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
4.6 KiB
Python
105 lines
4.6 KiB
Python
#!/usr/bin/env python3
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"""ATR-Floor-Check (Track B): `trailing._ATR_MIN=0.12` stammt aus einer höheren
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Vola-Phase — real ist ATR(M1/M5) inzwischen oft 0,07–0,12, der Floor bindet also
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staendig und macht SL/Trail-Distanzen ~1,3–1,6x breiter als der echte ATR.
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Misst die echte Phasen-Trailing-Sim (wie backtest_trailing) mit Floor NUR im Exit
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(Signale identisch, raw ATR): floor ∈ {0.00, 0.06, 0.12, 0.25} über 2 Halbjahre.
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Metrik in PREIS-Punkten (ΣPts), damit Floor-Varianten fair vergleichbar sind
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(R-Normierung würde je Variante anders skalieren). Plus Bind-Quote je Hälfte.
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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; _TP_INIT=3.5; _LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2
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_BE=1.3; _TRAIL_START=0.3; _MULT=1.5 # Live-Exit-Parameter (M5)
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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_eff,H,L,C,j0):
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"""Live-Phasen-Trailing mit effektivem (ggf. gefloortem) ATR."""
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sl=entry-d*2.0*atr_eff; tp=entry+d*_TP_INIT*atr_eff
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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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if (lo<=sl) if d>0 else (hi>=sl): return (sl-entry)*d
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if (hi>=tp) if d>0 else (lo<=tp): return (tp-entry)*d
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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<_TRAIL_START*atr_eff else (1 if profit<_LOCK_START*atr_eff 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_eff
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if profit>=_BE*atr_eff:
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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_eff
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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
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def st(v):
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if not v: return "n=0"
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n=len(v); w=sum(1 for x in v if x>0)
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g=sum(x for x in v if x>0); ls=-sum(x for x in v if x<0)
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return (f"n={n:>5} WR={100*w/n:>3.0f}% ØPts={sum(v)/n:+.4f} "
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f"PF={(g/ls if ls>0 else 99):>4.2f} Worst={min(v):+.3f} ΣPts={sum(v):+.1f}")
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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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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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# Signale (raw ATR, identisch für alle Floor-Varianten)
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TH=_REVERSAL_STRETCH
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SIG={}
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for lbl,a,b in halves:
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out=[]
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for i in range(max(a,_N_BARS), 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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es=ES[i]; ef=EF[i]; 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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SIG[lbl]=out
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print("="*96)
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print(f" ATR-Floor im Exit — {sym} M5 ({len(C)} Bars) Live-Exit (SL2 · start0,3 · mult1,5 · BE1,3)")
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print("="*96)
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for lbl,_,_ in halves:
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sig=SIG[lbl]
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bind12=100*sum(1 for _,_,a in sig if a<0.12)/max(1,len(sig))
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bind06=100*sum(1 for _,_,a in sig if a<0.06)/max(1,len(sig))
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print(f"\n{lbl}: {len(sig)} Signale · ATR<0,12 bei {bind12:.0f}% · ATR<0,06 bei {bind06:.0f}%")
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for floor in (0.0, 0.06, 0.12, 0.25):
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v=[sim(C[i],d,max(atr,floor),H,L,C,i+1) for (i,d,atr) in sig]
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tag=" ← LIVE" if floor==0.12 else ""
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print(f" Floor {floor:4.2f} {st(v)}{tag}")
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if __name__=="__main__":
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main()
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