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>
114 lines
5.0 KiB
Python
114 lines
5.0 KiB
Python
#!/usr/bin/env python3
|
||
"""Verifiziert Gate-Option A ('nur 12+16 blocken' statt '11-14') auf ZWEI unabhängigen
|
||
Zeiträumen (History-Hälften). Prüft: (1) sind Std 12 & 16 in BEIDEN Hälften negativ,
|
||
Std 13 nicht? (Sign-Stabilität = kein Overfitting). (2) schlägt Gate A das aktuelle
|
||
Gate (11-14) und Kein-Gate im Gesamt-Netto-R — in BEIDEN Hälften?
|
||
"""
|
||
import sys, datetime as dt
|
||
from zoneinfo import ZoneInfo
|
||
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=240; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0; _COST=0.10
|
||
_BROKER_OFF=3*3600; _BERLIN=ZoneInfo("Europe/Berlin")
|
||
GATE_CUR={11,12,13,14}; GATE_A={12,16}
|
||
|
||
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 bhour(raw):
|
||
return dt.datetime.fromtimestamp(int(raw)-_BROKER_OFF, tz=dt.timezone.utc).astimezone(_BERLIN).hour
|
||
|
||
def collect(H,L,C,T,EF,ES,AT,lo,hi):
|
||
"""→ Liste (berlin_hour, R) für Bars in [lo,hi)."""
|
||
TH=_REVERSAL_STRETCH; out=[]
|
||
for i in range(max(lo,_N_BARS), 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
|
||
out.append((bhour(T[i]), simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)))
|
||
return out
|
||
|
||
def policy(ev, blocked):
|
||
kept=[r for h,r in ev if h not in blocked]
|
||
net=sum(r-_COST for r in kept)
|
||
return len(kept), net, (net/len(kept) if kept else 0)
|
||
|
||
def main():
|
||
n=int(sys.argv[1]) if len(sys.argv)>1 else 120000
|
||
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)>1000: break
|
||
mt5.shutdown()
|
||
if bars is None: print("Keine Bars von MT5."); return
|
||
print(f" {len(bars)} M5-Bars geladen.")
|
||
H=[float(b["high"]) for b in bars]; L=[float(b["low"]) for b in bars]
|
||
C=[float(b["close"]) for b in bars]; T=[int(b["time"]) 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
|
||
def span(a,b): return f"{dt.datetime.utcfromtimestamp(T[a]-_BROKER_OFF):%d.%m.%y}–{dt.datetime.utcfromtimestamp(T[b-1]-_BROKER_OFF):%d.%m.%y}"
|
||
halves=[("H1 (alt)",_N_BARS,mid),("H2 (neu)",mid,len(C))]
|
||
print("="*82)
|
||
print(f" Gate-A-Verifikation auf 2 Zeiträumen — {sym} M5 (netto = Ø-R − {_COST})")
|
||
print("="*82)
|
||
EV={}
|
||
for lbl,a,b in halves:
|
||
EV[lbl]=collect(H,L,C,T,EF,ES,AT,a,b)
|
||
print(f" {lbl}: {span(a,b)} ({len(EV[lbl])} Signale)")
|
||
# (1) Sign-Stabilität der Schlüsselstunden
|
||
print("\n(1) Netto-R je Stunde — sind 12 & 16 in BEIDEN negativ, 13 nicht?")
|
||
print(f" {'Std':>3} " + "".join(f"{lbl:>16}" for lbl,_,_ in halves))
|
||
for h in (11,12,13,14,15,16,17):
|
||
cells=""
|
||
for lbl,_,_ in halves:
|
||
v=[r for hh,r in EV[lbl] if hh==h]
|
||
cells+=f"{(sum(v)/len(v)-_COST):>+10.3f}(n{len(v)})" if v else f"{'-':>16}"
|
||
flag=""
|
||
if h in GATE_A: flag=" ← blocken(A)"
|
||
if h==13: flag=" ← behalten?"
|
||
print(f" {h:>3} {cells}{flag}")
|
||
# (2) Politik-Vergleich je Hälfte
|
||
print("\n(2) Gesamt-Netto-R je Gate-Politik (höher = besser), je Hälfte:")
|
||
print(f" {'Politik':<16}" + "".join(f"{lbl:>20}" for lbl,_,_ in halves))
|
||
for name,blk in (("Kein Gate",set()),("Aktuell 11-14",GATE_CUR),("A: 12+16",GATE_A)):
|
||
cells=""
|
||
for lbl,_,_ in halves:
|
||
k,net,avg=policy(EV[lbl],blk)
|
||
cells+=f" ΣR{net:>+7.0f} (n{k},Ø{avg:+.3f})"
|
||
print(f" {name:<16}{cells}")
|
||
print("\n Gate A validiert NUR, wenn es in BEIDEN Hälften ΣR > 'Aktuell 11-14' liefert")
|
||
print(" UND 12+16 in beiden negativ, 13 in beiden nicht-negativ sind.")
|
||
|
||
if __name__=="__main__":
|
||
main()
|