Squeeze × S/R-Close geprüft: Wash, keine Änderung
backtest_squeeze_srclose.py: S/R-Auto-Close auf Squeeze-Trades vs. reiner Trailing-Exit ist ein Nullsummen-Wash (H1 +7R, H2 −12R) — der P(break)-Gate lässt echte Runner (P≥60%) laufen, PF/Tail bleiben erhalten. Kein Ausschluss der Squeeze-Trades vom S/R-Close nötig. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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Axel Hocks
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Claude Opus 4.8
Claude Opus 4.8
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@@ -738,6 +738,22 @@ dort bereits nachvalidiert, ØR +0,305.) **Eine** Oberfläche:
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sich erholt hätten. Der 07:38-Fall (LONG lief zum SL während SHORT-Ausbruch) war Varianz.
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**Fazit: Squeeze taugt als ENTRY (validiert), NICHT als Gegen-EXIT.** Der einzige
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Speed-Hebel bleibt die schnellere Erkennung (Variante A, ~5 s).
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**S/R-Close kappt Squeeze-Runner? = GEPRÜFT, KEINE Änderung (gemessen
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`backtest_squeeze_srclose.py`, 2026-07-24, User-Beobachtung „Squeeze wird direkt am
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nächsten S/R geschlossen"):** Der Log bestätigt, dass Auto-Squeeze-Trades regelmäßig
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vom P(break)-S/R-Auto-Close am nächsten Gegen-Level geschlossen werden (der Squeeze
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wurde mit reinem Trailing validiert, ist runner-abhängig — Verdacht: Runner gekappt).
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Direkter Vergleich NUR auf Squeeze-Entries (Box≤2,5×ATR, k=0,1): **Exit A = nur
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Trailing (validiert)** vs. **Exit B = +S/R-Close (aktuell live)** = **Wash, kein
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robuster Schaden** — H1 ØR +0,190→**+0,224** (ΣR +40→+47, B besser), H2 ØR
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+0,394→+0,377 (ΣR +290→+278, B marginal schlechter) = Δ ±0,02 R/Trade (Rauschen).
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**Warum unkritisch:** der S/R-Close ist P(break)-gegated (schließt nur wenn Level
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wahrscheinlich HÄLT, P<60 %) → echte, starke Ausbrüche haben hohe P(break) und
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laufen weiter; **PF/Runner-Tail bleiben erhalten** (H2 PF 1,58=1,58), nur die WR
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steigt (50→55 %, Abpraller früher als Klein-Gewinn kassiert). Squeeze-Trades vom
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S/R-Close auszunehmen ist also NICHT belegt. (Reaktivierbar per Toggle, falls der
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User trotzdem die Runner nie kappen will — kostet gemessen ~nichts, ist aber
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Präferenz, kein Edge.)
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**S/R-Close-Cooldown (2026-07-17, Koordinations-Fix, kein Backtest):** nach einem
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S/R-Auto-Close eröffnet der Auto-Squeeze **~3 min (`_SQUEEZE_SR_COOLDOWN_S=180`)
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nicht in GLEICHER Richtung** wieder. Grund: der S/R-Close ging von „Level hält"
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@@ -0,0 +1,124 @@
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#!/usr/bin/env python3
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"""Prüft die User-Beobachtung: Auto-Squeeze-Trades werden vom S/R-Auto-Close am
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nächsten Level gekappt. Vergleich auf 2 Halbjahren, NUR für Squeeze-Entries
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(Box<=2,5×ATR, k=0,1 — Live-Params):
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Exit A (Baseline, live-validiert): SL 2×ATR + Trailing 1,5 + BE 1,3.
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Exit B (aktuelles Live-Verhalten): wie A, ABER schließt am nächsten Gegen-Level
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(M5-Pivot in Trade-Richtung), sobald Kurs dort (≤0,15×ATR) UND
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P(break) < 0,60 (kalibriertes Modell aus core.engine, identisch live).
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Frage: Ist B in BEIDEN Hälften schlechter als A? Dann kappt der S/R-Close den
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Squeeze-Runner-Edge → Squeeze-Trades vom S/R-Close ausnehmen.
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"""
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import sys
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import MetaTrader5 as mt5
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from core.engine import _p_break
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_MAXH = 288; _ATRMIN = 0.12
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_N = 12; _W = 24; _COOL = 12; _K = 0.1; _SQ_MULT = 2.5
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_PIV_K = 3; _LOOKBACK = 300; _SR_TOUCH = 0.15; _PBRK = 0.60
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_EMA_FAST = 12; _EMA_SLOW = 50
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def _ema(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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out = [None]
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for i in range(1, len(C)):
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seg = t[max(1, i-p+1):i+1]; out.append(sum(seg)/len(seg))
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return out
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def _opp_level(entry, d, atr, H, L, i):
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"""Nächstes Gegen-/Ziel-Level (M5-Pivot) in Trade-Richtung, wie live _draw_levels."""
