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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"""R-Ertrag der P(break)-Schwellen-Regel messen (Track B, Echtkosten, 2 Hälften):
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Regel: erreicht die Welle das gegenüberliegende Level, berechne P(Durchbruch) mit
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dem kalibrierten Logit-Modell (auf H1 trainiert). Ist P < Schwelle X → am Level
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CLOSEN; sonst laufen lassen (Live-Trailing). Baseline = immer laufen lassen.
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Findet das R-Optimum und prüft die User-Schwelle 60 % (= closen wenn P<0,60).
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"""
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import sys
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import numpy as np
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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; _BRK_W=12; _BRK_ATR=0.5
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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_run(entry,d,atr,H,L,C,j0):
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sl=entry-d*_SL_ATR*atr; tp=entry+d*_TP_INIT*atr; 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 (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: 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); 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 collect(a,b,H,L,C,EF,ES,AT,SP,point):
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"""→ Liste dicts: R_run (baseline), touched, break, feat, R_close (bei Touch)."""
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TH=_REVERSAL_STRETCH; out=[]
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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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entry=C[i]; cost=(SP[i] if SP[i]>0 else 0.0225)/atr
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R_run=sim_run(entry,d,atr,H,L,C,i+1)-cost
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rec={"R_run":R_run,"touched":False}
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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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if d>0:
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cands=[p for p in phis if p>entry+0.3*atr]; level=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]; level=max(cands) if cands else None
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if level is not None:
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jt=None
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for j in range(i+1, min(i+_MAXH, len(C)-_BRK_W)):
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if ((H[j]>=level) if d>0 else (L[j]<=level)): jt=j; break
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if ((entry-L[j]) if d>0 else (H[j]-entry)) >= 2.0*atr: break
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if jt is not None:
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up=level+d*_BRK_ATR*atr; dn=level-d*_BRK_ATR*atr; brk=False
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for j in range(jt, min(jt+_BRK_W, len(H))):
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if (H[j]>=up) if d>0 else (L[j]<=up): brk=True; break
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if (L[j]<=dn) if d>0 else (H[j]>=dn): brk=False; break
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rec.update(touched=True, brk=1.0 if brk else 0.0,
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R_close=(level-entry)*d/atr-cost,
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feat=[(C[jt]-C[max(0,jt-6)])*d/atr,(C[jt]-C[max(0,jt-3)])*d/atr,
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1.0 if (EF[jt]-ES[jt])*d>0 else 0.0, abs(level-entry)/atr])
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out.append(rec)
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return out
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def fit_logreg(X,y,iters=3000,lr=0.3):
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n,m=X.shape; Xb=np.hstack([np.ones((n,1)),X]); w=np.zeros(m+1)
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for _ in range(iters):
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p=1/(1+np.exp(-(Xb@w))); w-=lr*(Xb.T@(p-y))/n
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return w
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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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ev1=collect(_N_BARS,mid,H,L,C,EF,ES,AT,SP,point)
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ev2=collect(mid,len(C),H,L,C,EF,ES,AT,SP,point)
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# Modell auf H1-Touches trainieren
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t1=[e for e in ev1 if e["touched"]]
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X1=np.array([e["feat"] for e in t1]); y1=np.array([e["brk"] for e in t1])
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mu=X1.mean(0); sd=X1.std(0)+1e-9
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w=fit_logreg((X1-mu)/sd,y1)
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def pbreak(e):
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x=(np.array(e["feat"])-mu)/sd
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return 1/(1+np.exp(-(w@np.concatenate([[1.0],x]))))
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print("="*94)
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print(f" P(break)-Close-Regel — R-Ertrag (Echtkosten, Trailing-Baseline) — {sym} M5")
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print(f" Modell auf H1 trainiert · Koeff mom6={w[1]:+.2f} mom3={w[2]:+.2f} wt={w[3]:+.2f} dist={w[4]:+.2f}")
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print("="*94)
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for lbl,ev in (("H1 (alt)",ev1),("H2 (neu)",ev2)):
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base=sum(e["R_run"] for e in ev)
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tset=[e for e in ev if e["touched"]]
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for e in tset: e["_p"]=pbreak(e)
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print(f"\n{lbl}: {len(ev)} Wellen · {len(tset)} Level-Touches · Baseline (immer laufen) ΣR={base:+.0f}")
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print(f" {'Schwelle X':<12}{'%laufen':>9}{'ΣR Regel':>10}{'Δ vs Baseline':>15}")
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for X in (0.30,0.35,0.40,0.45,0.50,0.55,0.60,0.70):
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run=sum(1 for e in tset if e["_p"]>=X)
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total=sum((e["R_close"] if e["_p"]<X else e["R_run"]) for e in tset) \
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+ sum(e["R_run"] for e in ev if not e["touched"])
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mark=" ← deine 60%" if abs(X-0.60)<1e-9 else ""
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print(f" P≥{X:.2f} {100*run/max(1,len(tset)):>7.0f}%{total:>10.0f}{total-base:>+15.0f}{mark}")
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# Mindestgewinn-Variante (User-Frage): am Level nur closen, wenn der Close
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# mindestens minR (netto, ×ATR) bringt — sonst weiterlaufen lassen.
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print(f" {'Mindestgewinn (P<0.60)':<24}{'%geclosed':>10}{'ΣR Regel':>10}{'Δ vs minR=0':>13}")
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base_rule=sum((e["R_close"] if e["_p"]<0.60 else e["R_run"]) for e in tset) \
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+ sum(e["R_run"] for e in ev if not e["touched"])
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for minR in (0.0,0.1,0.2,0.3,0.5,0.8):
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closed=sum(1 for e in tset if e["_p"]<0.60 and e["R_close"]>=minR)
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total=sum((e["R_close"] if (e["_p"]<0.60 and e["R_close"]>=minR) else e["R_run"])
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for e in tset) + sum(e["R_run"] for e in ev if not e["touched"])
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print(f" minR={minR:.1f}×ATR {100*closed/max(1,len(tset)):>8.0f}%{total:>10.0f}{total-base_rule:>+13.0f}")
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if __name__=="__main__":
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main()
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