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>
104 lines
4.8 KiB
Python
104 lines
4.8 KiB
Python
#!/usr/bin/env python3
|
||
"""Soll der REVERSAL-Einstieg vom Dead-Hour-Gate (11-14 Berlin) ausgenommen werden?
|
||
Misst Reversal (überdehnt+Winkel gedreht) UND normalen Trend-Einstieg je in/außerhalb
|
||
der Dead-Hour, mit echter Exit-Sim (SL 2×ATR + Trailing-TP). Broker-Zeit (UTC+3) →
|
||
Berlin via zoneinfo.
|
||
Wenn Reversal in der Dead-Hour weiter positiv ist (≈ wie außerhalb), lohnt die Ausnahme;
|
||
wenn der Trend-Einstieg in der Dead-Hour negativ bleibt, bleibt das Gate für ihn richtig.
|
||
"""
|
||
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 (_atr, _EMA_FAST, _EMA_SLOW, _N_BARS, _ANGLE_LR, _ANGLE_DEAD,
|
||
_REVERSAL_STRETCH, _STRETCH_MAX, _DEAD_HOURS)
|
||
_MAXH=240; _TRAILON=0.3; _TPTRAIL=0.5; _ATRMIN=0.12; _SL_ATR=2.0
|
||
_BROKER_OFF=3*3600 # Broker = UTC+3
|
||
_BERLIN=ZoneInfo("Europe/Berlin")
|
||
|
||
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 stats(Rs):
|
||
if not Rs: return " -"
|
||
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)
|
||
pf=g/ls if ls>0 else 99.9
|
||
return f"n={n:>4} WR={100*w/n:>3.0f}% Ø-R={sum(Rs)/n:+.3f} PF={pf:>4.2f} ΣR={sum(Rs):+.0f}"
|
||
|
||
def berlin_hour(raw_time):
|
||
utc=int(raw_time)-_BROKER_OFF
|
||
return dt.datetime.fromtimestamp(utc, tz=dt.timezone.utc).astimezone(_BERLIN).hour
|
||
|
||
def main():
|
||
n=int(sys.argv[1]) if len(sys.argv)>1 else 40000
|
||
TH=_REVERSAL_STRETCH
|
||
mt5.initialize()
|
||
sym=None
|
||
for c in ("SpotCrude","USOIL","WTI","XTIUSD"):
|
||
if mt5.symbol_info(c): sym=c; break
|
||
bars=mt5.copy_rates_from_pos(sym,mt5.TIMEFRAME_M5,0,n+_N_BARS+_MAXH+5)
|
||
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]; 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)
|
||
|
||
print("="*90)
|
||
print(f" Dead-Hour-Ausnahme für Reversal? — {sym} M5 Exit: SL {_SL_ATR}×ATR + Trailing")
|
||
print(f" Dead-Hours={_DEAD_HOURS} (Berlin) · Reversal-Schwelle TH={TH} · Trend nur |stretch|<{_STRETCH_MAX}")
|
||
print("="*90)
|
||
B={k:[] for k in ("rev_L_dead","rev_L_ok","rev_S_dead","rev_S_ok",
|
||
"rev_dead","rev_ok","trend_dead","trend_ok")}
|
||
for i in range(_N_BARS, 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
|
||
dead = berlin_hour(T[i]) in _DEAD_HOURS
|
||
# Reversal
|
||
for d,cs,ca,lab in ((1, stretch<=-TH, ad>=_ANGLE_DEAD,"L"),
|
||
(-1, stretch>=TH, ad<=-_ANGLE_DEAD,"S")):
|
||
if cs and ca:
|
||
R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
|
||
B[f"rev_{lab}_{'dead' if dead else 'ok'}"].append(R)
|
||
B[f"rev_{'dead' if dead else 'ok'}"].append(R)
|
||
# Trend-Einstieg (EMA-Richtung, NICHT überdehnt) — das, was das Gate blockt
|
||
if abs(stretch)<_STRETCH_MAX:
|
||
d = 1 if ef>es else -1 if ef<es else 0
|
||
if d:
|
||
R=simulate(C[i],d,atr,C[i]-d*_SL_ATR*atr,H,L,C,i+1)
|
||
B[f"trend_{'dead' if dead else 'ok'}"].append(R)
|
||
print("\nREVERSAL gesamt:")
|
||
print(f" außerhalb Dead-Hour {stats(B['rev_ok'])}")
|
||
print(f" IN Dead-Hour {stats(B['rev_dead'])} ← Kandidat für Ausnahme")
|
||
print("\nReversal-LONG (der Fall aus Trade ①):")
|
||
print(f" außerhalb Dead-Hour {stats(B['rev_L_ok'])}")
|
||
print(f" IN Dead-Hour {stats(B['rev_L_dead'])}")
|
||
print("\nReversal-SHORT:")
|
||
print(f" außerhalb Dead-Hour {stats(B['rev_S_ok'])}")
|
||
print(f" IN Dead-Hour {stats(B['rev_S_dead'])}")
|
||
print("\nNormaler TREND-Einstieg (das, was das Gate zu Recht blockt?):")
|
||
print(f" außerhalb Dead-Hour {stats(B['trend_ok'])}")
|
||
print(f" IN Dead-Hour {stats(B['trend_dead'])}")
|
||
|
||
if __name__=="__main__":
|
||
main()
|