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>
100 lines
4.2 KiB
Python
100 lines
4.2 KiB
Python
#!/usr/bin/env python3
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"""Misst, ob ein Lockern der Überdehnungs-Grenze (_STRETCH_MAX) mehr Signale
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mit weiterhin positivem Edge bringt. Live-Konfig M5 + M30-Filter.
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Trick: _STRETCH_MAX hoch setzen (alle Trend-Signale zulassen), dann den Edge je
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Abstand-zur-EMA-Band (near = stretch in Trade-Richtung) bucketen. So sieht man,
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welche Trades ein höheres Limit ZUSÄTZLICH zuließe und ob sie tragen.
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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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import core.wave_rec as wr
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from core.wave_rec import (WaveRecommender, _atr, _ema_last,
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_EMA_FAST, _EMA_SLOW, _N_BARS, _HTF_DEADBAND)
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class _NeutralTU:
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def snapshot(self): return {"intervals": {}}
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def _ema_series(vals,p):
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k=2.0/(p+1); out=[]; e=vals[0]
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for i,v in enumerate(vals):
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e=v if i==0 else v*k+e*(1-k); out.append(e)
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return out
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def _atr_series(H,L,C,p=14):
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trs=[0.0]
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for i in range(1,len(C)):
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trs.append(max(H[i]-L[i],abs(H[i]-C[i-1]),abs(L[i]-C[i-1])))
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return [(sum(trs[max(1,i-p+1):i+1])/max(1,len(trs[max(1,i-p+1):i+1]))) if i else None for i in range(len(C))]
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def _rep(name, rets):
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if not rets: print(f" {name:<18} -"); return
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n=len(rets); win=sum(1 for x in rets if x>0)
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print(f" {name:<18} n={n:>4} Treffer={100*win/n:>3.0f}% Oe-Edge={sum(rets)/n:+.4f}")
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def main():
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n=int(sys.argv[1]) if len(sys.argv)>1 else 8000
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K=10
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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+K+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 or m30b 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); mA=_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 mA[idx] is None or mA[idx]<=0: return 0
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d=mEf[idx]-mEs[idx]
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return 0 if abs(d)<_HTF_DEADBAND*mA[idx] else (1 if d>0 else -1)
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wr._STRETCH_MAX = 999.0 # alle Trend-Signale zulassen
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w=WaveRecommender(_NeutralTU(),mt5.TIMEFRAME_M5)
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bands={"<2,5 (jetzt)":[], "2,5-3,0":[], "3,0-3,5":[], ">=3,5":[]}
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total_bars=0
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for i in range(_N_BARS,len(C)-K):
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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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total_bars+=1
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ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
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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": continue
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d=1 if rec["signal"]=="LONG" else -1
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r=(C[i+K]-C[i])*d
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near=(C[i-1]-es)/atr*d
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if near<2.5: bands["<2,5 (jetzt)"].append(r)
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elif near<3.0: bands["2,5-3,0"].append(r)
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elif near<3.5: bands["3,0-3,5"].append(r)
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else: bands[">=3,5"].append(r)
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print("="*56); print(f" Überdehnungs-Test — {sym} M5+M30 Vorlauf={K}"); print("="*56)
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print("Edge je Abstand-Band (near = ATR-Abstand in Trade-Richtung):")
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for k in ("<2,5 (jetzt)","2,5-3,0","3,0-3,5",">=3,5"): _rep(k,bands[k])
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def cum(maxv):
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rr=[]
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for k,lim in (("<2,5 (jetzt)",2.5),("2,5-3,0",3.0),("3,0-3,5",3.5),(">=3,5",99)):
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if lim<=maxv+1e-9: rr+=bands[k]
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return rr
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print("\nKumuliert je _STRETCH_MAX (Signal-Anteil aller Bars + Gesamt-Edge):")
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for label,mx in (("2,5 (jetzt)",2.5),("3,0",3.0),("3,5",3.5),("aus",99)):
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rr=cum(mx); share=100*len(rr)/total_bars
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win=sum(1 for x in rr if x>0)
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print(f" MAX={label:<10} Signale={len(rr):>4} ({share:>4.1f}% der Bars) "
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f"Treffer={100*win/len(rr):>3.0f}% Oe-Edge={sum(rr)/len(rr):+.4f}")
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if __name__=="__main__":
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main()
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