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>
144 lines
7.0 KiB
Python
144 lines
7.0 KiB
Python
#!/usr/bin/env python3
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"""User-Regel messen: „P(Level-Durchbruch) > 60 % → laufen lassen, sonst close."
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Dazu 2 Fragen (Track B, Echtkosten, 2 Hälften):
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(1) Wie hoch ist die Basisrate P(Durchbruch) beim ERSTEN Touch des Ziel-Levels —
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und können Merkmale am Touch (Trend, Momentum, Touch-Zahl, Tick-Volumen) sie
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robust über/unter 60 % schieben? Break = nach Touch +0,5×ATR JENSEITS des
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Levels binnen 12 Bars, bevor 0,5×ATR zurückfällt.
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(2) Entscheidungs-relevant: Ø(R_run − R_close) je Merkmal-Segment — gibt es ein
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Segment, in dem CLOSE am Level das Weiterlaufen (Trailing) robust schlägt?
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Wenn kein Merkmal P(break) verlässlich trennt bzw. kein Segment robust pro-Close
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ist, kollabiert die Regel zu „immer laufen lassen" (= Trailing, schon gemessen).
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"""
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import sys
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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; _SL_ATR=2.0; _TRAILON=0.3; _MULT=1.5; _BE=1.3
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_LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2; _TP_INIT=3.5
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_PIV_K=3; _LOOKBACK=300; _BRK_W=12; _BRK_ATR=0.5
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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 sim_run(entry,d,atr,H,L,C,j0,level):
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"""Baseline-Trailing bis Ende; liefert (R_final, j_touch|None) — Touch = erstes
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Erreichen des Levels, solange der Trade offen ist."""
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sl=entry-d*_SL_ATR*atr; tp=entry+d*_TP_INIT*atr
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hw=entry; rank=0; jt=None
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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): return (sl-entry)*d/atr, jt
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if jt is None and level is not None and ((hi>=level) if d>0 else (lo<=level)):
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jt=j
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if (hi>=tp) if d>0 else (lo<=tp): return (tp-entry)*d/atr, jt
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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<_TRAILON*atr else (1 if profit<_LOCK_START*atr else 2)
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if ph<rank: ph=rank
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rank=ph
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if ph==1:
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cand=hw-d*_MULT*atr
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if profit>=_BE*atr:
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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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elif ph==2:
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tm=max(_LOCK_MIN,_MULT*_LOCK_SCALE)
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cand=hw-d*tm*atr
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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, jt
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def is_break(level,d,atr,H,L,jt):
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up=level+d*_BRK_ATR*atr; dn=level-d*_BRK_ATR*atr
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for j in range(jt, min(jt+_BRK_W, len(H))):
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if (H[j]>=up) if d>0 else (L[j]<=up): return True
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if (L[j]<=dn) if d>0 else (H[j]>=dn): return False
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return False
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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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si=mt5.symbol_info(sym); point=si.point
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bars=None
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for req in (n,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]; V=[float(b["tick_volume"]) for b in bars]
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SP=[float(b["spread"])*point 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("="*96)
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print(f" P(Level-Durchbruch) & Close-vs-Run am Touch — {sym} M5 ({len(C)} Bars, Echtkosten)")
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print("="*96)
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for lbl,a,b in (("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))):
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ev=[] # (break?, dR = R_run − R_close, feature-dict)
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for i in range(max(a,_N_BARS,_LOOKBACK), 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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entry=C[i]
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# nächstes gegenüberliegendes Pivot-Level
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phis,plos=[],[]
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for j in range(i-_LOOKBACK+_PIV_K, 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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cands=[p for p in phis if p>entry+0.3*atr]
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level=min(cands) if cands else None
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near=phis
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else:
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cands=[p for p in plos if p<entry-0.3*atr]
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level=max(cands) if cands else None
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near=plos
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if level is None: continue
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R_run,jt=sim_run(entry,d,atr,H,L,C,i+1,level)
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if jt is None: continue # Level nie erreicht
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R_close=(level-entry)*d/atr
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brk=is_break(level,d,atr,H,L,jt)
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mom=(C[jt]-C[max(0,jt-6)])*d/atr
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touches=sum(1 for p in near if abs(p-level)<=0.15*atr)
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volr=V[jt]/max(1.0,(sum(V[max(0,jt-20):jt])/max(1,len(V[max(0,jt-20):jt]))))
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withtrend=1 if (EF[jt]-ES[jt])*d>0 else 0
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ev.append((brk, R_run-R_close,
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{"mom":mom,"touch":touches,"vol":volr,"wt":withtrend}))
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n_ev=len(ev); pb=100*sum(1 for e in ev if e[0])/max(1,n_ev)
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dall=sum(e[1] for e in ev)/max(1,n_ev)
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print(f"\n{lbl}: {n_ev} Level-Touches · Basisrate P(break)={pb:.0f}% · Ø(R_run−R_close)={dall:+.3f}")
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segs=[("mit Trend",lambda f:f["wt"]==1),("gegen Trend",lambda f:f["wt"]==0),
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("Momentum ≥0,3",lambda f:f["mom"]>=0.3),("Momentum <0,3",lambda f:f["mom"]<0.3),
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("Level ≥2 Touches",lambda f:f["touch"]>=2),("Level 1 Touch",lambda f:f["touch"]<2),
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("Volumen-Spike ≥1,5×",lambda f:f["vol"]>=1.5),("Volumen normal",lambda f:f["vol"]<1.5)]
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print(f" {'Segment':<20}{'n':>7}{'P(break)':>10}{'Ø(run−close)':>14}")
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for name,fn in segs:
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sub=[e for e in ev if fn(e[2])]
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if not sub: continue
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p=100*sum(1 for e in sub if e[0])/len(sub)
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dd=sum(e[1] for e in sub)/len(sub)
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mark=" ← CLOSE besser" if dd<0 else ""
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print(f" {name:<20}{len(sub):>7}{p:>9.0f}%{dd:>+14.3f}{mark}")
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print("\n Die Regel trägt nur, wenn ein Segment in BEIDEN Hälften Ø(run−close)<0 zeigt")
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print(" (= dort wäre Close besser) UND P(break) dort klar unter der Basisrate liegt.")
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if __name__=="__main__":
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main()
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