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>
103 lines
4.6 KiB
Python
103 lines
4.6 KiB
Python
#!/usr/bin/env python3
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"""Time-Stop-Messung (Track B, Exit-Hebel): Trade nach N Bars schließen, wenn er
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bis dahin keinen Fortschritt gemacht hat (profit < thr×ATR) — Whipsaw-Opfer im Chop
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früh raus, statt bis SL/Trailing zu bluten. Varianten N ∈ {6,12,24,48} M5-Bars ×
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thr ∈ {0.0, 0.3}, gegen die Live-Exit-Baseline (SL 2×ATR + Trailing + BE), über
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2 History-Hälften. Einbauen nur, wenn eine Variante in BEIDEN Hälften besser ist.
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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; _ATRMIN=0.12; _SL_ATR=2.0; _TRAILON=0.3; _MULT=1.5; _BE=1.3
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_LOCK_START=3.5; _LOCK_SCALE=0.6; _LOCK_MIN=1.2; _TP_INIT=3.5
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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,H,L,C,j0, ts_n=None, ts_thr=0.0):
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"""Live-Phasen-Exit + optionaler Time-Stop bei Bar j0+ts_n (kein Fortschritt)."""
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sl=entry-d*_SL_ATR*atr; tp=entry+d*_TP_INIT*atr
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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/atr
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if (hi>=tp) if d>0 else (lo<=tp): return (tp-entry)*d/atr
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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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if ts_n is not None and j-j0>=ts_n and profit<ts_thr*atr:
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return (C[j]-entry)*d/atr # Time-Stop: kein Fortschritt → raus
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ph=0 if profit<_TRAILON*atr else (1 if profit<_LOCK_START*atr 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
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if profit>=_BE*atr:
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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
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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/atr
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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"WR={100*w/n:>3.0f}% Ø-R={sum(v)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} "
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f"Worst={min(v):+.2f} ΣR={sum(v):+.0f}")
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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; TH=_REVERSAL_STRETCH
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SIG={}
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for lbl,a,b in (("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))):
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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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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
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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("="*94)
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print(f" Time-Stop — {sym} M5 ({len(C)} Bars) Exit ohne Fortschritt nach N Bars schließen")
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print("="*94)
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for lbl in SIG:
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print(f"\n{lbl} ({len(SIG[lbl])} Signale):")
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base=[sim(C[i],d,atr,H,L,C,i+1) for (i,d,atr) in SIG[lbl]]
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print(f" Baseline (Live-Exit) {st(base)}")
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for N in (6,12,24,48):
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for thr in (0.0,0.3):
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v=[sim(C[i],d,atr,H,L,C,i+1,ts_n=N,ts_thr=thr) for (i,d,atr) in SIG[lbl]]
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print(f" N={N:>2} thr={thr:.1f}×ATR {st(v)}")
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print("\n Einbauen nur, wenn eine Variante in BEIDEN Hälften ΣR UND Worst verbessert.")
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if __name__=="__main__":
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main()
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