5,htf_trend=m30_sign(T[i]))
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if rec["signal"]=="WARTEN": continue
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d=1 if rec["signal"]=="LONG" else -1
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r=(C[i+K]-C[i])*d
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base.append(r)
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(macd_ok if (hist[j]>0)==(d>0) else macd_no).append(r)
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(di_ok if (pdi[j]-mdi[j]>0)==(d>0) else di_no).append(r)
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(adx_strong if adx[j]>=25 else adx_weak).append(r)
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rsi_aligned = (rsi[j]>50) if d>0 else (rsi[j]<50)
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(rsi_ok if rsi_aligned else rsi_no).append(r)
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if (hist[j]>0)==(d>0) and adx[j]>=20: # kombiniertes Gate
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gate.append(r)
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print("="*64)
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print(f" Konfluenz-Test — {sym} M5+M30 Vorlauf={K}")
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print("="*64)
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_rep("BASIS (alle Signale)", base)
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print("-- MACD-Histogramm --"); _rep("MACD dafür", macd_ok); _rep("MACD dagegen", macd_no)
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print("-- ADX-Richtung (DI) --"); _rep("DI dafür", di_ok); _rep("DI dagegen", di_no)
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print("-- ADX-Stärke --"); _rep("ADX>=25 (Trend stark)", adx_strong); _rep("ADX<25 (schwach)", adx_weak)
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print("-- RSI 50-Linie --"); _rep("RSI dafür", rsi_ok); _rep("RSI dagegen", rsi_no)
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print("-- Gate: MACD dafür & ADX>=20 --"); _rep("Gate", gate)
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if __name__ == "__main__":
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main()
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