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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"""Squeeze-als-EXIT (Variante B, 2026-07-22, User-Idee „Gegen-Position beim Ausbruch
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schneller schließen"). Reine EXIT-Regel — KEIN Re-Entry (anders als der verworfene
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Stop-&-Reverse): Halte ich eine Position und feuert ein **validierter Squeeze-Ausbruch
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in GEGENrichtung**, schließe ich sofort (statt bis zum SL/Trailing zu laufen).
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Test: gleiche Entries (frischer EMA12/50-Cross M5), zwei Exits vergleichen:
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BASE = Live-Exit (SL 2,0×ATR + Trailing 1,5 + BE 1,3).
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MOD = BASE, aber Gegen-Squeeze-Ausbruch schließt die Position sofort (am Bar-Close).
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MOD-Verlust = wie MOD, aber nur wenn die Position im MINUS ist (Verlust begrenzen).
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Squeeze mit den LIVE-Params (_SQ_N/_SQ_MULT/_SQ_K). Kosten = Bar-Spread/ATR am Entry.
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Innerhalb eines Bars: erst SL/Trailing (intrabar H/L), dann Squeeze (Close) — der
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Squeeze-Exit greift also nur, wenn der SL im Bar NICHT schon lief.
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Verdict: MOD baut nur ein, wenn ΣR in BEIDEN Hälften ≥ BASE (verbessert den Exit,
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kostet keine der Hälften). Sonst raus (wie der Reverse).
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"""
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import sys
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import MetaTrader5 as mt5
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from core.wave_rec import _SQ_N, _SQ_MULT, _SQ_K
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_MAXH = 288; _ATRMIN = 0.06; _COOL = 6
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_EMA_F = 12; _EMA_S = 50; _DEAD = 0.15
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def _ema(C, p):
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k = 2.0 / (p + 1); e = C[0]; out = [e]
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for x in C[1:]:
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e += k * (x - e); out.append(e)
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return out
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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)):
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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
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for i in range(len(C))]
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def _sq_dir(H, L, C, A):
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"""Squeeze-Ausbruchs-Richtung je Bar (+1 LONG / −1 SHORT / 0), Live-Params —
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Box = _SQ_N Bars VOR i (abgeschlossen), aktueller Close bricht ±_SQ_K×ATR."""
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out = [0] * len(C)
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for i in range(_SQ_N + 1, len(C)):
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atr = A[i]
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if not atr or atr <= 0:
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continue
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hi = max(H[i-_SQ_N:i]); lo = min(L[i-_SQ_N:i])
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if (hi - lo) / atr > _SQ_MULT: # keine Kompression
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continue
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if C[i] >= hi + _SQ_K * atr: out[i] = 1
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elif C[i] <= lo - _SQ_K * atr: out[i] = -1
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return out
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def sim(entry, d, atr, H, L, C, j0, SQ, mode):
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"""mode: 'base' | 'mod' (Gegen-Squeeze schließt) | 'modl' (nur im Minus)."""
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eff = entry - d*2.0*atr; hw = entry
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
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for j in range(j0, end+1):
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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff): # SL/Trailing (intrabar)
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return (eff-entry)*d/atr, j
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if mode != 'base' and SQ[j] == -d: # Gegen-Squeeze am Close
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if mode == 'mod' or (C[j]-entry)*d < 0: # 'modl': nur wenn im Minus
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return (C[j]-entry)*d/atr, j
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
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eff = max(eff, cand) if d > 0 else min(eff, cand)
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return (exit_px-entry)*d/atr, exit_j
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def st(Rs):
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if not Rs: return None
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n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
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up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)
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def line(lbl, s):
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if not s: return f" {lbl:<14} —"
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return (f" {lbl:<14} n={s['n']:>4} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
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f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+6.0f}")
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def run(H, L, C, A, SP, EF, ES, SQ, lo, hi, mode):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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Rs = []; i = max(lo, _EMA_S + 2)
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sig_prev = 0
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while i < hi:
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atr = A[i]
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if not atr or atr < _ATRMIN:
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i += 1; continue
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diff = EF[i] - ES[i]; dead = _DEAD * atr
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sig = 1 if diff > dead else -1 if diff < -dead else 0
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if sig != 0 and sig != sig_prev: # frischer Cross
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r, xj = sim(C[i], sig, max(atr, _ATRMIN), H, L, C, i+1, SQ, mode)
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Rs.append(r - cost(i, max(atr, _ATRMIN)))
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sig_prev = sig
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i = xj + _COOL; continue
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if sig != 0: sig_prev = sig
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i += 1
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return Rs
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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()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n)
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point = mt5.symbol_info(sym).point; mt5.shutdown()
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H = [float(b["high"]) for b in bars]; L = [float(b["low"]) for b in bars]
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C = [float(b["close"]) for b in bars]; SP = [float(b["spread"])*point for b in bars]
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A = _atr_series(H, L, C); EF = _ema(C, _EMA_F); ES = _ema(C, _EMA_S)
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SQ = _sq_dir(H, L, C, A); N = len(C); mid = N//2
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print("="*80)
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print(f" Squeeze-als-EXIT (Variante B) — {sym} M5 ({N} Bars, EMA-Entries, Echtkosten)")
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print(f" BASE=Live-Exit · MOD=Gegen-Squeeze schließt · MODL=nur im Minus. 2 Halbjahre.")
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print("="*80)
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for lbl, lo, hi in (("H1 (alt)", 0, mid), ("H2 (neu)", mid, N-_MAXH-1)):
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base = st(run(H, L, C, A, SP, EF, ES, SQ, lo, hi, 'base'))
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mod = st(run(H, L, C, A, SP, EF, ES, SQ, lo, hi, 'mod'))
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modl = st(run(H, L, C, A, SP, EF, ES, SQ, lo, hi, 'modl'))
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print(f"\n {lbl}:")
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print(line("BASE", base))
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print(line("MOD (immer)", mod))
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print(line("MODL (Minus)", modl))
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if base and mod and modl:
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print(f" Δ ΣR: MOD {mod['sum']-base['sum']:+.0f} MODL {modl['sum']-base['sum']:+.0f}"
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f" (>0 = besser als BASE)")
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print(f"\n Verdict: einbauen nur, wenn eine MOD-Variante in BEIDEN Hälften ΣR ≥ BASE.")
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if __name__ == "__main__":
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main()
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