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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"""S/R-Close-Empfehlung messen (Track B): Lohnt es, am nächsten gegenüberliegenden
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S/R-Level zu SCHLIESSEN statt das Trailing laufen zu lassen?
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S/R = Pivot-Hochs/-Tiefs (k Bars beidseitig) der letzten LOOKBACK Bars vor Entry.
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Varianten (je LONG: nächster Pivot-High-Level ÜBER Entry als Ziel):
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V1 Close am S/R-Ziel, sobald Level ≥0,3×ATR über Entry (hart)
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V2 Close am S/R-Ziel nur wenn Level ≥1,0×ATR über Entry (nur „echte" Ziele)
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BAS Live-Exit (SL 2,0 + Trailing 1,5 + BE 1,3 + Lock)
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Kosten je Trade = echter Bar-Spread/ATR. 2 History-Hälften. Historie: Auto-Close an
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S/R wurde früher schon einmal verworfen; hier Neu-Messung mit Echtkosten.
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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 (_EMA_FAST, _EMA_SLOW, _N_BARS, _ANGLE_LR, _ANGLE_DEAD,
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_REVERSAL_STRETCH, _STRETCH_MAX)
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_MAXH=200; _ATRMIN=0.12; _SL_ATR=2.0; _TRAILON=0.3; _MULT=1.5; _BE=1.3
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_LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2; _TP_INIT=3.5
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_PIV_K=3; _LOOKBACK=300
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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 pivots(H,L,i0,i1):
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"""Pivot-Hochs/-Tiefs in [i0,i1) (k Bars beidseitig bestätigt)."""
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hi,lo=[],[]
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for j in range(max(i0,_PIV_K), i1-_PIV_K):
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if H[j]==max(H[j-_PIV_K:j+_PIV_K+1]): hi.append(H[j])
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if L[j]==min(L[j-_PIV_K:j+_PIV_K+1]): lo.append(L[j])
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return hi,lo
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def sim(entry,d,atr,H,L,C,j0, sr_target=None):
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"""Live-Exit; optional zusätzlich Voll-Close bei Berührung von sr_target."""
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sl=entry-d*_SL_ATR*atr; tp=entry+d*_TP_INIT*atr
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hw=entry; rank=0
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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 sr_target is not None and ((hi>=sr_target) if d>0 else (lo<=sr_target)):
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return (sr_target-entry)*d/atr # Close am S/R-Ziel
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if (hi>=tp) if d>0 else (lo<=tp): return (tp-entry)*d/atr
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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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ph=0 if profit<_TRAILON*atr else (1 if profit<_LOCK_START*atr else 2)
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if ph<rank: ph=rank
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rank=ph
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if ph==1:
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cand=hw-d*_MULT*atr
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if profit>=_BE*atr:
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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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elif ph==2:
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tm=max(_LOCK_MIN,_MULT*_LOCK_SCALE)
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cand=hw-d*tm*atr
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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 stx(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} PF={(g/ls if ls>0 else 99):>4.2f} "
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f"Worst={min(v):+.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]
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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; TH=_REVERSAL_STRETCH
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print("="*94)
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print(f" S/R-Close vs Trailing — {sym} M5 ({len(C)} Bars) Pivots k={_PIV_K}, Lookback {_LOOKBACK} ECHTE Kosten")
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print("="*94)
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for lbl,a,b in (("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))):
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base=[]; v1=[]; v2=[]; n_t1=0; n_t2=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); es=ES[i]; ef=EF[i]
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stretch=(C[i]-es)/atr
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ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR); ad=ang-90.0
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d=0
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if stretch<=-TH and ad>=_ANGLE_DEAD: d=1
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elif stretch>=TH and ad<=-_ANGLE_DEAD: d=-1
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elif abs(stretch)<_STRETCH_MAX: d=1 if ef>es else -1 if ef<es else 0
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if not d: continue
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cost=(SP[i] if SP[i]>0 else 0.0225)/atr
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entry=C[i]
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phis,plos=pivots(H,L,i-_LOOKBACK,i)
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if d>0:
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cands=[p for p in phis if p>entry+0.3*atr]
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tgt=min(cands) if cands else None
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else:
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cands=[p for p in plos if p<entry-0.3*atr]
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tgt=max(cands) if cands else None
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base.append(sim(entry,d,atr,H,L,C,i+1)-cost)
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v1.append(sim(entry,d,atr,H,L,C,i+1,sr_target=tgt)-cost)
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if tgt is not None: n_t1+=1
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tgt2=tgt if (tgt is not None and abs(tgt-entry)>=1.0*atr) else None
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v2.append(sim(entry,d,atr,H,L,C,i+1,sr_target=tgt2)-cost)
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if tgt2 is not None: n_t2+=1
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print(f"\n{lbl} ({len(base)} Signale · V1-Ziel bei {n_t1} · V2-Ziel bei {n_t2}):")
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print(f" BASELINE Trailing {stx(base)}")
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print(f" V1 Close@S/R (≥0,3×ATR) {stx(v1)}")
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print(f" V2 Close@S/R (≥1,0×ATR) {stx(v2)}")
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print("\n V gewinnt nur, wenn ΣR/PF in BEIDEN Hälften über der Baseline liegen.")
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if __name__=="__main__":
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main()
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