backtest_trailing_sr.py: S/R-verankertes Trailing gemessen - nicht gebaut
User-Idee "Trailing TP und SL auf die S/R-Linien anpassen". Zerfaellt in drei Teile; Initial-SL an S/R und fester TP am Gegenlevel waren schon verworfen, der TRAILING-Teil war offen (bisher nur ATR-Abstaende getestet). Aufbau wie backtest_trailing.py (echte Phasen-Mechanik, Breakeven 1,3), Level = M30-Pivots k=3 KAUSAL (Pivot erst 3 M30-Bars spaeter bekannt), Deckel [0,5..2,0]xATR gegen den -11,4xATR-Fall aus backtest_sl_method.py. 80k Bars, ~19,7k Signale je Haelfte. Ergebnis: schadet nicht, traegt aber zu wenig. 3 von 5 Varianten schlagen die Basis in BEIDEN Haelften (Hybrid "engerer Stop" +0,006/+0,006, WR 37->43 %). Trotzdem nicht gebaut: (a) Effekt 0,006-0,014 R/Trade = eine Groessenordnung unter der B3-Huerde; (b) nicht parameter-robust - Puffer 0,10 besteht, 0,25 faellt durch, 0,50 besteht wieder. Positiv: Worst-Case bleibt in ALLEN Varianten -2,00xATR, der Deckel funktioniert - S/R-Verankerung fuegt kein Tail-Risiko hinzu. Die Kontrollvariante "TP am Gegenlevel" reproduziert den alten Befund exakt (WR 40->54 %, SigmaR H2 +1261->+740 = Gewinner-Kappen) -> Simulation gegen backtest_srclose.py validiert, TP-Teil endgueltig erledigt. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
This commit is contained in:
Axel Hocks
co-authored by
Claude Opus 5
Claude Opus 5
parent
578711a290
commit
9ad1b6d8d4
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#!/usr/bin/env python3
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"""S/R-verankertes TRAILING statt fixem ATR-Abstand (User-Idee 2026-07-31).
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FRAGE: Der Live-Trail zieht den SL stur `mult×ATR` hinter das Hoch. Wäre es besser,
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ihn hinter das **nächste S/R-Level** zu legen (LONG: knapp unter die Unterstützung)?
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Und/oder einen TP ans Gegenlevel zu setzen?
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⚠ ABGRENZUNG — zwei der drei Teil-Ideen sind SCHON gemessen und durchgefallen:
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* **Initial-SL an S/R** → `backtest_sl_method.py`: gedeckelt identisch zu fix
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2,0×ATR (Ø-R 0,196–0,201), der Band-Cap dominiert; ungedeckelt Worst −11,4×ATR.
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* **Fester TP am Gegenlevel** → `backtest_srclose.py` (2×): verdoppelt die WR,
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verschlechtert aber PF/ΣR in BEIDEN Hälften = Gewinner-Kappen.
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* **TRAILING-SL an S/R** = hier NEU gemessen (bisher nur ATR-Abstände getestet,
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`backtest_trailing.py`).
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Deshalb wird der TP-Teil hier NUR als Kontrollvariante mitgeführt (Erwartung: fällt
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durch — dient als Sanity-Check, dass die Sim mit dem alten Befund übereinstimmt).
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AUFBAU (identisch zu `backtest_trailing.py`, damit die Zahlen vergleichbar sind):
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echte Phasen-Mechanik (Init→Trail→Lock, HW-Ratsche, Breakeven-Boden 1,3), Signal-Set
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Trend+Reversal, 2 Halbjahre. Level-Quelle = **M30-Pivots** (k=3) — dieselbe Quelle,
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auf die der Live-Bot am 2026-07-30 umgestellt hat; kausal (ein Pivot ist erst 3 M30-
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Bars später bekannt).
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Urteil nur „trägt", wenn eine Variante in BEIDEN Hälften ≥ Live-Basis liegt UND der
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Worst-Case nicht davonläuft (die Lehre aus `backtest_sl_method.py`).
