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>
93 lines
4.0 KiB
Python
93 lines
4.0 KiB
Python
#!/usr/bin/env python3
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"""Momentum-Continuation als AUTONOMER Setup-Kandidat (2026-07-17): Einstieg in
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Richtung eines starken, frischen Momentum-Schubs (Kurs ≥ X×ATR über N Bars gelaufen)
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— Trend-Persistenz-Wette, andere Klasse als der Squeeze (Kompression→Ausbruch).
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Sequentielle 1-Positions-Sim (wie live), Exit = SL 2,0×ATR + Trailing 1,5 + BE 1,3.
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Entry = FRISCHER Schub (mom_N kreuzt X, war die N Bars davor drunter → kein Einstieg
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tief in einen ausgelaufenen Move). Kosten = Bar-Spread/ATR. 2 Halbjahre.
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Robustheit über N (6/12/24) × X (1,0/1,5/2,0).
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Automatisieren nur, wenn eine Kombi ØR & PF in BEIDEN Hälften klar positiv hält
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(Maßstab: Squeeze ØR +0,14…+0,23).
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"""
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import sys
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import MetaTrader5 as mt5
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_MAXH = 288; _ATRMIN = 0.12; _COOL = 6
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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)):
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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
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for i in range(len(C))]
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def st(Rs):
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if not Rs: return None
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n = len(Rs); w = sum(1 for x in Rs if x > 0); s = sum(Rs)
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up = sum(x for x in Rs if x > 0); dn = -sum(x for x in Rs if x < 0)
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return dict(n=n, wr=100*w/n, oR=s/n, pf=(up/dn if dn > 0 else 9.99), sum=s)
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def run(H, L, C, A, SP, lo, hi, N, X):
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def cost(i, atr): return (SP[i] if SP[i] > 0 else 0.0225)/atr
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Rs = []; i = max(lo, N+1)
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while i < hi:
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atr = A[i]
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if not atr or atr < _ATRMIN or i-N < 0:
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i += 1; continue
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mom = (C[i]-C[i-N])/atr
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momP = (C[i-1]-C[i-1-N])/atr if i-1-N >= 0 else 0.0
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# frischer Schub: jetzt |mom|≥X, letzten Bar noch drunter
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d = 0
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if mom >= X and momP < X: d = 1
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elif mom <= -X and momP > -X: d = -1
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if d == 0:
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i += 1; continue
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atr = max(atr, _ATRMIN); entry = C[i]
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eff = entry - d*2.0*atr; hw = entry
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end = min(i+_MAXH, len(C)-1); exit_px = C[end]; exit_j = end
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for j in range(i+1, end+1):
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hj, lj = H[j], L[j]
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if (lj <= eff) if d > 0 else (hj >= eff): exit_px = eff; exit_j = j; break
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hw = max(hw, hj) if d > 0 else min(hw, lj)
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prof = (C[j]-entry)*d
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if prof >= 0.3*atr:
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cand = hw - d*1.5*atr
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if prof >= 1.3*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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Rs.append((exit_px-entry)*d/atr - cost(i, atr))
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i = exit_j + _COOL
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return Rs
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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()
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sym = next((c for c in ("SpotCrude", "USOIL", "WTI", "XTIUSD") if mt5.symbol_info(c)), None)
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bars = mt5.copy_rates_from_pos(sym, mt5.TIMEFRAME_M5, 0, n+_MAXH+30)
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point = mt5.symbol_info(sym).point; 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]; SP = [float(b["spread"])*point for b in bars]
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A = _atr_series(H, L, C); N_ = len(C); mid = N_//2
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print("="*84)
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print(f" Momentum-Continuation — {sym} M5 (seq. Sim · Exit SL2/Trail1,5/BE1,3 · Echtkosten)")
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print(f" Entry = frischer Momentum-Schub (mom_N kreuzt ±X×ATR). 2 Halbjahre.")
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print("="*84)
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print(f" {'N/X':>8} | {'H1: n ØR PF':>22} | {'H2: n ØR PF':>22}")
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for N in (6, 12, 24):
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for X in (1.0, 1.5, 2.0):
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s1 = st(run(H, L, C, A, SP, 0, mid, N, X))
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s2 = st(run(H, L, C, A, SP, mid, N_, N, X))
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def f(s): return f"{s['n']:>4} {s['oR']:+.3f} {s['pf']:>5.2f}" if s else " – "
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ok = "OK" if (s1 and s2 and s1['oR'] > 0 and s2['oR'] > 0
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and s1['pf'] > 1 and s2['pf'] > 1) else ""
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print(f" N={N:>2} X={X:.1f} | {f(s1):>22} | {f(s2):>22} {ok}")
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print(f"\n Automatisieren nur bei ØR>0 & PF>1 in BEIDEN Hälften (Squeeze-Maßstab +0,14…+0,23).")
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if __name__ == "__main__":
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main()
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