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>
105 lines
4.3 KiB
Python
105 lines
4.3 KiB
Python
#!/usr/bin/env python3
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"""Opening Range Breakout (ORB) als Auto-Setup-Kandidat (2026-07-17, Recherche):
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Box = Hoch/Tief der ersten K M5-Bars nach Session-Open; erster Ausbruch ±0,1×ATR
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über/unter die Box (Fenster W Bars) wird gehandelt — one-shot je Open. Struktur-
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Verwandter des validierten Squeeze (Box→Ausbruch), aber ZEIT-verankert.
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Opens in BROKER-Zeit (UTC+3, US-DST-gekoppelt → US-Open konstant 16:30):
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EU-Morgen 10:00 (≈ 09:00 Berlin) · US-Open 16:30 (≈ 15:30 Berlin).
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Exit = Live-Modell (SL 2,0×ATR + Trailing 1,5 + BE 1,3). Kosten = Bar-Spread/ATR.
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2 Halbjahre. Maßstab: Squeeze (ØR +0,14…+0,23 in BEIDEN Hälften).
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"""
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import sys, datetime as dt
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import MetaTrader5 as mt5
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_MAXH = 288; _ATRMIN = 0.12; _K_BRK = 0.1; _W = 48 # Breakout-Fenster 4 h
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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)):
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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
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for i in range(len(C))]
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def st(Rs):
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if not Rs: return None
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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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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)
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def line(lbl, s):
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if not s: return f" {lbl:<28} —"
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return (f" {lbl:<28} n={s['n']:>4} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
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f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+6.0f}")
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def sim(entry, d, atr, H, L, C, j0):
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eff = entry - d*2.0*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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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff): return None if False else ((eff-entry)*d/atr, j)
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*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, end)
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def run(T, H, L, C, A, SP, lo, hi, open_h, open_m, K):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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Rs = []
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i = lo
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while i < hi:
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t = dt.datetime.utcfromtimestamp(T[i])
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if not (t.hour == open_h and t.minute == open_m):
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i += 1; continue
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if i+K+2 >= hi:
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break
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atr = max(A[i+K] or 0, _ATRMIN) # Floor wie live (Skip wäre Selektions-
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# Artefakt: H1 hat 81 % Bars unter 0,12 → sonst fällt der EU-Morgen weg)
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boxHi = max(H[i:i+K]); boxLo = min(L[i:i+K])
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up = boxHi + _K_BRK*atr; dn = boxLo - _K_BRK*atr
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hit = None
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for j in range(i+K, min(i+K+_W, hi)):
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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:
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i += K; continue
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j, d, lvl = hit
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r, xj = sim(lvl, d, atr, H, L, C, j+1)
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Rs.append(r - cost(j, atr))
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i = xj + 1 # one-shot je Open, weiter nach Exit
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return Rs
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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()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n+_MAXH+30)
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point = mt5.symbol_info(sym).point; mt5.shutdown()
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T = [int(b["time"]) for b in bars]
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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); N = len(C); mid = N//2
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print("="*88)
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print(f" Opening Range Breakout — {sym} M5 (one-shot je Open · Exit live · Echtkosten)")
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print(f" Box = erste K Bars nach Open (Brokerzeit) · Ausbruch ±{_K_BRK}×ATR · Fenster 4 h")
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print("="*88)
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for lbl, lo, hi in (("H1 (alt)", 0, mid), ("H2 (neu)", mid, N-_MAXH-1)):
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print(f"\n{lbl}:")
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for name, oh, om in (("EU-Open 10:00 Brk", 10, 0), ("US-Open 16:30 Brk", 16, 30)):
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for K in (3, 6):
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s = st(run(T, H, L, C, A, SP, lo, hi, oh, om, K))
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print(line(f"{name} Box={K*5}min", s))
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print(f"\n Maßstab: Squeeze ØR +0,14…+0,23 & PF>1 in BEIDEN Hälften.")
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if __name__ == "__main__":
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main()
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