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"""
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import sys
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from bisect import bisect_left
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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; _TP_INIT = 3.5
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_LOCK_START = 3.5; _LOCK_SCALE = 0.6; _LOCK_MIN = 1.2
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_BE = 1.3 # Breakeven-Boden (live)
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_M30 = 6 # M5-Bars je M30-Bar
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_PIV_K = 3 # Pivot-Fenster (wie live `pb_levels30`)
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_PIV_LOOKBACK = 50 # letzte N M30-Bars (wie live)
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# Sicherheits-Deckel für den S/R-Trail: ohne den droht der −11,4×ATR-Fall aus
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# `backtest_sl_method.py` (Level zu weit weg = Kontokiller unter Margin-Sizing).
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_SL_MIN_ATR = 0.5
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_SL_MAX_ATR = 2.0
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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):
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e = x if i == 0 else x * k + e * (1 - k)
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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)):
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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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out = []
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for i in range(len(C)):
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if not i:
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out.append(None); continue
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w = t[max(1, i - p + 1):i + 1]
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out.append(sum(w) / max(1, len(w)))
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return out
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def build_levels(H, L):
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"""M30-Pivots (k=3) je M5-Bar-Index — KAUSAL.
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Liefert `lv[m]` = sortierte Level-Liste, die zum Beginn von M30-Bar `m` bereits
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bekannt ist (ein Pivot bei M30-Index p ist erst ab p+k bestätigt).
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"""
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nm = len(H) // _M30
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mh = [max(H[i * _M30:(i + 1) * _M30]) for i in range(nm)]
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ml = [min(L[i * _M30:(i + 1) * _M30]) for i in range(nm)]
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# Pivot bei p → bekannt ab p + _PIV_K
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born: list[list[float]] = [[] for _ in range(nm)]
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for p in range(_PIV_K, nm - _PIV_K):
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seg_h = mh[p - _PIV_K:p + _PIV_K + 1]
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seg_l = ml[p - _PIV_K:p + _PIV_K + 1]
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if mh[p] == max(seg_h):
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if p + _PIV_K < nm:
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born[p + _PIV_K].append(mh[p])
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if ml[p] == min(seg_l):
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if p + _PIV_K < nm:
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born[p + _PIV_K].append(ml[p])
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# rollierendes Fenster der letzten _PIV_LOOKBACK M30-Bars
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lv: list[list[float]] = []
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from collections import deque
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win: deque = deque()
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cur: list[float] = []
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for m in range(nm):
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win.append(born[m])
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cur.extend(born[m])
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while len(win) > _PIV_LOOKBACK:
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old = win.popleft()
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for x in old:
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try:
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cur.remove(x)
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except ValueError:
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pass
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lv.append(sorted(cur))
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return lv
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def _sr_below(levels, px):
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i = bisect_left(levels, px)
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return levels[i - 1] if i > 0 else None
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def _sr_above(levels, px):
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i = bisect_left(levels, px)
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return levels[i] if i < len(levels) else None
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def sim(entry, d, atr, H, L, C, j0, LV, mode="atr", mult=1.5,
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buf=0.25, trail_start=0.3, use_sr_tp=False):
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"""Phasen-Trailing. `mode`:
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'atr' — Live: SL = HW − mult×ATR
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'sr' — SL = nächstes Level in Gegenrichtung ∓ buf×ATR (auf [0,5..2,0]×ATR gedeckelt)
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'hybrid' — der ENGERE von beiden (schützt Gewinne früher)
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'sr_wide'— der WEITERE von beiden (gibt dem Trade mehr Luft)
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"""
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sl = entry - d * 2.0 * atr # Initial-SL wie live (2,0×ATR)
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tp = entry + d * _TP_INIT * atr
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if use_sr_tp:
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lv = LV[min(j0 // _M30, len(LV) - 1)]
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t = _sr_above(lv, entry) if d > 0 else _sr_below(lv, entry)
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if t is not None:
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tp = t
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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):
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return (sl - entry) * d / atr # pessimistisch: SL vor TP im selben Bar
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if (hi >= tp) if d > 0 else (lo <= tp):
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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 < trail_start * atr else (1 if profit < _LOCK_START * atr else 2)
