AH-Oil-Trader/backtest_realcosts.py

#!/usr/bin/env python3
"""Schlüssel-Messungen mit ECHTEN Kosten nachgerechnet (Track B):
Kosten je Trade = Bar-`spread`(Signal-Bar) / ATR(Signal-Bar) in R (Roundtrip = 1×Spread;
Kommission laut DB ~0). Bisher pauschal 0,1×ATR — real Ø 0,265, nachts bis 0,5.
  (1) Netto-R je Berlin-Stunde (beide Hälften) — welche Stunden tragen echt?
  (2) Gate-Politiken: kein Gate vs. Nacht-Blackout 0–7 vs. 0–7+12 — beide Hälften.
  (3) breakout_k 0,3/0,5/1,0 mit echten Kosten (Kosten am Bestätigungs-Bar).
"""
import sys, datetime as dt
from zoneinfo import ZoneInfo
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; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0; _CONFIRM_W=12
_BROKER_OFF=3*3600; _BERLIN=ZoneInfo("Europe/Berlin")

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 simulate(entry,d,atr,sl,H,L,C,j0):
    eff=sl; hw=entry; trail=False
    end=min(j0+_MAXH,len(C)-1); exit_px=C[end]
    for j in range(j0,end+1):
        hi,lo=H[j],L[j]
        if (lo<=eff) if d>0 else (hi>=eff): return (eff-entry)*d/atr
        hw=max(hw,hi) if d>0 else min(hw,lo)
        if (C[j]-entry)*d>=_TRAILON*atr: trail=True
        if trail:
            lock=hw-d*_TPTRAIL*atr
            eff=max(eff,lock) if d>0 else min(eff,lock)
    return (exit_px-entry)*d/atr
def bhour(raw):
    return dt.datetime.fromtimestamp(int(raw)-_BROKER_OFF,tz=dt.timezone.utc).astimezone(_BERLIN).hour

def main():
    n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
    mt5.initialize(); sym=None
    for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
        if mt5.symbol_info(c): sym=c; break
    si=mt5.symbol_info(sym); point=si.point
    bars=None
    for req in (n,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]; T=[int(b["time"]) for b in bars]
    SP=[float(b["spread"])*point for b in bars]           # echter Spread je Bar
    EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
    mid=len(C)//2; TH=_REVERSAL_STRETCH
    def cost(i,atr): return (SP[i] if SP[i]>0 else 0.0225)/atr   # in R
    def collect(a,b):
        out=[]
        for i in range(max(a,_N_BARS), min(b,len(C)-_MAXH-1)):
            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 not d: continue
            R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
            out.append((i,d,atr,bhour(T[i]),R-cost(i,atr)))
        return out
    halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
    EV={lbl:collect(a,b) for lbl,a,b in halves}
    print("="*92)
    print(f"  ECHTE Kosten (Spread je Signal-Bar) — {sym} M5 ({len(C)} Bars)")
    print("="*92)

    # (1) Netto je Stunde, beide Hälften nebeneinander
    print("\n(1) Netto-R je Berlin-Stunde (echte Kosten):")
    print(f"  {'Std':>3} {'H1 netto':>10} {'H2 netto':>10}   beide negativ?")
    night_neg=[]
    for h in range(24):
        cells=[]; neg=True
        for lbl,_,_ in halves:
            v=[x[4] for x in EV[lbl] if x[3]==h]
            m=sum(v)/len(v) if v else 0.0
            cells.append(f"{m:+.3f}(n{len(v)})")
            if m>=0: neg=False
        if neg: night_neg.append(h)
        print(f"  {h:>3} {cells[0]:>12} {cells[1]:>12}   {'← NEG in beiden' if neg else ''}")
    print(f"  → in BEIDEN Hälften netto negativ: {night_neg}")

    # (2) Gate-Politiken
    print("\n(2) Gesamt-Netto-R je Politik:")
    POL=[("Kein Gate",set()),("Nacht 0–7",set(range(0,8))),
         ("Nacht 0–7 + 12",set(range(0,8))|{12}),
         ("nur robust-negative",set(night_neg))]
    for name,blk in POL:
        cells=[]
        for lbl,_,_ in halves:
            kept=[x[4] for x in EV[lbl] if x[3] not in blk]
            cells.append(f"ΣR{sum(kept):+8.0f} (n{len(kept)})")
        print(f"  {name:<22} {cells[0]:>24} {cells[1]:>24}")

    # (3) breakout_k mit echten Kosten
    print("\n(3) breakout_k mit echten Kosten (Kosten am Bestätigungs-Bar):")
    for lbl,a,b in halves:
        sigs=[(i,d,atr) for (i,d,atr,_,_) in EV[lbl]]
        line=f"  {lbl}: "
        for k in (0.3,0.5,1.0):
            Rs=[]
            for (i,d,atr) in sigs:
                e0=C[i]; level=e0+d*k*atr; invalid=e0-d*k*atr; je=None
                for j in range(i+1, min(i+1+_CONFIRM_W, len(C)-_MAXH-1)):
                    if d>0:
                        if L[j]<=invalid: break
                        if H[j]>=level: je=j; break
                    else:
                        if H[j]>=invalid: break
                        if L[j]<=level: je=j; break
                if je is None: continue
                Rs.append(simulate(level,d,atr,level-d*_SL_ATR*atr,H,L,C,je+1)-cost(je,atr))
            line+=f"k={k}: ΣR{sum(Rs):+7.0f}(n{len(Rs)},Ø{sum(Rs)/max(1,len(Rs)):+.3f})   "
        print(line)

if __name__=="__main__":
    main()