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>
109 lines
4.9 KiB
Python
109 lines
4.9 KiB
Python
#!/usr/bin/env python3
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"""Gezielter Test: Konfidenz-STRAFE wenn der M30/H1-Regressionswinkel scharf GEGEN
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die Signalrichtung steht (= Markt dreht, aber EMA lagt → falsche 'Konfluenz').
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Borderline-Signale fallen dann unter das 55%-Gate (→WARTEN). Kein Pauschal-Filter.
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Frage: Sind die so ENTFERNTEN Signale netto negativ (gut weg) und bleibt der
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Gesamtertrag der behaltenen ≥ Baseline? Exit-Sim = SL 2,0×ATR + Trailing 1,5 (live).
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"""
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import sys, bisect
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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 (WaveRecommender, _atr, _ema_last, _EMA_FAST, _EMA_SLOW,
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_N_BARS, _HTF_DEADBAND, _ANGLE_LR, _MIN_CONF)
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_MAXH=288; _ATRMIN=0.12
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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, sl_atr=2.0, trail=1.5, trail_on=0.3, be_on=1.0):
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eff=entry-d*sl_atr*atr; hw=entry
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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): exit_px=eff; break
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hw=max(hw,hi) if d>0 else min(hw,lo)
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prof=(C[j]-entry)*d
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if prof>=trail_on*atr:
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cand=hw-d*trail*atr
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if prof>=be_on*atr: cand=max(cand,entry) if d>0 else min(cand,entry)
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eff=max(eff,cand) if d>0 else min(eff,cand)
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return (exit_px-entry)*d/atr
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def srep(name,r):
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if not r: print(f" {name:<34} -"); return
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n=len(r); w=sum(1 for x in r if x>0)
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print(f" {name:<34} n={n:>5} Treffer={100*w/n:>3.0f}% ØR={sum(r)/n:+.3f} ΣR={sum(r):+.0f}")
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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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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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m30=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M30,0,n//6+500)
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h1=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_H1,0,n//12+500)
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mt5.shutdown()
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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 m30]; mc=[float(b["close"]) for b in m30]
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mh=[float(b["high"]) for b in m30]; ml=[float(b["low"]) for b in m30]
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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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hT=[int(b["time"]) for b in h1]; hc=[float(b["close"]) for b in h1]
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def m30sign(ts):
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idx=bisect.bisect_right(mT,ts)-1
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if idx<_EMA_SLOW or mA[idx] is None or mA[idx]<=0: return 0
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dd=mEf[idx]-mEs[idx]
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return 0 if abs(dd)<_HTF_DEADBAND*mA[idx] else (1 if dd>0 else -1)
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def ang_at(ts,TT,CC):
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idx=bisect.bisect_right(TT,ts)-1
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if idx<_ANGLE_LR+2: return 90.0
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return calc_trend_angle(CC[idx-_ANGLE_LR-1:idx+1],_ANGLE_LR)
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class _TU:
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def snapshot(self): return {"intervals": {}}
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w=WaveRecommender(_TU(), mt5.TIMEFRAME_M5)
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sigs=[] # (i,d,atr,conf,R,m30dev,h1dev)
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for i in range(_N_BARS, len(C)-_MAXH-1):
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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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ef=_ema_last(wc,_EMA_FAST); es=_ema_last(wc,_EMA_SLOW)
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a5=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR)
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rec,_=w._build(ef,es,C[i-1],atr,"M5",0,htf_trend=m30sign(T[i]),
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h1_trend=0,angle=a5)
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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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atr=max(atr,_ATRMIN)
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R=sim(C[i],d,atr,H,L,C,i+1)
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sigs.append((d,rec["conf_pct"],R,ang_at(T[i],mT,mc)-90.0,ang_at(T[i],hT,hc)-90.0))
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base=[R for (_,_,R,_,_) in sigs]
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print("="*80)
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print(f" Konfluenz-Winkel-Strafe — {sym} M5 Signale={len(sigs)} Exit SL2.0+Trail1.5")
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print("="*80)
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srep("BASELINE (alle Signale)", base)
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print(" (Strafe greift, wenn M30- ODER H1-Winkel um >T gegen die Richtung steht)\n")
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for T_ in (10, 20, 40):
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def opp(d,m,h): return ((d<0 and (m>T_ or h>T_)) or (d>0 and (m<-T_ or h<-T_)))
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for P in (15, 25):
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kept=[]; removed=[]
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for (d,conf,R,m,h) in sigs:
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if opp(d,m,h) and (conf - P) < _MIN_CONF:
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removed.append(R)
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else:
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kept.append(R)
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print(f"T={T_}° Strafe={P}:")
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srep(" entfernt (→WARTEN)", removed)
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srep(" behalten (gehandelt)", kept)
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db=sum(kept)-sum(base)
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print(f" Δ Gesamtertrag vs Baseline: {db:+.0f} R ({'BESSER' if db>0 else 'schlechter'})"
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f" · behalten {len(kept)}/{len(sigs)}\n")
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if __name__=="__main__":
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main()
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