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>
92 lines
4.2 KiB
Python
92 lines
4.2 KiB
Python
#!/usr/bin/env python3
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"""Bringt es Edge, den REVERSAL-Einstieg (antizyklischer Bounce: überdehnt + Winkel
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gedreht) zu VERWERFEN, wenn der H1-Trend klar DAGEGEN steht?
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Teilt alle Reversal-Signale nach H1-Ausrichtung (mit/gegen/flach zur Signalrichtung)
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und misst je Bucket die echte Exit-R (SL 2×ATR + Trailing-TP). Wenn 'gegen' klar
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schlechter/negativ ist → Veto lohnt.
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"""
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import sys, bisect
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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 (_atr, _ema_last, _EMA_FAST, _EMA_SLOW, _N_BARS,
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_ANGLE_LR, _ANGLE_DEAD, _HTF_DEADBAND)
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_MAXH=240; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_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): 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 stats(Rs):
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if not Rs: 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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pf=g/ls if ls>0 else 99.9
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return f"n={n:>4} Treffer={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={pf:>4.2f} Worst={min(Rs):+.2f} ΣR={sum(Rs):+.0f}"
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 40000
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mt5.initialize()
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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+_N_BARS+_MAXH+5)
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h1=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_H1,0,20000)
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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]; C=[float(b["close"]) for b in bars]
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T=[int(b["time"]) for b in bars]
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ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
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# H1-Regime
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hT=[int(b["time"]) for b in h1]; hc=[float(b["close"]) for b in h1]
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hh=[float(b["high"]) for b in h1]; hl=[float(b["low"]) for b in h1]
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hEf=_ema_series(hc,_EMA_FAST); hEs=_ema_series(hc,_EMA_SLOW); hA=_atr_series(hh,hl,hc)
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def h1_sign(ts):
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idx=bisect.bisect_right(hT,ts)-1
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if idx<_EMA_SLOW or hA[idx] is None or hA[idx]<=0: return 0
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dd=hEf[idx]-hEs[idx]
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return 0 if abs(dd)<_HTF_DEADBAND*hA[idx] else (1 if dd>0 else -1)
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print("="*92)
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print(f" Reversal-Einstieg nach H1-Ausrichtung — {sym} M5 Exit: SL {_SL_ATR}×ATR + Trailing-TP")
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print(" Frage: sind 'gegen H1' laufende Reversals schlechter (→ Veto lohnt)?")
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print("="*92)
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for TH in (3.0, 3.5):
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B={"mit":[], "gegen":[], "flach":[], "alle":[]}
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for i in range(_N_BARS, 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]
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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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for d,cs,ca in ((1, stretch<=-TH, ad>=_ANGLE_DEAD),
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(-1, stretch>=TH, ad<=-_ANGLE_DEAD)):
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if not (cs and ca): continue # echtes Reversal-Signal (überdehnt+Winkel)
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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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reg=h1_sign(T[i])
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cls="mit" if reg==d else "gegen" if reg==-d else "flach"
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B[cls].append(R); B["alle"].append(R)
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print(f"\nReversal-Schwelle TH={TH}×ATR:")
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for cls in ("alle","mit","gegen","flach"):
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print(f" {cls:<6} {stats(B[cls])}")
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veto=[r for c in ("mit","flach") for r in B[c]]
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print(f" → mit Veto (gegen verworfen): {stats(veto)} [ohne Veto = 'alle']")
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print("\n 'gegen' = H1-Trend GEGEN das Reversal (Gegen-Trend-Fade) — Kandidat fürs Veto")
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if __name__=="__main__":
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main()
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