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>
118 lines
5.4 KiB
Python
118 lines
5.4 KiB
Python
#!/usr/bin/env python3
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"""Prüft die TRAILING-Logik und Optimierungen über 2 Zeiträume (Track B).
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Bildet die ECHTE Phasen-Mechanik nach (Init→Trail→Lock, HW-Ratsche, Breakeven-Boden)
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und variiert die Schlüsselparameter:
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- trail_start (ab welchem Profit der SL zu ratchen beginnt; live 0,3×ATR)
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- mult (Trail-Abstand HW−mult×ATR; live M5=1,5)
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plus Baseline 'Fix-Stop' (SL 2×ATR, kein Trailing) und 'Breakeven-only'.
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Signal-Set = Reversal + Trend (wie backtest_hourly). Metrik: Ø-R/PF/WR/ΣR je Hälfte.
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Robust nur, wenn eine Variante in BEIDEN Hälften besser ist.
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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; _TP_INIT=3.5; _LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2
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_BE=1.3 # Breakeven-Boden (live)
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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(entry,d,atr,H,L,C,j0, trail_start, mult, breakeven=_BE, trail=True):
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"""Echte Phasen-Trailing-Sim. trail=False → fixer Stop entry−mult×ATR (kein Ratchen)."""
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sl = entry - d*mult*atr
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tp = entry + d*_TP_INIT*atr
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hw = entry; rank = 0
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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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hit_sl = (lo<=sl) if d>0 else (hi>=sl)
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hit_tp = (hi>=tp) if d>0 else (lo<=tp)
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if hit_sl: return (sl-entry)*d/atr # pessimistisch: SL vor TP im selben Bar
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if hit_tp: return (tp-entry)*d/atr
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hw = max(hw,hi) if d>0 else min(hw,lo)
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if not trail: continue
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profit=(hw-entry)*d
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ph = 0 if profit<trail_start*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>=breakeven*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
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def st(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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return f"WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} Worst={min(Rs):+.2f} ΣR={sum(Rs):+.0f}"
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def signals(H,L,C,ES,EF,AT,lo,hi,step):
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TH=_REVERSAL_STRETCH; out=[]
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for i in range(max(lo,_N_BARS), min(hi,len(C)-_MAXH-1), step):
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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 d: out.append((i,d,atr))
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return out
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 60000
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step=int(sys.argv[2]) if len(sys.argv)>2 else 2
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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]; C=[float(b["close"]) 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
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halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
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print("="*94)
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print(f" TRAILING-Optimierung — {sym} M5 ({len(C)} Bars, step {step}) Signal=Trend+Reversal")
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print(f" Live-Basis: trail_start=0,3 · mult=1,5 (M5) · Breakeven=1,3 · Lock ab 3,5×ATR")
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print("="*94)
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SIG={lbl: signals(H,L,C,ES,EF,AT,a,b,step) for lbl,a,b in halves}
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for lbl,_,_ in halves: print(f" {lbl}: {len(SIG[lbl])} Signale")
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variants = [("FIX-Stop 2,0 (kein Trail)", dict(trail_start=99, mult=2.0, trail=False)),
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("Breakeven-only (mult=2,0)", dict(trail_start=_BE, mult=2.0, breakeven=_BE)),
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("LIVE start0,3 mult1,5", dict(trail_start=0.3, mult=1.5)),
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("start0,6 mult1,5", dict(trail_start=0.6, mult=1.5)),
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("start1,0 mult1,5", dict(trail_start=1.0, mult=1.5)),
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("start0,3 mult2,0", dict(trail_start=0.3, mult=2.0)),
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("start1,0 mult2,0", dict(trail_start=1.0, mult=2.0)),
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("start0,3 mult2,5", dict(trail_start=0.3, mult=2.5)),
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("start1,3 mult2,5", dict(trail_start=1.3, mult=2.5))]
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for name,kw in variants:
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print(f"\n{name}")
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for lbl,_,_ in halves:
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Rs=[sim(C[i],d,atr,H,L,C,i+1, **kw) for (i,d,atr) in SIG[lbl]]
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print(f" {lbl} {st(Rs)}")
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if __name__=="__main__":
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main()
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