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
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+#!/usr/bin/env python3
+"""Schlüssel-Messungen mit ECHTEN Kosten nachgerechnet (Track B):
+Kosten je Trade = Bar-`spread`(Signal-Bar) / ATR(Signal-Bar) in R (Roundtrip = 1×Spread;
+Kommission laut DB ~0). Bisher pauschal 0,1×ATR — real Ø 0,265, nachts bis 0,5.
+  (1) Netto-R je Berlin-Stunde (beide Hälften) — welche Stunden tragen echt?
+  (2) Gate-Politiken: kein Gate vs. Nacht-Blackout 0–7 vs. 0–7+12 — beide Hälften.
+  (3) breakout_k 0,3/0,5/1,0 mit echten Kosten (Kosten am Bestätigungs-Bar).
+"""
+import sys, datetime as dt
+from zoneinfo import ZoneInfo
+import MetaTrader5 as mt5
+from core.analysis import calc_trend_angle
+from core.wave_rec import (_EMA_FAST, _EMA_SLOW, _N_BARS, _ANGLE_LR, _ANGLE_DEAD,
+                           _REVERSAL_STRETCH, _STRETCH_MAX)
+_MAXH=200; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0; _CONFIRM_W=12
+_BROKER_OFF=3*3600; _BERLIN=ZoneInfo("Europe/Berlin")
+
+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 simulate(entry,d,atr,sl,H,L,C,j0):
+    eff=sl; hw=entry; trail=False
+    end=min(j0+_MAXH,len(C)-1); exit_px=C[end]
+    for j in range(j0,end+1):
+        hi,lo=H[j],L[j]
+        if (lo<=eff) if d>0 else (hi>=eff): return (eff-entry)*d/atr
+        hw=max(hw,hi) if d>0 else min(hw,lo)
+        if (C[j]-entry)*d>=_TRAILON*atr: trail=True
+        if trail:
+            lock=hw-d*_TPTRAIL*atr
+            eff=max(eff,lock) if d>0 else min(eff,lock)
+    return (exit_px-entry)*d/atr
+def bhour(raw):
+    return dt.datetime.fromtimestamp(int(raw)-_BROKER_OFF,tz=dt.timezone.utc).astimezone(_BERLIN).hour
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
+    mt5.initialize(); sym=None
+    for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
+        if mt5.symbol_info(c): sym=c; break
+    si=mt5.symbol_info(sym); point=si.point
+    bars=None
+    for req in (n,80000,60000,40000):
+        bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,req)
+        if bars is not None and len(bars)>2000: break
+    mt5.shutdown()
+    H=[float(b["high"]) for b in bars]; L=[float(b["low"]) for b in bars]
+    C=[float(b["close"]) for b in bars]; T=[int(b["time"]) for b in bars]
+    SP=[float(b["spread"])*point for b in bars]           # echter Spread je Bar
+    EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
+    mid=len(C)//2; TH=_REVERSAL_STRETCH
+    def cost(i,atr): return (SP[i] if SP[i]>0 else 0.0225)/atr   # in R
+    def collect(a,b):
+        out=[]
+        for i in range(max(a,_N_BARS), min(b,len(C)-_MAXH-1)):
+            atr=AT[i]
+            if not atr or atr<=0: continue
+            atr=max(atr,_ATRMIN); es=ES[i]; ef=EF[i]
+            stretch=(C[i]-es)/atr
+            ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR); ad=ang-90.0
+            d=0
+            if stretch<=-TH and ad>=_ANGLE_DEAD: d=1
+            elif stretch>=TH and ad<=-_ANGLE_DEAD: d=-1
+            elif abs(stretch)<_STRETCH_MAX: d=1 if ef>es else -1 if ef<es else 0
+            if not d: continue
+            R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
+            out.append((i,d,atr,bhour(T[i]),R-cost(i,atr)))
+        return out
+    halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
+    EV={lbl:collect(a,b) for lbl,a,b in halves}
+    print("="*92)
+    print(f"  ECHTE Kosten (Spread je Signal-Bar) — {sym} M5 ({len(C)} Bars)")
+    print("="*92)
+
+    # (1) Netto je Stunde, beide Hälften nebeneinander
+    print("\n(1) Netto-R je Berlin-Stunde (echte Kosten):")
+    print(f"  {'Std':>3} {'H1 netto':>10} {'H2 netto':>10}   beide negativ?")
+    night_neg=[]
+    for h in range(24):
+        cells=[]; neg=True
+        for lbl,_,_ in halves:
+            v=[x[4] for x in EV[lbl] if x[3]==h]
+            m=sum(v)/len(v) if v else 0.0
+            cells.append(f"{m:+.3f}(n{len(v)})")
+            if m>=0: neg=False
+        if neg: night_neg.append(h)
+        print(f"  {h:>3} {cells[0]:>12} {cells[1]:>12}   {'← NEG in beiden' if neg else ''}")
+    print(f"  → in BEIDEN Hälften netto negativ: {night_neg}")
+
+    # (2) Gate-Politiken
+    print("\n(2) Gesamt-Netto-R je Politik:")
+    POL=[("Kein Gate",set()),("Nacht 0–7",set(range(0,8))),
+         ("Nacht 0–7 + 12",set(range(0,8))|{12}),
+         ("nur robust-negative",set(night_neg))]
+    for name,blk in POL:
+        cells=[]
+        for lbl,_,_ in halves:
+            kept=[x[4] for x in EV[lbl] if x[3] not in blk]
+            cells.append(f"ΣR{sum(kept):+8.0f} (n{len(kept)})")
+        print(f"  {name:<22} {cells[0]:>24} {cells[1]:>24}")
+
+    # (3) breakout_k mit echten Kosten
+    print("\n(3) breakout_k mit echten Kosten (Kosten am Bestätigungs-Bar):")
+    for lbl,a,b in halves:
+        sigs=[(i,d,atr) for (i,d,atr,_,_) in EV[lbl]]
+        line=f"  {lbl}: "
+        for k in (0.3,0.5,1.0):
+            Rs=[]
+            for (i,d,atr) in sigs:
+                e0=C[i]; level=e0+d*k*atr; invalid=e0-d*k*atr; je=None
+                for j in range(i+1, min(i+1+_CONFIRM_W, len(C)-_MAXH-1)):
+                    if d>0:
+                        if L[j]<=invalid: break
+                        if H[j]>=level: je=j; break
+                    else:
+                        if H[j]>=invalid: break
+                        if L[j]<=level: je=j; break
+                if je is None: continue
+                Rs.append(simulate(level,d,atr,level-d*_SL_ATR*atr,H,L,C,je+1)-cost(je,atr))
+            line+=f"k={k}: ΣR{sum(Rs):+7.0f}(n{len(Rs)},Ø{sum(Rs)/max(1,len(Rs)):+.3f})   "
+        print(line)
+
+if __name__=="__main__":
+    main()