backtest_handbook.py: WTI-Handbuch abgeglichen -- alle Luecken gemessen, alle durch
User reichte ein 19-seitiges WTI-Trading-Handbuch ein ("lerne daraus Kontext fuer
die Empfehlung"). Systematischer Abgleich statt naivem Einbau:
BEREITS UMGESETZT (Handbuch bestaetigt den Ist-Zustand): HTF-Trend-Filter,
EIA-Blackout, ATR-Stop mit Puffer, Trailing nach TP1, Verlust-Serien-Check,
Journal/Kennzahlen, NY-Session-Fokus.
BEREITS GEMESSEN + VERWORFEN: Liquidity Sweeps, Order-Block-Klasse (Pivot-Zonen,
6x), Double Top/Bottom, H&S/Triangle/Flag/Cup, Wyckoff, False Breakout, DXY.
NEU GEMESSEN (die echten Luecken) -- alle durchgefallen:
PDH/PDL bounce H1 -0.335 / H2 -0.199 (beidseitig negativ)
PDH/PDL sweep H1 -0.462 / H2 -0.184 (schlechtestes Ergebnis im Projekt)
Asian Range bnc H1 -0.134 / H2 -0.005
Asian Range swp H1 -0.178 / H2 -0.040
Discount/Premium: nicht robust (H1 besser, H2 schlechter), -70% Volumen
Freitag-ab-16h : verschlechtert BEIDE Haelften
Bemerkenswert: PDH/PDL ist der am klarsten schaedliche Level-Typ, den das Projekt
je gemessen hat -- obwohl das Handbuch ihn als besonders stark bewirbt. Und der
Freitagnachmittags-Filter kostet Geld, die dort geblockten Trades waren
ueberdurchschnittlich (gleiche Lehre wie beim Dead-Hours-Gate).
Kein Konzept aus dem Handbuch neu ins Signal aufgenommen.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Axel Hocks
co-authored by
Claude Opus 4.8
Claude Opus 4.8
parent
11e13cdb5a
commit
99bed4bdce
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#!/usr/bin/env python3
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"""backtest_handbook.py — die NOCH NICHT gemessenen Konzepte aus dem WTI-Handbuch
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(User-Vorgabe 2026-07-30 „lerne aus dem Handbuch Kontext für die Empfehlung").
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Das Handbuch überschneidet sich zu großen Teilen mit bereits gemessenen (und
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meist verworfenen) Ideen — s. Abgleich in CLAUDE.md. Hier werden nur die
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**echten Lücken** getestet, alle mechanisch sauber definierbar:
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1) **PDH/PDL** (Vortages-Hoch/Tief) — „WTI reagiert extrem stark". Ein ANDERER
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Level-Typ als unsere Pivots: zeit- statt strukturbasiert. Getestet als
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Reaktions-Level (prallt der Kurs ab?) und als Sweep-Setup.
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2) **Asian Range H/L** (00–09 CET) — „wird oft in London/NY gesweept".
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3) **Discount/Premium** („kaufe nur unter 50 % der Range, verkaufe nur darüber")
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— als FILTER auf das bestehende Wave-Signal, nicht als eigener Entry.
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4) **Freitag-Nachmittag** („nach 16:00 CET keine neuen Positionen, höhere
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Loss-Rate") — ebenfalls als Filter, wie das gemessene Dead-Hours-Gate.
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Methodik wie im ganzen Projekt: M5, 2 Halbjahre, Live-Exit (SL 2,0×ATR ·
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Trail 1,5 ab 0,3 · BE 1,3 · Time-Stop 120 min), Kosten = echter Bar-Spread/ATR.
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Filter (3/4) werden gegen die UNGEFILTERTE Basis gehalten — ein Filter taugt nur,
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wenn er in BEIDEN Hälften verbessert (Lehre aus 9 verworfenen Filtern).
