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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"""Doppeltop / Doppelboden als SIGNAL — Backtest (2026-07-20, User-Idee „Muster-
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erkennung"). Das am saubersten mechanisch definierbare Umkehrmuster; nutzt die
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bestehende Pivot-Erkennung aus `structure.py` (kausal, Bar für Bar → Signal == was
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die Anzeige sehen würde).
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Definition:
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Doppeltop (→ SHORT): die letzten zwei Swing-HOCHS ~gleich hoch (|h1−h2| ≤ tol×ATR),
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dazwischen ein Tal (Nackenlinie) mind. `depth`×ATR tiefer; Einstieg wenn der Kurs
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FRISCH unter die Nackenlinie bricht (C[i] < neck ≤ C[i−1]).
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Doppelboden (→ LONG): symmetrisch (zwei ~gleiche Tiefs, Bruch über die Nackenlinie).
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Muster verfällt, wenn der Bruch nicht binnen `stale` Bars nach dem 2. Swing kommt.
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Sequentielle 1-Positions-Sim, Live-Exit (SL 2,0×ATR + Trailing 1,5 + BE 1,3),
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Echtkosten = Bar-Spread/ATR. M30, 2 Halbjahre. Maßstab: Squeeze ØR +0,14…+0,23 &
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PF>1 in BEIDEN Hälften. Verdict = beidhälftig robust über die Toleranz-Varianten.
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"""
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import sys
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import MetaTrader5 as mt5
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from core.structure import _pivots
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_MAXH = 96; _ATRMIN = 0.06; _COOL = 3; _LOOK = 300; _STALE = 40; _DEPTH = 0.5
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def _atr_series(H, L, C, p=14):
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t = [0.0]
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for i in range(1, len(C)):
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t.append(max(H[i]-L[i], abs(H[i]-C[i-1]), abs(L[i]-C[i-1])))
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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
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for i in range(len(C))]
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def st(Rs):
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if not Rs: return None
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n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
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up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)
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def line(lbl, s):
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if not s: return f" {lbl:<26} — (keine Trades)"
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return (f" {lbl:<26} n={s['n']:>4} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
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f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+6.0f}")
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def sim(entry, d, atr, H, L, C, j0):
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eff = entry - d*2.0*atr; hw = entry
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
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for j in range(j0, end+1):
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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff):
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return (eff-entry)*d/atr, j
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
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eff = max(eff, cand) if d > 0 else min(eff, cand)
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return (exit_px-entry)*d/atr, exit_j
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def _neckline(pivots, i, atr, tol, want_top):
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"""Prüft, ob am Bar i ein Doppeltop (want_top) bzw. -boden fertig ist.
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Gibt (True, neckline) zurück, wenn die letzten 2 gleichseitigen Pivots das
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Muster bilden. KEIN Bruch-Check hier — nur die Formation."""
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kind = "H" if want_top else "L"
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same = [p for p in pivots if p[2] == kind]
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opp = [p for p in pivots if p[2] != kind]
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if len(same) < 2:
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return False, None
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p1, p2 = same[-2], same[-1]
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mids = [q for q in opp if p1[0] < q[0] < p2[0]]
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if not mids:
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return False, None
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# Nackenlinie = Extrem zwischen den beiden gleichseitigen Pivots
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neck = (min(mids, key=lambda q: q[1]) if want_top else max(mids, key=lambda q: q[1]))
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if abs(p1[1] - p2[1]) > tol * atr: # Schultern ~gleich hoch?
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return False, None
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depth = (min(p1[1], p2[1]) - neck[1]) if want_top else (neck[1] - max(p1[1], p2[1]))
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if depth < _DEPTH * atr: # echtes Tal/Berg dazwischen?
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return False, None
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if i - p2[0] > _STALE: # zu alt → verfallen
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return False, None
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return True, neck[1]
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def run(H, L, C, A, SP, lo, hi, tol):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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Rs = []; i = max(lo, _LOOK)
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while i < hi:
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atr = A[i]
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if not atr or atr < _ATRMIN:
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i += 1; continue
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piv = _pivots(H[max(0, i-_LOOK):i+1], L[max(0, i-_LOOK):i+1], 3)
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# Index-Offset korrigieren (piv-Indizes sind fensterrelativ)
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off = max(0, i-_LOOK)
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piv = [(idx+off, pr, k) for (idx, pr, k) in piv]
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d = 0; neck = None
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ok_t, neck_t = _neckline(piv, i, atr, tol, True)
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if ok_t and C[i] < neck_t <= C[i-1]: # frischer Bruch UNTER Nackenlinie
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d = -1
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else:
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ok_b, neck_b = _neckline(piv, i, atr, tol, False)
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if ok_b and C[i] > neck_b >= C[i-1]: # frischer Bruch ÜBER Nackenlinie
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d = 1
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if d == 0:
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i += 1; continue
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r, xj = sim(C[i], d, max(atr, _ATRMIN), H, L, C, i+1)
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Rs.append(r - cost(i, max(atr, _ATRMIN)))
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i = xj + _COOL
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return Rs
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def main():
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n = int(sys.argv[1]) if len(sys.argv) > 1 else 60000
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mt5.initialize()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M30, 0, n)
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point = mt5.symbol_info(sym).point; mt5.shutdown()
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H = [float(b["high"]) for b in bars]; L = [float(b["low"]) for b in bars]
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C = [float(b["close"]) for b in bars]; SP = [float(b["spread"])*point for b in bars]
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A = _atr_series(H, L, C); N = len(C); mid = N//2
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print("="*90)
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print(f" Doppeltop/-boden als SIGNAL — {sym} M30 ({N} Bars, seq. Sim, Live-Exit, Echtkosten)")
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print(f" Einstieg = Nackenlinien-Bruch. Maßstab: Squeeze ØR +0,14…+0,23 & PF>1 BEIDE Hälften.")
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print("="*90)
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for tol in (0.3, 0.6, 1.0):
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s1 = st(run(H, L, C, A, SP, 0, mid, tol))
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s2 = st(run(H, L, C, A, SP, mid, N-_MAXH-1, tol))
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print(f"\n Schulter-Toleranz {tol}×ATR:")
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print(line("H1 (alt)", s1))
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print(line("H2 (neu)", s2))
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ok = (s1 and s2 and s1['oR'] > 0 and s2['oR'] > 0 and s1['pf'] > 1 and s2['pf'] > 1)
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print(f" → {'ROBUST (beide Hälften positiv)' if ok else 'fällt durch'}")
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print()
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if __name__ == "__main__":
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main()
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