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>
95 lines
4.2 KiB
Python
95 lines
4.2 KiB
Python
#!/usr/bin/env python3
|
||
"""ER-Chop-Gate testen (Track B): Signal → WARTEN, wenn Efficiency Ratio der letzten
|
||
N Bars < X (choppy). Frage: haben die Chop-Signale (niedrige ER) wirklich schlechteren
|
||
Edge als die Trend-Signale (hohe ER)? Über 2 Zeiträume. Exit-Sim SL 2×ATR + Trailing.
|
||
Validiert nur, wenn in BEIDEN Hälften: behaltene (ER≥X) besser als alle, verworfene
|
||
(ER<X) klar schlechter — sonst schneidet der Gate nur Trades weg ohne Edge-Gewinn.
|
||
"""
|
||
import sys
|
||
import MetaTrader5 as mt5
|
||
from core.analysis import calc_trend_angle
|
||
from core.wave_rec import (_EMA_FAST, _EMA_SLOW, _N_BARS, _ANGLE_LR, _ANGLE_DEAD,
|
||
_REVERSAL_STRETCH, _STRETCH_MAX)
|
||
_MAXH=200; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0
|
||
|
||
def _ema_series(v,p):
|
||
k=2.0/(p+1); o=[]; e=v[0]
|
||
for i,x in enumerate(v): e=x if i==0 else x*k+e*(1-k); o.append(e)
|
||
return o
|
||
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 simulate(entry,d,atr,sl,H,L,C,j0):
|
||
eff=sl; hw=entry; trail=False
|
||
end=min(j0+_MAXH,len(C)-1); exit_px=C[end]
|
||
for j in range(j0,end+1):
|
||
hi,lo=H[j],L[j]
|
||
if (lo<=eff) if d>0 else (hi>=eff): return (eff-entry)*d/atr
|
||
hw=max(hw,hi) if d>0 else min(hw,lo)
|
||
if (C[j]-entry)*d>=_TRAILON*atr: trail=True
|
||
if trail:
|
||
lock=hw-d*_TPTRAIL*atr
|
||
eff=max(eff,lock) if d>0 else min(eff,lock)
|
||
return (exit_px-entry)*d/atr
|
||
def st(Rs):
|
||
if not Rs: return "n=0"
|
||
n=len(Rs); w=sum(1 for r in Rs if r>0)
|
||
g=sum(r for r in Rs if r>0); ls=-sum(r for r in Rs if r<0)
|
||
return f"n={n:>5} WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={(g/ls if ls>0 else 99):>4.2f} ΣR={sum(Rs):+.0f}"
|
||
|
||
def er_at(C,i,N):
|
||
if i-N<0: return None
|
||
net=abs(C[i]-C[i-N]); path=sum(abs(C[j]-C[j-1]) for j in range(i-N+1,i+1))
|
||
return net/path if path>0 else 0.0
|
||
|
||
def collect(H,L,C,ES,EF,AT,lo,hi,N):
|
||
TH=_REVERSAL_STRETCH; out=[]
|
||
for i in range(max(lo,_N_BARS,N+2), min(hi,len(C)-_MAXH-1)):
|
||
atr=AT[i]
|
||
if not atr or atr<=0: continue
|
||
atr=max(atr,_ATRMIN); es=ES[i]; ef=EF[i]
|
||
stretch=(C[i]-es)/atr
|
||
ang=calc_trend_angle(C[i-_ANGLE_LR-2:i],_ANGLE_LR); ad=ang-90.0
|
||
d=0
|
||
if stretch<=-TH and ad>=_ANGLE_DEAD: d=1
|
||
elif stretch>=TH and ad<=-_ANGLE_DEAD: d=-1
|
||
elif abs(stretch)<_STRETCH_MAX: d=1 if ef>es else -1 if ef<es else 0
|
||
if not d: continue
|
||
R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
|
||
out.append((er_at(C,i,N), R))
|
||
return out
|
||
|
||
def main():
|
||
n=int(sys.argv[1]) if len(sys.argv)>1 else 80000
|
||
N=int(sys.argv[2]) if len(sys.argv)>2 else 20 # ER-Lookback in Bars
|
||
mt5.initialize(); sym=None
|
||
for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
|
||
if mt5.symbol_info(c): sym=c; break
|
||
bars=None
|
||
for req in (n,100000,80000,60000,40000):
|
||
bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,req)
|
||
if bars is not None and len(bars)>2000: break
|
||
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]
|
||
EF=_ema_series(C,_EMA_FAST); ES=_ema_series(C,_EMA_SLOW); AT=_atr_series(H,L,C)
|
||
mid=len(C)//2
|
||
halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
|
||
print("="*90)
|
||
print(f" ER-Chop-Gate — {sym} M5 ({len(C)} Bars) ER-Lookback N={N} Bars Exit SL2+Trail")
|
||
print("="*90)
|
||
EV={lbl: collect(H,L,C,ES,EF,AT,a,b,N) for lbl,a,b in halves}
|
||
for lbl,_,_ in halves:
|
||
base=[R for _,R in EV[lbl]]
|
||
print(f"\n{lbl}: BASELINE (alle Signale) {st(base)}")
|
||
for X in (0.15,0.20,0.25,0.30):
|
||
keep=[R for er,R in EV[lbl] if er is not None and er>=X]
|
||
drop=[R for er,R in EV[lbl] if er is not None and er< X]
|
||
print(f" ER≥{X:.2f} behalten {st(keep)}")
|
||
print(f" ER<{X:.2f} verworfen {st(drop)}")
|
||
print("\n Gate lohnt NUR, wenn 'verworfen' in BEIDEN Hälften deutlich schlechteres")
|
||
print(" Ø-R hat als 'behalten' — sonst schneidet er nur Volumen ohne Edge-Gewinn.")
|
||
|
||
if __name__=="__main__":
|
||
main()
|