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Aufruf: python backtest_handbook.py [n_bars]
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"""
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from __future__ import annotations
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import sys
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from datetime import datetime, timezone
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import MetaTrader5 as mt5
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_SL_ATR, _TRAIL, _TRAIL_ON, _BE_ON, _TIMESTOP, _MAXH = 2.0, 1.5, 0.3, 1.3, 24, 288
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_ATRMIN = 0.06
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_COOL = 12
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_TOUCH = 0.15 # „am Level" = innerhalb x×ATR
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_SWEEP_MIN, _SWEEP_MAX = 0.05, 1.0
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_EMA_F, _EMA_S = 12, 50
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def _atr_series(H, L, C, p=14):
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tr = [0.0]
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for i in range(1, len(C)):
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tr.append(max(H[i] - L[i], abs(H[i] - C[i - 1]), abs(L[i] - C[i - 1])))
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out = [None] * len(C); run = 0.0
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for i in range(1, len(C)):
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run += tr[i]
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if i > p: run -= tr[i - p]
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out[i] = run / min(i, p)
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return out
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def _ema(vals, p):
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k = 2.0 / (p + 1); o = [vals[0]]
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for v in vals[1:]: o.append(v * k + o[-1] * (1 - k))
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return o
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def _sim(entry, d, atr, H, L, C, j0):
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eff = entry - d * _SL_ATR * atr; hw = entry; started = False
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end = min(j0 + _MAXH, len(C) - 1); px = C[end]
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for j in range(j0, end + 1):
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if (L[j] <= eff) if d > 0 else (H[j] >= eff): px = eff; break
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hw = max(hw, H[j]) if d > 0 else min(hw, L[j])
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prof = (C[j] - entry) * d
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if prof >= _TRAIL_ON * atr:
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started = True
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cand = hw - d * _TRAIL * atr
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if prof >= _BE_ON * atr:
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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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if not started and (j - j0) >= _TIMESTOP: px = C[j]; break
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return (px - entry) * d / atr
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def _rep(name, Rs, ind=" "):
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if not Rs or len(Rs) < 10:
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print(f"{ind}{name:<34} n={len(Rs):>4} (zu wenige)"); 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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print(f"{ind}{name:<34} n={n:>4} WR={100*w/n:>3.0f}% ØR={s/n:+.3f} "
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f"PF={up/dn if dn>0 else 9.99:.2f} ΣR={s:+.0f}")
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return s / n
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def day_levels(T, H, L, hb):
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"""Je Bar: (PDH, PDL, AsiaH, AsiaL) des jeweils VORHERGEHENDEN Tages bzw. der
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heutigen, ABGESCHLOSSENEN Asia-Session (00–09 CET). Kein Look-ahead."""
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n = len(T)
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day = [datetime.fromtimestamp(t, timezone.utc).date() for t in T]
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pdh = [None] * n; pdl = [None] * n; ah = [None] * n; al = [None] * n
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cur = day[0]; hi = H[0]; lo = L[0]
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prev_hi = prev_lo = None
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a_hi = a_lo = None; a_done_hi = a_done_lo = None
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for i in range(n):
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if day[i] != cur: # neuer Tag → Vortag einfrieren
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prev_hi, prev_lo = hi, lo
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cur = day[i]; hi, lo = H[i], L[i]
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a_hi = a_lo = None; a_done_hi = a_done_lo = None
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else:
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hi = max(hi, H[i]); lo = min(lo, L[i])
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if hb[i] < 9: # Asia-Session läuft (00–09 CET)
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a_hi = H[i] if a_hi is None else max(a_hi, H[i])
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a_lo = L[i] if a_lo is None else min(a_lo, L[i])
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elif a_hi is not None and a_done_hi is None:
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a_done_hi, a_done_lo = a_hi, a_lo # Asia vorbei → einfrieren
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pdh[i], pdl[i] = prev_hi, prev_lo
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ah[i], al[i] = a_done_hi, a_done_lo
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return pdh, pdl, ah, al
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def scan_level(H, L, C, SP, A, lvl_hi, lvl_lo, lo_i, hi_i, mode):
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"""mode 'bounce': am Level in die Gegenrichtung (Level hält).
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mode 'sweep' : Level kurz durchstochen, Close zurück → Gegenrichtung."""
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Rs = []
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225) / atr
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i = max(lo_i, 5)
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hi_i = min(hi_i, len(C) - _MAXH - 2)
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while i < hi_i:
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atr = A[i]
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if not atr or atr < _ATRMIN: i += 1; continue
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hit = None
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for lv, d in ((lvl_hi[i], -1), (lvl_lo[i], 1)): # oben→short, unten→long
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if lv is None: continue
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if mode == "bounce":
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if abs(C[i] - lv) <= _TOUCH * atr: hit = (lv, d); break
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else:
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over = (H[i] - lv) if d < 0 else (lv - L[i])
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back = (C[i] < lv) if d < 0 else (C[i] > lv)
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if _SWEEP_MIN * atr <= over <= _SWEEP_MAX * atr and back:
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hit = (lv, d); break
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if hit is None: i += 1; continue
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_lv, d = hit
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Rs.append(_sim(C[i], d, atr, H, L, C, i + 1) - cost(i, atr))
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i += _COOL
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return Rs
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def scan_signal(H, L, C, SP, A, EF, ES, hb, wd, lo_i, hi_i, mode):
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"""Basis-Signal (EMA12/50-Trend, wie die Welle) mit optionalem Filter:
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'base' · 'discount' (nur im günstigen Range-Drittel) · 'nofriday'."""
