AH-Oil-Trader/backtest_doubletop.py

#!/usr/bin/env python3
"""Doppeltop / Doppelboden als SIGNAL — Backtest (2026-07-20, User-Idee „Muster-
erkennung"). Das am saubersten mechanisch definierbare Umkehrmuster; nutzt die
bestehende Pivot-Erkennung aus `structure.py` (kausal, Bar für Bar → Signal == was
die Anzeige sehen würde).

Definition:
  Doppeltop (→ SHORT): die letzten zwei Swing-HOCHS ~gleich hoch (|h1−h2| ≤ tol×ATR),
    dazwischen ein Tal (Nackenlinie) mind. `depth`×ATR tiefer; Einstieg wenn der Kurs
    FRISCH unter die Nackenlinie bricht (C[i] < neck ≤ C[i−1]).
  Doppelboden (→ LONG): symmetrisch (zwei ~gleiche Tiefs, Bruch über die Nackenlinie).
  Muster verfällt, wenn der Bruch nicht binnen `stale` Bars nach dem 2. Swing kommt.

Sequentielle 1-Positions-Sim, Live-Exit (SL 2,0×ATR + Trailing 1,5 + BE 1,3),
Echtkosten = Bar-Spread/ATR. M30, 2 Halbjahre. Maßstab: Squeeze ØR +0,14…+0,23 &
PF>1 in BEIDEN Hälften. Verdict = beidhälftig robust über die Toleranz-Varianten.
"""
import sys
import MetaTrader5 as mt5
from core.structure import _pivots

_MAXH = 96; _ATRMIN = 0.06; _COOL = 3; _LOOK = 300; _STALE = 40; _DEPTH = 0.5


def _atr_series(H, L, C, p=14):
    t = [0.0]
    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])))
    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))]


def st(Rs):
    if not Rs: return None
    n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
    up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
    return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)


def line(lbl, s):
    if not s: return f"    {lbl:<26} —  (keine Trades)"
    return (f"    {lbl:<26} n={s['n']:>4} WR={s['wr']:>3.0f}% ØR={s['oR']:+.3f} "
            f"PF={s['pf']:>4.2f} ΣR={s['sum']:>+6.0f}")


def sim(entry, d, atr, H, L, C, j0):
    eff = entry - d*2.0*atr; hw = entry
    end = min(j0+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
    for j in range(j0, end+1):
        hj, lj = H[j], L[j]
        if (lj <= eff) if d > 0 else (hj >= eff):
            return (eff-entry)*d/atr, j
        hw = max(hw, hj) if d > 0 else min(hw, lj)
        prof = (C[j]-entry)*d
        if prof >= 0.3*atr:
            cand = hw - d*1.5*atr
            if prof >= 1.3*atr: cand = max(cand, entry) if d > 0 else min(cand, entry)
            eff = max(eff, cand) if d > 0 else min(eff, cand)
    return (exit_px-entry)*d/atr, exit_j


def _neckline(pivots, i, atr, tol, want_top):
    """Prüft, ob am Bar i ein Doppeltop (want_top) bzw. -boden fertig ist.
    Gibt (True, neckline) zurück, wenn die letzten 2 gleichseitigen Pivots das
    Muster bilden. KEIN Bruch-Check hier — nur die Formation."""
    kind = "H" if want_top else "L"
    same = [p for p in pivots if p[2] == kind]
    opp  = [p for p in pivots if p[2] != kind]
    if len(same) < 2:
        return False, None
    p1, p2 = same[-2], same[-1]
    mids = [q for q in opp if p1[0] < q[0] < p2[0]]
    if not mids:
        return False, None
    # Nackenlinie = Extrem zwischen den beiden gleichseitigen Pivots
    neck = (min(mids, key=lambda q: q[1]) if want_top else max(mids, key=lambda q: q[1]))
    if abs(p1[1] - p2[1]) > tol * atr:                 # Schultern ~gleich hoch?
        return False, None
    depth = (min(p1[1], p2[1]) - neck[1]) if want_top else (neck[1] - max(p1[1], p2[1]))
    if depth < _DEPTH * atr:                            # echtes Tal/Berg dazwischen?
        return False, None
    if i - p2[0] > _STALE:                              # zu alt → verfallen
        return False, None
    return True, neck[1]


def run(H, L, C, A, SP, lo, hi, tol):
    def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
    Rs = []; i = max(lo, _LOOK)
    while i < hi:
        atr = A[i]
        if not atr or atr < _ATRMIN:
            i += 1; continue
        piv = _pivots(H[max(0, i-_LOOK):i+1], L[max(0, i-_LOOK):i+1], 3)
        # Index-Offset korrigieren (piv-Indizes sind fensterrelativ)
        off = max(0, i-_LOOK)
        piv = [(idx+off, pr, k) for (idx, pr, k) in piv]
        d = 0; neck = None
        ok_t, neck_t = _neckline(piv, i, atr, tol, True)
        if ok_t and C[i] < neck_t <= C[i-1]:           # frischer Bruch UNTER Nackenlinie
            d = -1
        else:
            ok_b, neck_b = _neckline(piv, i, atr, tol, False)
            if ok_b and C[i] > neck_b >= C[i-1]:       # frischer Bruch ÜBER Nackenlinie
                d = 1
        if d == 0:
            i += 1; continue
        r, xj = sim(C[i], d, max(atr, _ATRMIN), H, L, C, i+1)
        Rs.append(r - cost(i, max(atr, _ATRMIN)))
        i = xj + _COOL
    return Rs


def main():
    n = int(sys.argv[1]) if len(sys.argv) > 1 else 60000
    mt5.initialize()
    sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
    bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M30, 0, n)
    point = mt5.symbol_info(sym).point; mt5.shutdown()
    H = [float(b["high"]) for b in bars]; L = [float(b["low"]) for b in bars]
    C = [float(b["close"]) for b in bars]; SP = [float(b["spread"])*point for b in bars]
    A = _atr_series(H, L, C); N = len(C); mid = N//2

    print("="*90)
    print(f"  Doppeltop/-boden als SIGNAL — {sym} M30 ({N} Bars, seq. Sim, Live-Exit, Echtkosten)")
    print(f"  Einstieg = Nackenlinien-Bruch. Maßstab: Squeeze ØR +0,14…+0,23 & PF>1 BEIDE Hälften.")
    print("="*90)
    for tol in (0.3, 0.6, 1.0):
        s1 = st(run(H, L, C, A, SP, 0, mid, tol))
        s2 = st(run(H, L, C, A, SP, mid, N-_MAXH-1, tol))
        print(f"\n  Schulter-Toleranz {tol}×ATR:")
        print(line("H1 (alt)", s1))
        print(line("H2 (neu)", s2))
        ok = (s1 and s2 and s1['oR'] > 0 and s2['oR'] > 0 and s1['pf'] > 1 and s2['pf'] > 1)
        print(f"    → {'ROBUST (beide Hälften positiv)' if ok else 'fällt durch'}")
    print()


if __name__ == "__main__":
    main()