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phis, plos = [], []
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for j in range(max(_PIV_K, i-_LOOKBACK), 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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c = [p for p in phis if p > entry+0.3*atr]; return min(c) if c else None
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c = [p for p in plos if p < entry-0.3*atr]; return max(c) if c else None
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def sim(entry, d, atr, H, L, C, EF, ES, j0, level=None,
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sl_atr=2.0, trail=1.5, trail_on=0.3, be_on=1.3, srclose=False):
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eff = entry - d*sl_atr*atr; hw = entry
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end = min(j0+_MAXH, len(C)-1); exit_px = C[end]
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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 <= eff) if d > 0 else (hi >= eff): exit_px = eff; break
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# S/R-Close: Kurs am Gegen-Level (Touch) + P(break)<Schwelle + im Plus → close
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if srclose and level is not None:
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gap = (level - C[j])*d
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if 0 <= gap <= _SR_TOUCH*atr and (C[j]-entry)*d > 0:
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mom6 = (C[j]-C[max(0, j-6)])*d/atr; mom3 = (C[j]-C[max(0, j-3)])*d/atr
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wt = 1.0 if (EF[j]-ES[j])*d > 0 else 0.0; dist = abs(level-entry)/atr
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if _p_break(mom6, mom3, wt, dist) < _PBRK:
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exit_px = level; break
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hw = max(hw, hi) if d > 0 else min(hw, lo)
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prof = (C[j]-entry)*d
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if prof >= trail_on*atr:
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cand = hw - d*trail*atr
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if prof >= be_on*atr: 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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return (exit_px-entry)*d/atr
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def rep(name, Rs):
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if not Rs: print(f" {name:<34} -"); return
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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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pf = up/dn if dn > 0 else 9.99
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print(f" {name:<34} Trades={n:>4} Treffer={100*w/n:>3.0f}% ØR={s/n:+.3f} PF={pf:.2f} ΣR={s:+.0f}")
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def scan(H, L, C, A, EF, ES, SP, point, lo_i, hi_i):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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RsA, RsB = [], []
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i = max(lo_i, _N+15, _LOOKBACK)
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while i < min(hi_i, len(C)-_MAXH-1):
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atr = A[i]
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if not atr or atr < _ATRMIN: i += 1; continue
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boxHi = max(H[i-_N:i]); boxLo = min(L[i-_N:i])
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if (boxHi-boxLo) > _SQ_MULT*atr: i += 1; continue # nur Squeeze
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hit = None
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for j in range(i, min(i+_W, len(C)-_MAXH-1)):
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up = boxHi+_K*atr; dn = boxLo-_K*atr
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if H[j] >= up: hit = (j, 1, up); break
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if L[j] <= dn: hit = (j, -1, dn); break
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if hit is None: i += 1; continue
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j, d, lvl = hit; c = cost(j, atr)
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level = _opp_level(lvl, d, atr, H, L, j)
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RsA.append(sim(lvl, d, atr, H, L, C, EF, ES, j+1, srclose=False) - c)
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RsB.append(sim(lvl, d, atr, H, L, C, EF, ES, j+1, level=level, srclose=True) - c)
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i = j + _COOL
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return RsA, RsB
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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+_MAXH+30)
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si = mt5.symbol_info(sym); point = si.point; 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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A = _atr_series(H, L, C); EF = _ema(C, _EMA_FAST); ES = _ema(C, _EMA_SLOW)
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N = len(C); mid = N//2
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print("="*90)
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print(f" Squeeze-Trades: Trailing-Exit (A) vs +S/R-Close (B) — {sym} M5 ({N} Bars)")
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print(f" Box<={_SQ_MULT}×ATR · Ausbruch {_K}×ATR · S/R-Close bei P(break)<{_PBRK}")
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print("="*90)
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for label, lo, hi in (("H1 (alt)", 0, mid), ("H2 (neu)", mid, N)):
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print(f"\n{label}:")
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RsA, RsB = scan(H, L, C, A, EF, ES, SP, point, lo, hi)
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rep("A: nur Trailing (validiert)", RsA)
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rep("B: + S/R-Close (aktuell live)", RsB)
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if RsA and RsB:
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dR = sum(RsB)-sum(RsA)
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print(f" → Δ(B−A) ΣR = {dR:+.0f} (negativ = S/R-Close KOSTET beim Squeeze)")
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print("\n S/R-Close beim Squeeze rausnehmen, wenn B in BEIDEN Hälften ΣR/ØR < A.")
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if __name__ == "__main__":
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main()
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