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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"""Vergleicht SL-PLATZIERUNGEN unter dem aktuellen Live-Exit (SL FIX + Trailing-TP,
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_TRAIL_SL=False). Nur die Initial-SL-Position variiert, der Exit-Mechanismus ist
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identisch → fairer Vergleich.
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S/R-Proxy = jüngstes Swing-Extrem (Pivot) über _SRWIN Bars — das ist die Struktur,
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an der auch der Live-Pivot hängt (echte historische Web-/Zone-Level liegen nicht
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vor, deshalb dieser Proxy).
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Exit-Modell (konservativ, pessimistisch: Gegenlauf VOR Mitlauf):
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- SL fix bei Initial-Distanz bis Profit >= 0.3xATR
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- danach Profit-Lock = HW ∓ 0.5xATR (= das Live-Trailing-TP), Ratsche
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- Halt <= _MAXH Bars
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PnL in R (= Profit / ATR), zusätzlich Ø-SL-Distanz, Frühstopp%, Worst-R.
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"""
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import sys
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import MetaTrader5 as mt5
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from core.analysis import calc_trend_angle
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from core.wave_rec import (WaveRecommender, _atr, _ema_last, _EMA_FAST, _EMA_SLOW,
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_N_BARS, _HTF_DEADBAND, _ANGLE_LR)
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from core.config import INIT_SL_MIN_ATR, INIT_SL_MAX_ATR
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_MAXH = 240
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_TRAILON= 0.3 # ab hier Profit-Lock aktiv
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_TPTRAIL= 0.5 # _TP_TRAIL_ATR
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_SRWIN = 24 # Lookback für Swing-Extrem (S/R-Proxy), ~2h M5
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_BUFTCK = 0.02 # Tick-Puffer Methode "Pivot" (~live SL_BUFFER_TICKS)
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_ATRMIN = 0.12
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class _TU:
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def snapshot(self): return {"intervals": {}}
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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 clamp_dist(dist, atr):
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return max(INIT_SL_MIN_ATR*atr, min(dist, INIT_SL_MAX_ATR*atr))
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def simulate(entry, d, atr, sl, H, L, C, j0):
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"""Fixed-SL + Trailing-Profit-Lock. Rückgabe (R, init_stop)."""
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eff = sl; hw = entry; trail = False
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]
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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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hit = (lo <= eff) if d>0 else (hi >= eff) # Gegenlauf zuerst
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if hit:
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exit_px = eff; return (exit_px-entry)*d/atr, (not trail)
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hw = max(hw,hi) if d>0 else min(hw,lo)
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if (C[j]-entry)*d >= _TRAILON*atr: trail = True
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if trail:
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lock = hw - d*_TPTRAIL*atr
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eff = max(eff,lock) if d>0 else min(eff,lock)
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return (exit_px-entry)*d/atr, False
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 12000
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mt5.initialize()
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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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bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,n+_N_BARS+_MAXH+5)
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m30=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M30,0,n//6+400)
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mt5.shutdown()
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T=[int(b["time"]) for b in bars]; H=[float(b["high"]) for b in bars]
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L=[float(b["low"]) for b in bars]; C=[float(b["close"]) for b in bars]
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mT=[int(b["time"]) for b in m30]; mc=[float(b["close"]) for b in m30]
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mh=[float(b["high"]) for b in m30]; ml=[float(b["low"]) for b in m30]
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mEf=_ema_series(mc,_EMA_FAST); mEs=_ema_series(mc,_EMA_SLOW); mA=_atr_series(mh,ml,mc)
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def m30s(ts):
