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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"""Range-Strategie messen (Track B, Echtkosten, 2 Hälften): Einstieg AM Level statt
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mit dem Trend, Ausstieg am gegenüberliegenden Level — und braucht es dann noch Trailing?
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Einstieg LONG: Kurs an Support S, P(Support bricht ABWÄRTS) < X (Level hält) → LONG.
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Einstieg SHORT: Kurs an Resistance R, P(R bricht AUFWÄRTS) < X → SHORT.
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P(break) aus dem kalibrierten Modell (engine._p_break), Merkmale in Bruchrichtung.
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Ziel = gegenüberliegendes Level. SL = Level ∓ sl×ATR.
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Exit-Varianten je Trade:
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FIX nur festes Ziel (Level-zu-Level), Stop fix
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FIX+TR Ziel + Trailing (nach Fortschritt Stop nachziehen)
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TRAIL nur Trailing, KEIN festes Ziel (= brauchen wir das?)
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Vergleich der ΣR (in ATR, Echtkosten) je Hälfte. Zeigt, ob Einstieg-am-Level trägt
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UND ob Trailing dort noch etwas bringt.
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"""
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import sys, math
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import MetaTrader5 as mt5
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from core.wave_rec import (_EMA_FAST, _EMA_SLOW, _N_BARS)
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from core.engine import _p_break
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_ATRMIN=0.12; _PIV_K=3; _LOOKBACK=300; _MAXH=200
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_SL_ATR=1.5; _TRAILON=0.3; _MULT=1.5; _BE=1.0
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_PB_X=0.60 # Level gilt als "hält", wenn P(break) < X
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def _ema_series(v,p):
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k=2.0/(p+1); o=[]; e=v[0]
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for i,x in enumerate(v): e=x if i==0 else x*k+e*(1-k); o.append(e)
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return o
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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)): 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 for i in range(len(C))]
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def sim(entry,d,atr,H,L,C,j0, target=None, trail=False):
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sl=entry-d*_SL_ATR*atr; hw=entry
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end=min(j0+_MAXH,len(C)-1)
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for j in range(j0,end+1):
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hi,lo=H[j],L[j]
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if (lo<=sl) if d>0 else (hi>=sl): return (sl-entry)*d/atr
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if target is not None and ((hi>=target) if d>0 else (lo<=target)):
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return (target-entry)*d/atr
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if trail:
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hw=max(hw,hi) if d>0 else min(hw,lo)
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profit=(hw-entry)*d
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if profit>=_TRAILON*atr:
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cand=hw-d*_MULT*atr
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if profit>=_BE*atr: cand=max(cand,entry) if d>0 else min(cand,entry)
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sl=max(sl,cand) if d>0 else min(sl,cand)
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return (C[end]-entry)*d/atr
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def levels(H,L,i):
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phis,plos=[],[]
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for j in range(i-_LOOKBACK+_PIV_K, i-_PIV_K):
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if H[j]==max(H[j-_PIV_K:j+_PIV_K+1]): phis.append(H[j])
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if L[j]==min(L[j-_PIV_K:j+_PIV_K+1]): plos.append(L[j])
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return phis,plos
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def collect(a,b,H,L,C,EF,ES,AT,SP,point):
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out={"FIX":[],"FIX+TR":[],"TRAIL":[]}; n_ent=0
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for i in range(max(a,_N_BARS,_LOOKBACK), min(b,len(C)-_MAXH-1)):
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atr=AT[i]
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if not atr or atr<=0: continue
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atr=max(atr,_ATRMIN); cur=C[i]; cost=(SP[i] if SP[i]>0 else 0.0225)/atr
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phis,plos=levels(H,L,i)
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sup=max([p for p in plos if p<cur],default=None)
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res=min([p for p in phis if p>cur],default=None)
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# LONG an Support
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for d,lvl,tgt in ((1,sup,res),(-1,res,sup)):
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if lvl is None or tgt is None: continue
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if abs(cur-lvl) > 0.15*atr: continue # nicht am Level
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# P(Level bricht in Bruchrichtung bd) — bd = -d (Support bricht abwärts)
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bd=-d
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mom6=(C[i]-C[max(0,i-6)])/atr*bd
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mom3=(C[i]-C[max(0,i-3)])/atr*bd
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wt=1.0 if (EF[i]-ES[i])*bd>0 else 0.0
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dist=abs(tgt-lvl)/atr
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if _p_break(mom6,mom3,wt,dist) >= _PB_X: continue # Level bricht wahrscheinlich → kein Einstieg
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n_ent+=1
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out["FIX"].append(sim(cur,d,atr,H,L,C,i+1,target=tgt,trail=False)-cost)
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out["FIX+TR"].append(sim(cur,d,atr,H,L,C,i+1,target=tgt,trail=True)-cost)
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out["TRAIL"].append(sim(cur,d,atr,H,L,C,i+1,target=None,trail=True)-cost)
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return out,n_ent
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def st(v):
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if not v: return "n=0"
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n=len(v); w=sum(1 for x in v if x>0)
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g=sum(x for x in v if x>0); ls=-sum(x for x in v if x<0)
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return (f"n={n:>5} WR={100*w/n:>3.0f}% Ø-R={sum(v)/n:+.3f} "
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f"PF={(g/ls if ls>0 else 99):>4.2f} ΣR={sum(v):+.0f}")
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
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mt5.initialize(); 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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si=mt5.symbol_info(sym); point=si.point
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bars=None
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for req in (n,80000,60000,40000):
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bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,req)
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if bars is not None and len(bars)>2000: break
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mt5.shutdown()
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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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SP=[float(b["spread"])*point for b in bars]
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EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
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mid=len(C)//2
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print("="*88)
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print(f" RANGE-Strategie (Einstieg AM Level, P(break)<{_PB_X}) — {sym} M5 Echtkosten, SL {_SL_ATR}×ATR")
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print("="*88)
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for lbl,a,b in (("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))):
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d,ne=collect(a,b,H,L,C,EF,ES,AT,SP,point)
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print(f"\n{lbl}: {ne} Einstiege am Level")
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print(f" FIX (nur Level-Ziel) {st(d['FIX'])}")
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print(f" FIX+TR (Ziel + Trailing) {st(d['FIX+TR'])}")
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print(f" TRAIL (nur Trailing) {st(d['TRAIL'])}")
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print("\n Trägt Einstieg-am-Level, wenn FIX/FIX+TR in BEIDEN Hälften positiv sind.")
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print(" Trailing nötig? → nur wenn FIX+TR bzw. TRAIL klar über FIX liegt.")
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if __name__=="__main__":
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main()
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