Axel HocksandClaude Opus 4.8
75d28827e8
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>
97 lines
4.2 KiB
Python
97 lines
4.2 KiB
Python
#!/usr/bin/env python3
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"""Event-Blackout-Messung (Track B): Sind Signale rund um die planbaren Öl-Events
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schlechter? EIA-Lagerbestände = Mittwoch 16:30 Berlin (10:30 ET, Offset ganzjährig 6 h),
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API = Dienstag 22:30 Berlin. Misst Signale (Trend+Reversal, Live-Exit-Sim) je Fenster:
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eia_pre Mi 15:30–16:30 · eia_post Mi 16:30–18:00
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api_pre Di 21:30–22:30 · api_post Di 22:30–23:30
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gegen 'rest', über 2 History-Hälften. Blackout nur bauen, wenn ein Fenster in BEIDEN
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Hälften klar negativ ist (netto, Kosten 0,1×ATR).
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"""
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import sys, datetime as dt
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from zoneinfo import ZoneInfo
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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; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0; _COST=0.10
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_BROKER_OFF=3*3600; _BERLIN=ZoneInfo("Europe/Berlin")
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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 simulate(entry,d,atr,sl,H,L,C,j0):
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eff=sl; hw=entry; trail=False
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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): return (eff-entry)*d/atr
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hw=max(hw,hi) if d>0 else min(hw,lo)
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if (C[j]-entry)*d>=_TRAILON*atr: trail=True
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if trail:
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lock=hw-d*_TPTRAIL*atr
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eff=max(eff,lock) if d>0 else min(eff,lock)
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return (exit_px-entry)*d/atr
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def st(v):
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if not v: return "n=0"
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n=len(v); w=sum(1 for x in v if x>0)
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return (f"n={n:>5} WR={100*w/n:>3.0f}% Ø-R={sum(v)/n:+.3f} "
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f"netto={sum(v)/n-_COST:+.3f} ΣR={sum(v):+.0f}")
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def bdt(raw):
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return dt.datetime.fromtimestamp(int(raw)-_BROKER_OFF, tz=dt.timezone.utc).astimezone(_BERLIN)
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def wclass(t):
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wd=t.weekday(); hm=t.hour*60+t.minute
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if wd==2: # Mittwoch
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if 15*60+30<=hm<16*60+30: return "eia_pre"
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if 16*60+30<=hm<18*60: return "eia_post"
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if wd==1: # Dienstag
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if 21*60+30<=hm<22*60+30: return "api_pre"
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if 22*60+30<=hm<23*60+30: return "api_post"
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return "rest"
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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=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: 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]; T=[int(b["time"]) 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; TH=_REVERSAL_STRETCH
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print("="*92)
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print(f" Event-Fenster (EIA Mi 16:30 · API Di 22:30 Berlin) — {sym} M5 ({len(C)} Bars)")
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print("="*92)
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for lbl,a,b in (("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))):
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B={k:[] for k in ("eia_pre","eia_post","api_pre","api_post","rest")}
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for i in range(max(a,_N_BARS), 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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R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
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B[wclass(bdt(T[i]))].append(R)
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print(f"\n{lbl}:")
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for k in ("eia_pre","eia_post","api_pre","api_post","rest"):
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print(f" {k:<9} {st(B[k])}")
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print("\n Blackout nur, wenn ein Fenster in BEIDEN Hälften klar netto-negativ ist.")
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if __name__=="__main__":
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main()
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