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lo,hi,idx=0,len(mT)-1,-1
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while lo<=hi:
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md=(lo+hi)//2
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if mT[md]<=ts: idx=md; lo=md+1
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else: hi=md-1
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if idx<_EMA_SLOW or mA[idx] is None or mA[idx]<=0: return 0
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dd=mEf[idx]-mEs[idx]
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return 0 if abs(dd)<_HTF_DEADBAND*mA[idx] else (1 if dd>0 else -1)
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w=WaveRecommender(_TU(), mt5.TIMEFRAME_M5)
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sigs=[]
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for i in range(max(_N_BARS,_SRWIN), len(C)-_MAXH-1):
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wc=C[i-_N_BARS:i]; wh=H[i-_N_BARS:i]; wl=L[i-_N_BARS:i]
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atr=_atr(wh,wl,wc)
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if not atr or atr<=0: continue
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ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
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ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR)
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rec,_=w._build(ef,es,C[i-1],atr,"M5",5,htf_trend=m30s(T[i]),angle=ang)
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if rec["signal"]=="WARTEN": continue
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d=1 if rec["signal"]=="LONG" else -1
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atr=max(atr,_ATRMIN)
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# S/R-Proxy = jüngstes Swing-Extrem über _SRWIN Bars
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sr = min(L[i-_SRWIN:i]) if d>0 else max(H[i-_SRWIN:i])
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sigs.append((i, d, atr, C[i], sr))
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# SL-Platzierungs-Methoden: dist(entry,sr,atr,d) → SL-Distanz
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def m_pivot(e,sr,atr,d): return clamp_dist(abs(e-sr)+_BUFTCK, atr) # ~aktuell
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def m_sr_atr(e,sr,atr,d): return clamp_dist(abs(e-sr)+0.3*atr, atr) # S/R ∓0.3ATR, gedeckelt
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def m_sr_010c(e,sr,atr,d):return clamp_dist(abs(e-sr)+0.10, atr) # S/R ∓0.10, gedeckelt
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def m_sr_010u(e,sr,atr,d):return max(0.5*atr, abs(e-sr)+0.10) # S/R ∓0.10, UNgedeckelt
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def m_fix20(e,sr,atr,d): return 2.0*atr # fest 2.0×ATR
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methods=[("Aktuell Pivot+Band",m_pivot),("S/R ∓0.3ATR (gedeckelt)",m_sr_atr),
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("S/R ∓0.10 (gedeckelt)",m_sr_010c),("S/R ∓0.10 (UNgedeckelt)",m_sr_010u),
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("fest 2.0×ATR",m_fix20)]
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print("="*92)
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print(f" SL-Platzierung — {sym} M5+M30 Signale={len(sigs)} Exit: SL fix + Trailing-TP")
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print(f" Band [{INIT_SL_MIN_ATR}…{INIT_SL_MAX_ATR}]×ATR · S/R-Proxy=Swing über {_SRWIN} Bars · pessimistisch")
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print("="*92)
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print(f" {'Methode':<26}{'Treffer':>8}{'Ø-R':>8}{'Summe-R':>9}{'PF':>6}"
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f"{'Ø-Verl':>8}{'Worst':>8}{'Frühstop':>9}{'Ø-SLdist':>10}")
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for name,fn in methods:
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Rs=[]; dists=[]; istop=0
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for (i,d,atr,e,sr) in sigs:
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dist=fn(e,sr,atr,d)
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sl=e-d*dist
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R,ist=simulate(e,d,atr,sl,H,L,C,i+1)
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Rs.append(R); dists.append(dist/atr)
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if ist: istop+=1
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n2=len(Rs); win=sum(1 for r in Rs if r>0)
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g=sum(r for r in Rs if r>0); ls=-sum(r for r in Rs if r<0)
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lo=[r for r in Rs if r<0]; pf=g/ls if ls>0 else 99.9
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print(f" {name:<26}{100*win/n2:>7.0f}%{sum(Rs)/n2:>8.3f}{sum(Rs):>9.1f}"
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f"{pf:>6.2f}{(sum(lo)/len(lo) if lo else 0):>8.2f}{min(Rs):>8.2f}"
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f"{100*istop/n2:>8.0f}%{sum(dists)/len(dists):>9.2f}×")
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if __name__=="__main__":
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main()
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