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>
89 lines
3.7 KiB
Python
89 lines
3.7 KiB
Python
#!/usr/bin/env python3
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"""Reversal-Setups mit ECHTER Exit-Simulation (SL 2,0×ATR, Breakeven 1,3,
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Trailing HW∓1,5×ATR) — zeigt, ob der antizyklische Einstieg den Gegenlauf vor
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der Wende überlebt oder vorher ausgestoppt wird. Vergleich zum normalen Signal.
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"""
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from __future__ import annotations
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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 (WaveRecommender, _atr, _ema_last, _EMA_FAST, _EMA_SLOW,
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_N_BARS, _STRETCH_MAX, _HTF_DEADBAND, _ANGLE_DEAD)
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from backtest_exit import simulate, _ATR_MIN, _MAXH, _ema_series, _atr_series
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_LR = 14
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class _NeutralTU:
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def snapshot(self): return {"intervals": {}}
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def _metrics(name, Rs):
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if not Rs: print(f" {name:<24} -"); return
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n=len(Rs); win=sum(1 for r in Rs if r>0)
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g=sum(r for r in Rs if r>0); l=-sum(r for r in Rs if r<0)
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pf=g/l if l>0 else 9.99
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print(f" {name:<24} n={n:>4} Treffer={100*win/n:>3.0f}% Oe-R={sum(Rs)/n:+.3f} "
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f"Summe={sum(Rs):+.1f} PF={pf:.2f} Worst={min(Rs):+.2f}")
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 12000
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if not mt5.initialize(): print("init",mt5.last_error()); sys.exit(1)
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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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sym=sym or "SpotCrude"
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bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,n+_N_BARS+_MAXH+5)
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m30b=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M30,0,n//6+400)
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mt5.shutdown()
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if bars is None: print("Bars fehlen"); sys.exit(1)
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T=[int(b["time"]) for b in bars]; H=[float(b["high"]) for b in bars]
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L=[float(b["low"]) for b in bars]; C=[float(b["close"]) for b in bars]
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mT=[int(b["time"]) for b in m30b]; mc=[float(b["close"]) for b in m30b]
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mh=[float(b["high"]) for b in m30b]; ml=[float(b["low"]) for b in m30b]
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mEf=_ema_series(mc,_EMA_FAST); mEs=_ema_series(mc,_EMA_SLOW); mATR=_atr_series(mh,ml,mc)
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def m30s(ts):
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lo,hi,idx=0,len(mT)-1,-1
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while lo<=hi:
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md=(lo+hi)//2
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if mT[md]<=ts: idx=md; lo=md+1
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else: hi=md-1
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if idx<_EMA_SLOW or mATR[idx] is None or mATR[idx]<=0: return 0
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dd=mEf[idx]-mEs[idx]
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return 0 if abs(dd)<_HTF_DEADBAND*mATR[idx] else (1 if dd>0 else -1)
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w=WaveRecommender(_NeutralTU(),mt5.TIMEFRAME_M5)
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rev=[]; rev_long=[]; rev_short=[]; trend=[]
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for i in range(_N_BARS, len(C)-_MAXH-1):
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wc=C[i-_N_BARS:i]; wh=H[i-_N_BARS:i]; wl=L[i-_N_BARS:i]
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atr=_atr(wh,wl,wc)
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if not atr or atr<=0: continue
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ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
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stretch=(C[i-1]-es)/atr; ang=calc_trend_angle(C[i-_LR-2:i], _LR); ad=ang-90.0
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a=max(atr,_ATR_MIN)
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# Reversal?
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d=0
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if stretch<=-_STRETCH_MAX and ad>=_ANGLE_DEAD: d=1
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elif stretch>=_STRETCH_MAX and ad<=-_ANGLE_DEAD: d=-1
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if d!=0:
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R,_=simulate(C[i], d, a, 2.0, H, L, C, i+1, be=1.3)
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rev.append(R); (rev_long if d>0 else rev_short).append(R)
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continue
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# normales Trendsignal (mit M30-Filter) zum Vergleich
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rec,_=w._build(ef,es,C[i-1],atr,"M5",5,htf_trend=m30s(T[i]))
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if rec["signal"]!="WARTEN":
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dd=1 if rec["signal"]=="LONG" else -1
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R,_=simulate(C[i], dd, a, 2.0, H, L, C, i+1, be=1.3)
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trend.append(R)
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print("="*72)
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print(f" Reversal mit ECHTER Exit-Simulation — {sym} M5 (SL 2,0 · BE 1,3 · Trail)")
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print("="*72)
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_metrics("Reversal gesamt", rev)
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_metrics(" Reversal LONG", rev_long)
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_metrics(" Reversal SHORT", rev_short)
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_metrics("Normales Trendsignal", trend)
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print("\n Oe-R = Ø/Trade in ATR · Worst = größter Einzelverlust (Gegenlauf/SL)")
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if __name__=="__main__":
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main()
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