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
commit 75d28827e8
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+#!/usr/bin/env python3
+"""Prüft die TRAILING-Logik und Optimierungen über 2 Zeiträume (Track B).
+Bildet die ECHTE Phasen-Mechanik nach (Init→Trail→Lock, HW-Ratsche, Breakeven-Boden)
+und variiert die Schlüsselparameter:
+  - trail_start (ab welchem Profit der SL zu ratchen beginnt; live 0,3×ATR)
+  - mult        (Trail-Abstand HW−mult×ATR; live M5=1,5)
+plus Baseline 'Fix-Stop' (SL 2×ATR, kein Trailing) und 'Breakeven-only'.
+Signal-Set = Reversal + Trend (wie backtest_hourly). Metrik: Ø-R/PF/WR/ΣR je Hälfte.
+Robust nur, wenn eine Variante in BEIDEN Hälften besser ist.
+"""
+import sys
+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; _ATRMIN=0.12; _TP_INIT=3.5; _LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2
+_BE=1.3   # Breakeven-Boden (live)
+
+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 sim(entry,d,atr,H,L,C,j0, trail_start, mult, breakeven=_BE, trail=True):
+    """Echte Phasen-Trailing-Sim. trail=False → fixer Stop entry−mult×ATR (kein Ratchen)."""
+    sl = entry - d*mult*atr
+    tp = entry + d*_TP_INIT*atr
+    hw = entry; rank = 0
+    end=min(j0+_MAXH, len(C)-1)
+    for j in range(j0, end+1):
+        hi,lo=H[j],L[j]
+        hit_sl = (lo<=sl) if d>0 else (hi>=sl)
+        hit_tp = (hi>=tp) if d>0 else (lo<=tp)
+        if hit_sl: return (sl-entry)*d/atr        # pessimistisch: SL vor TP im selben Bar
+        if hit_tp: return (tp-entry)*d/atr
+        hw = max(hw,hi) if d>0 else min(hw,lo)
+        if not trail: continue
+        profit=(hw-entry)*d
+        ph = 0 if profit<trail_start*atr else (1 if profit<_LOCK_START*atr else 2)
+        if ph<rank: ph=rank
+        rank=ph
+        if ph==1:
+            cand = hw - d*mult*atr
+            if profit>=breakeven*atr:
+                cand = max(cand,entry) if d>0 else min(cand,entry)
+            sl = max(sl,cand) if d>0 else min(sl,cand)
+        elif ph==2:
+            tm=max(_LOCK_MIN, mult*_LOCK_SCALE)
+            cand=hw - d*tm*atr
+            cand=max(cand,entry) if d>0 else min(cand,entry)
+            sl=max(sl,cand) if d>0 else min(sl,cand)
+    return (C[end]-entry)*d/atr
+
+def st(Rs):
+    if not Rs: return "  -"
+    n=len(Rs); w=sum(1 for r in Rs if r>0)
+    g=sum(r for r in Rs if r>0); ls=-sum(r for r in Rs if r<0)
+    return f"WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} Worst={min(Rs):+.2f} ΣR={sum(Rs):+.0f}"
+
+def signals(H,L,C,ES,EF,AT,lo,hi,step):
+    TH=_REVERSAL_STRETCH; out=[]
+    for i in range(max(lo,_N_BARS), min(hi,len(C)-_MAXH-1), step):
+        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 d: out.append((i,d,atr))
+    return out
+
+def main():
+    n=int(sys.argv[1]) if len(sys.argv)>1 else 60000
+    step=int(sys.argv[2]) if len(sys.argv)>2 else 2
+    mt5.initialize(); sym=None
+    for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
+        if mt5.symbol_info(c): sym=c; break
+    bars=None
+    for req in (n,100000,80000,60000,40000):
+        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]
+    EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
+    mid=len(C)//2
+    halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
+    print("="*94)
+    print(f"  TRAILING-Optimierung — {sym} M5 ({len(C)} Bars, step {step})  Signal=Trend+Reversal")
+    print(f"  Live-Basis: trail_start=0,3 · mult=1,5 (M5) · Breakeven=1,3 · Lock ab 3,5×ATR")
+    print("="*94)
+    SIG={lbl: signals(H,L,C,ES,EF,AT,a,b,step) for lbl,a,b in halves}
+    for lbl,_,_ in halves: print(f"  {lbl}: {len(SIG[lbl])} Signale")
+
+    variants = [("FIX-Stop 2,0 (kein Trail)", dict(trail_start=99, mult=2.0, trail=False)),
+                ("Breakeven-only (mult=2,0)", dict(trail_start=_BE, mult=2.0, breakeven=_BE)),
+                ("LIVE start0,3 mult1,5",     dict(trail_start=0.3, mult=1.5)),
+                ("start0,6 mult1,5",          dict(trail_start=0.6, mult=1.5)),
+                ("start1,0 mult1,5",          dict(trail_start=1.0, mult=1.5)),
+                ("start0,3 mult2,0",          dict(trail_start=0.3, mult=2.0)),
+                ("start1,0 mult2,0",          dict(trail_start=1.0, mult=2.0)),
+                ("start0,3 mult2,5",          dict(trail_start=0.3, mult=2.5)),
+                ("start1,3 mult2,5",          dict(trail_start=1.3, mult=2.5))]
+    for name,kw in variants:
+        print(f"\n{name}")
+        for lbl,_,_ in halves:
+            Rs=[sim(C[i],d,atr,H,L,C,i+1, **kw) for (i,d,atr) in SIG[lbl]]
+            print(f"   {lbl}  {st(Rs)}")
+
+if __name__=="__main__":
+    main()