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if ph < rank:
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ph = rank
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rank = ph
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if ph == 0:
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continue
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m = mult if ph == 1 else max(_LOCK_MIN, mult * _LOCK_SCALE)
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cand_atr = hw - d * m * atr
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cand = cand_atr
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if mode != "atr":
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lv = LV[min(j // _M30, len(LV) - 1)]
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lev = _sr_below(lv, C[j]) if d > 0 else _sr_above(lv, C[j])
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if lev is not None:
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cand_sr = lev - d * buf * atr
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# Deckel: nie enger als 0,5×ATR (Rauschen) / weiter als 2,0×ATR (Tail)
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dist = (C[j] - cand_sr) * d
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if dist < _SL_MIN_ATR * atr:
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cand_sr = C[j] - d * _SL_MIN_ATR * atr
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elif dist > _SL_MAX_ATR * atr:
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cand_sr = C[j] - d * _SL_MAX_ATR * atr
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if mode == "sr":
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cand = cand_sr
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elif mode == "hybrid": # der engere = höher (LONG)
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cand = max(cand_atr, cand_sr) if d > 0 else min(cand_atr, cand_sr)
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elif mode == "sr_wide":
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cand = min(cand_atr, cand_sr) if d > 0 else max(cand_atr, cand_sr)
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if profit >= _BE * atr or ph == 2:
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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 st(Rs):
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if not Rs:
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return " -"
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n = len(Rs); w = sum(1 for r in Rs if r > 0)
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g = sum(r for r in Rs if r > 0); ls = -sum(r for r in Rs if r < 0)
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return (f"WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} "
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f"Worst={min(Rs):+.2f} ΣR={sum(Rs):+.0f}")
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def signals(H, L, C, ES, EF, AT, lo, hi, step):
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TH = _REVERSAL_STRETCH; out = []
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for i in range(max(lo, _N_BARS), min(hi, len(C) - _MAXH - 1), step):
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atr = AT[i]
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if not atr or atr <= 0:
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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:
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d = 1
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elif stretch >= TH and ad <= -_ANGLE_DEAD:
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d = -1
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elif abs(stretch) < _STRETCH_MAX:
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d = 1 if ef > es else -1 if ef < es else 0
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if d:
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out.append((i, d, atr))
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return out
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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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step = int(sys.argv[2]) if len(sys.argv) > 2 else 2
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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):
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sym = c; break
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bars = None
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for req in (n, 100000, 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:
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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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EF = _ema_series(C, _EMA_FAST); ES = _ema_series(C, _EMA_SLOW); AT = _atr_series(H, L, C)
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LV = build_levels(H, L)
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mid = len(C) // 2
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halves = [("H1 (alt)", _N_BARS, mid), ("H2 (neu)", mid, len(C))]
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print("=" * 96)
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print(f" S/R-VERANKERTES TRAILING — {sym} M5 ({len(C)} Bars, step {step})")
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print(f" Level = M30-Pivots k={_PIV_K}, Fenster {_PIV_LOOKBACK} M30-Bars (kausal), "
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f"Deckel [{_SL_MIN_ATR}..{_SL_MAX_ATR}]×ATR")
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print("=" * 96)
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SIG = {lbl: signals(H, L, C, ES, EF, AT, a, b, step) for lbl, a, b in halves}
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for lbl, _, _ in halves:
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print(f" {lbl}: {len(SIG[lbl])} Signale")
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variants = [
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("LIVE ATR-Trail 1,5 (Basis)", dict(mode="atr", mult=1.5)),
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("S/R-Trail Puffer 0,10", dict(mode="sr", buf=0.10)),
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("S/R-Trail Puffer 0,25", dict(mode="sr", buf=0.25)),
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("S/R-Trail Puffer 0,50", dict(mode="sr", buf=0.50)),
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("Hybrid (engerer von beiden)", dict(mode="hybrid", buf=0.25)),
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("Hybrid weit (weiterer)", dict(mode="sr_wide", buf=0.25)),
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("KONTROLLE: TP am Gegenlevel", dict(mode="atr", mult=1.5, use_sr_tp=True)),
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]
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for name, kw in variants:
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print(f"\n{name}")
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for lbl, _, _ in halves:
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Rs = [sim(C[i], d, atr, H, L, C, i + 1, LV, **kw) for (i, d, atr) in SIG[lbl]]
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print(f" {lbl} {st(Rs)}")
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if __name__ == "__main__":
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main()
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