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Rs = []
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225) / atr
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i = max(lo_i, 60)
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hi_i = min(hi_i, len(C) - _MAXH - 2)
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while i < hi_i:
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atr = A[i]
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if not atr or atr < _ATRMIN: i += 1; continue
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d = 1 if EF[i] > ES[i] + 0.15 * atr else -1 if EF[i] < ES[i] - 0.15 * atr else 0
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if d == 0: i += 1; continue
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if mode == "nofriday" and wd[i] == 4 and hb[i] >= 16:
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i += 1; continue # Freitag ab 16:00 CET
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if mode == "discount":
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# Range der letzten 60 Bars; LONG nur unter 50 %, SHORT nur darüber
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rh = max(H[i - 60:i]); rl = min(L[i - 60:i])
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if rh <= rl: i += 1; continue
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pos = (C[i] - rl) / (rh - rl)
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if (d > 0 and pos > 0.5) or (d < 0 and pos < 0.5):
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i += 1; continue
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Rs.append(_sim(C[i], d, atr, H, L, C, i + 1) - cost(i, atr))
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i += _COOL
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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(); 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)
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si = mt5.symbol_info(sym); point = si.point
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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]; SP = [float(b["spread"]) * point for b in bars]
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T = [int(b["time"]) 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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# Broker UTC+3 → Berlin = Broker − 1 h
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hb = [(datetime.fromtimestamp(t, timezone.utc).hour - 1) % 24 for t in T]
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wd = [datetime.fromtimestamp(t - 3600, timezone.utc).weekday() for t in T]
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PDH, PDL, AH, AL = day_levels(T, H, L, hb)
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N = len(C); mid = N // 2
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print("=" * 92)
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print(f" WTI-HANDBUCH — die noch NICHT gemessenen Konzepte ({sym} M5, {N} Bars)")
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print(f" Live-Exit · Echtkosten · 2 Halbjahre · Maßstab Squeeze ØR +0,14…+0,23")
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print("=" * 92)
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verdict = {}
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print("\n### 1/2 — PDH/PDL und Asian Range als Reaktions-Level")
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for lbl, lh, ll in (("PDH/PDL", PDH, PDL), ("Asian Range H/L", AH, AL)):
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for mode in ("bounce", "sweep"):
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print(f" {lbl} · {mode}")
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for hlbl, a, b in (("H1", 5, mid), ("H2", mid, N)):
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Rs = scan_level(H, L, C, SP, A, lh, ll, a, b, mode)
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verdict.setdefault((lbl, mode), []).append(_rep(f"[{hlbl}]", Rs))
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print("\n### 3/4 — Discount/Premium und Freitag-Nachmittag als FILTER")
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print(" (Basis = EMA-Trendsignal ohne Filter; ein Filter taugt nur, wenn er")
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print(" in BEIDEN Hälften verbessert)")
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for mode, lbl in (("base", "BASIS (ohne Filter)"),
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("discount", "nur Discount/Premium"),
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("nofriday", "ohne Fr ab 16:00 CET")):
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print(f" {lbl}")
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for hlbl, a, b in (("H1", 60, mid), ("H2", mid, N)):
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Rs = scan_signal(H, L, C, SP, A, EF, ES, hb, wd, a, b, mode)
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verdict.setdefault(("filter", lbl), []).append(_rep(f"[{hlbl}]", Rs))
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print("\n" + "=" * 92)
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print(" URTEIL")
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base = verdict.get(("filter", "BASIS (ohne Filter)"))
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for key, vals in verdict.items():
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if len(vals) != 2 or any(v is None for v in vals): continue
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if key[0] == "filter":
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if key[1].startswith("BASIS"): continue
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ok = all(vals[i] > base[i] for i in (0, 1))
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print(f" Filter {key[1]:<28} H1 {vals[0]:+.3f} (Basis {base[0]:+.3f}) · "
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f"H2 {vals[1]:+.3f} (Basis {base[1]:+.3f}) "
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f"{'✅ verbessert beide' if ok else '❌ nicht robust'}")
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else:
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ok = all(v > 0 for v in vals); band = all(v >= 0.14 for v in vals)
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mark = "✅ TRÄGT" if (ok and band) else ("⚠ positiv, unter Band" if ok
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else "❌ fällt durch")
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print(f" {key[0]} · {key[1]:<22} H1 {vals[0]:+.3f} · H2 {vals[1]:+.3f} {mark}")
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if __name__ == "__main__":
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main()
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Block a user