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_htf_filter.py

@@ -0,0 +1,133 @@
+#!/usr/bin/env python3
+"""Misst den Effekt eines Higher-TF-Trendfilters auf die Empfehlung.
+
+Vergleicht den Richtungs-Edge der echten _build-Logik OHNE Filter gegen
+MIT Filter: Signal wird verworfen, wenn der uebergeordnete Trend (H1 bzw. M30,
+EMA12 vs EMA50) klar dagegen steht (Totband in xATR der HTF).
+"""
+from __future__ import annotations
+import sys
+import MetaTrader5 as mt5
+from core.wave_rec import (WaveRecommender, _atr, _ema_last,
+                           _EMA_FAST, _EMA_SLOW, _N_BARS)
+
+_TF = {"M1": mt5.TIMEFRAME_M1, "M5": mt5.TIMEFRAME_M5, "M15": mt5.TIMEFRAME_M15,
+       "M30": mt5.TIMEFRAME_M30, "H1": mt5.TIMEFRAME_H1}
+
+
+class _NeutralTU:
+    def snapshot(self):
+        return {"intervals": {}}
+
+
+def _ema_series(vals, period):
+    """Komplette EMA-Reihe (gleiche Laenge wie vals)."""
+    k = 2.0 / (period + 1)
+    out = []
+    e = vals[0]
+    for i, v in enumerate(vals):
+        e = v if i == 0 else v * k + e * (1.0 - k)
+        out.append(e)
+    return out
+
+
+def _rep(name, rets):
+    if not rets:
+        print(f"  {name:<16} keine Signale"); return
+    n = len(rets); win = sum(1 for x in rets if x > 0)
+    print(f"  {name:<16} n={n:>4}  Treffer={100*win/n:>3.0f}%  "
+          f"Oe-Edge={sum(rets)/n:+.4f}  Summe={sum(rets):+.2f}")
+
+
+def main():
+    base_lbl = (sys.argv[1].upper() if len(sys.argv) > 1 else "M5")
+    htf_lbl  = (sys.argv[2].upper() if len(sys.argv) > 2 else "H1")
+    n_bars   = int(sys.argv[3]) if len(sys.argv) > 3 else 4000
+    dead     = float(sys.argv[4]) if len(sys.argv) > 4 else 0.10  # HTF-Totband xATR
+    K        = 10
+    tf, htf = _TF[base_lbl], _TF[htf_lbl]
+
+    if not mt5.initialize():
+        print("MT5-Init fehlgeschlagen:", mt5.last_error()); sys.exit(1)
+    sym = None
+    for cand in ("SpotCrude", "USOIL", "WTI", "XTIUSD"):
+        if mt5.symbol_info(cand):
+            sym = cand; break
+    sym = sym or "SpotCrude"
+    bars = mt5.copy_rates_from_pos(sym, tf, 0, n_bars + _N_BARS + K + 5)
+    hbars = mt5.copy_rates_from_pos(sym, htf, 0, n_bars // 2 + 300)
+    mt5.shutdown()
+    if bars is None or hbars is None:
+        print("Zu wenige Bars."); sys.exit(1)
+
+    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]
+
+    hT = [int(b["time"]) for b in hbars]
+    hC = [float(b["close"]) for b in hbars]
+    hH = [float(b["high"]) for b in hbars]
+    hL = [float(b["low"]) for b in hbars]
+    hEf = _ema_series(hC, _EMA_FAST)
+    hEs = _ema_series(hC, _EMA_SLOW)
+
+    def htf_trend(ts):
+        """Vorzeichen des HTF-Trends zum Zeitpunkt ts: +1 auf, -1 ab, 0 flach."""
+        # letzte HTF-Bar mit time <= ts
+        lo, hi = 0, len(hT) - 1
+        idx = -1
+        while lo <= hi:
+            mid = (lo + hi) // 2
+            if hT[mid] <= ts:
+                idx = mid; lo = mid + 1
+            else:
+                hi = mid - 1
+        if idx < _EMA_SLOW:
+            return 0
+        atr = _atr(hH[:idx+1], hL[:idx+1], hC[:idx+1])
+        if not atr:
+            return 0
+        d = hEf[idx] - hEs[idx]
+        if abs(d) < dead * atr:
+            return 0
+        return 1 if d > 0 else -1
+
+    w = WaveRecommender(_NeutralTU(), tf)
+    raw = {"LONG": [], "SHORT": []}
+    flt = {"LONG": [], "SHORT": []}
+    dropped = 0
+    for i in range(_N_BARS, len(C) - K):
+        win_c = C[i-_N_BARS:i]; win_h = H[i-_N_BARS:i]; win_l = L[i-_N_BARS:i]
+        atr = _atr(win_h, win_l, win_c)
+        if not atr or atr <= 0:
+            continue
+        ef = _ema_last(win_c, _EMA_FAST); es = _ema_last(win_c, _EMA_SLOW)
+        rec, _ = w._build(ef, es, C[i-1], atr, base_lbl, 5)
+        sig = rec["signal"]
+        if sig == "WARTEN":
+            continue
+        fwd = C[i+K] - C[i]
+        r = fwd if sig == "LONG" else -fwd
+        raw[sig].append(r)
+        ht = htf_trend(T[i])
+        d = 1 if sig == "LONG" else -1
+        if ht != 0 and ht != d:      # HTF steht klar dagegen → verwerfen
+            dropped += 1
+            continue
+        flt[sig].append(r)
+
+    print("=" * 66)
+    print(f"  HTF-Filter — {sym}  Basis={base_lbl}  Filter={htf_lbl}  "
+          f"Totband={dead}xATR  Vorlauf={K}")
+    print("=" * 66)
+    print("OHNE Filter:")
+    _rep("LONG", raw["LONG"]); _rep("SHORT", raw["SHORT"])
+    _rep("ALLE", raw["LONG"] + raw["SHORT"])
+    print(f"MIT Filter (verworfen: {dropped}):")
+    _rep("LONG", flt["LONG"]); _rep("SHORT", flt["SHORT"])
+    _rep("ALLE", flt["LONG"] + flt["SHORT"])
+
+
+if __name__ == "__main__":
+    main()