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 einen Höher-TF-WINKEL-Filter: Signal verwerfen (→WARTEN), wenn der
+M30- UND/ODER H1-Regressionswinkel klar GEGEN die Signalrichtung steht (führender
+Winkel statt nachlaufender EMA). Genau der Fall, der die −37/−10-Shorts erzeugte:
+Welle short, aber M30/H1-Winkel stark aufwärts.
+
+Frage: Haben die so entfernten Signale negativen Edge (gut weg) und trägt der
+Gesamtertrag der behaltenen Signale? (Pauschal-Filter kann auch Gewinner killen.)
+"""
+import sys, bisect
+import MetaTrader5 as mt5
+from core.analysis import calc_trend_angle
+from core.wave_rec import (WaveRecommender, _atr, _ema_last, _EMA_FAST, _EMA_SLOW,
+                           _N_BARS, _HTF_DEADBAND, _ANGLE_LR)
+
+
+class _TU:
+    def snapshot(self): return {"intervals": {}}
+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 _rep(name, r):
+    if not r: print(f"  {name:<30} -"); return
+    n=len(r); w=sum(1 for x in r if x>0)
+    print(f"  {name:<30} n={n:>4} Treffer={100*w/n:>3.0f}% Ø-Edge={sum(r)/n:+.4f} Summe={sum(r):+.1f}")
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 12000
+    K=10
+    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+K+5)
+    m30=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M30,0,n//6+400)
+    h1 =mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_H1,0,n//12+400)
+    mt5.shutdown()
+    T=[int(b["time"]) for b in bars]; H=[float(b["high"]) for b in bars]
+    L=[float(b["low"]) for b in bars]; C=[float(b["close"]) for b in bars]
+    mT=[int(b["time"]) for b in m30]; mc=[float(b["close"]) for b in m30]
+    mh=[float(b["high"]) for b in m30]; ml=[float(b["low"]) for b in m30]
+    mEf=_ema_series(mc,_EMA_FAST); mEs=_ema_series(mc,_EMA_SLOW); mA=_atr_series(mh,ml,mc)
+    hT=[int(b["time"]) for b in h1]; hc=[float(b["close"]) for b in h1]
+    def m30sign(ts):
+        idx=bisect.bisect_right(mT,ts)-1
+        if idx<_EMA_SLOW or mA[idx] is None or mA[idx]<=0: return 0
+        d=mEf[idx]-mEs[idx]
+        return 0 if abs(d)<_HTF_DEADBAND*mA[idx] else (1 if d>0 else -1)
+    def ang_at(ts, TT, CC):
+        idx=bisect.bisect_right(TT,ts)-1
+        if idx<_ANGLE_LR+2: return 90.0
+        return calc_trend_angle(CC[idx-_ANGLE_LR-1:idx+1], _ANGLE_LR)
+
+    w=WaveRecommender(_TU(), mt5.TIMEFRAME_M5)
+    sigs=[]   # (d, fwd, m30dev, h1dev)   dev = Winkel-90 (>0 auf, <0 ab)
+    for i in range(_N_BARS, len(C)-K):
+        wc=C[i-_N_BARS:i]; wh=H[i-_N_BARS:i]; wl=L[i-_N_BARS:i]
+        atr=_atr(wh,wl,wc)
+        if not atr or atr<=0: continue
+        ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
+        a5=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR)
+        rec,_=w._build(ef,es,C[i-1],atr,"M5",0,htf_trend=m30sign(T[i]),angle=a5)
+        if rec["signal"]=="WARTEN": continue
+        d=1 if rec["signal"]=="LONG" else -1
+        fwd=(C[i+K]-C[i])*d
+        sigs.append((d, fwd, ang_at(T[i],mT,mc)-90.0, ang_at(T[i],hT,hc)-90.0))
+
+    base=[f for (_,f,_,_) in sigs]
+    print("="*78)
+    print(f"  Höher-TF-Winkel-Filter — {sym} M5  Signale={len(sigs)}  Vorlauf={K}")
+    print("="*78)
+    _rep("BASELINE (alle Signale)", base)
+    print("  dev = Regressionswinkel − 90  (>0 aufwärts, <0 abwärts)\n")
+
+    for T_ in (2, 10, 20, 40):
+        # "gegen die Richtung": Short & Winkel auf (dev>+T) bzw. Long & Winkel ab (dev<−T)
+        def against(d, dev): return (d<0 and dev> T_) or (d>0 and dev< -T_)
+        for mode in ("BEIDE", "EINER"):
+            removed=[]; kept=[]
+            for (d,f,m,h) in sigs:
+                am=against(d,m); ah=against(d,h)
+                cut = (am and ah) if mode=="BEIDE" else (am or ah)
+                (removed if cut else kept).append(f)
+            print(f"Schwelle T={T_}°  ·  '{mode} TF gegen Signal':")
+            _rep("  entfernt (würde →WARTEN)", removed)
+            _rep("  behalten (gehandelt)", kept)
+            db=(sum(kept)-sum(base))
+            print(f"     Δ Gesamtertrag vs Baseline: {db:+.1f}  "
+                  f"({'BESSER' if db>0 else 'schlechter'})  · behalten {len(kept)}/{len(sigs)}")
+        print()
+
+if __name__=="__main__":
+    main()