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
4.0 KiB
Python
89 lines
4.0 KiB
Python
#!/usr/bin/env python3
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"""Macht das Dead-Hour-Gate (11-14 Berlin) Sinn? Stunde-für-Stunde die realisierte
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R dessen, was der Bot REAL handeln würde: Reversal (überdehnt+Winkel) sonst Trend
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(EMA-Richtung, nicht überdehnt). Exit-Sim SL 2×ATR + Trailing. Netto = Ø-R − Kosten
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(~0,1×ATR). Wenn 11-14 klar negativ/schlechtester Block → Gate berechtigt; wenn nur
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mild schwächer & netto positiv → Gate wirft Gewinn weg.
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"""
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import sys, datetime as dt
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from zoneinfo import ZoneInfo
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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, _DEAD_HOURS)
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_MAXH=240; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0; _COST=0.10
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_BROKER_OFF=3*3600; _BERLIN=ZoneInfo("Europe/Berlin")
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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 simulate(entry,d,atr,sl,H,L,C,j0):
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eff=sl; hw=entry; trail=False
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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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hi,lo=H[j],L[j]
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if (lo<=eff) if d>0 else (hi>=eff): return (eff-entry)*d/atr
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hw=max(hw,hi) if d>0 else min(hw,lo)
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if (C[j]-entry)*d>=_TRAILON*atr: trail=True
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if trail:
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lock=hw-d*_TPTRAIL*atr
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eff=max(eff,lock) if d>0 else min(eff,lock)
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return (exit_px-entry)*d/atr
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def berlin_hour(raw):
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return dt.datetime.fromtimestamp(int(raw)-_BROKER_OFF, tz=dt.timezone.utc).astimezone(_BERLIN).hour
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 40000
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TH=_REVERSAL_STRETCH
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mt5.initialize()
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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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bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,n+_N_BARS+_MAXH+5)
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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]; T=[int(b["time"]) 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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by={h:[] for h in range(24)}
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for i in range(_N_BARS, 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 # Reversal-LONG
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elif stretch>=TH and ad<=-_ANGLE_DEAD: d=-1 # Reversal-SHORT
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elif abs(stretch)<_STRETCH_MAX: d = 1 if ef>es else -1 if ef<es else 0 # Trend
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if not d: continue
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R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
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by[berlin_hour(T[i])].append(R)
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print("="*78)
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print(f" Realisierte R je Berlin-Stunde — {sym} M5 (Trend+Reversal, Exit SL2+Trail)")
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print(f" Netto = Ø-R − Kosten {_COST}×ATR. Dead-Hours aktuell = {_DEAD_HOURS}")
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print("="*78)
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print(f" {'Std':>3} {'n':>6} {'WR':>4} {'Ø-R':>7} {'netto':>7} {'ΣR':>7} Bar")
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allnet=0
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for h in range(24):
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v=by[h]
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if not v: continue
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wr=100*sum(1 for r in v if r>0)/len(v); avg=sum(v)/len(v); net=avg-_COST
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allnet+=net*len(v)
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mark=" « DEAD" if h in _DEAD_HOURS else ""
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bar=('+'*int(net*60)) if net>0 else ('-'*int(-net*60))
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print(f" {h:>3} {len(v):>6} {wr:>3.0f}% {avg:>+7.3f} {net:>+7.3f} {sum(v):>+7.0f} {bar}{mark}")
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dead=[r for h in _DEAD_HOURS for r in by[h]]
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ok=[r for h in range(24) if h not in _DEAD_HOURS for r in by[h]]
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def s(v):
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return f"n={len(v)} Ø-R={sum(v)/len(v):+.3f} netto={sum(v)/len(v)-_COST:+.3f} ΣR={sum(v):+.0f}"
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print(f"\n DEAD (11-14): {s(dead)}")
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print(f" Rest : {s(ok)}")
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if __name__=="__main__":
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main()
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