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feat: Grid-Timeframe parametrisierbar (--tf) — kürzere TFs monoton schlechter

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aggregateTf verallgemeinert aggregate4h. Walk-Forward 1h/15m:
PF 0.59/0.29 (vs 0.87 auf 4h), 15m MaxDD 97% — Fee-Mathematik bestätigt.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Claude
2026-06-10 07:00:45 +00:00
parent b5dd953afc
commit 3d16b76f23
4 changed files with 36 additions and 14 deletions
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5
src/server/scripts/grid-walkforward.ts
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@@ -14,10 +14,11 @@ function argNum(flag: string, def: number): number {
return i >= 0 ? Number(process.argv[i + 1]) : def;
}
const PARAMS = {
...DEFAULT_GRID_PARAMS, // spacing 1×ATR, 4 Levels, ADX < 20
...DEFAULT_GRID_PARAMS, // spacing 1×ATR, 4 Levels, ADX < 20, tf 4h
spacingAtrMult: argNum('--spacing', DEFAULT_GRID_PARAMS.spacingAtrMult),
gridLevels: argNum('--levels', DEFAULT_GRID_PARAMS.gridLevels),
adxMax: argNum('--adx', DEFAULT_GRID_PARAMS.adxMax),
tfMs: argNum('--tf', DEFAULT_GRID_PARAMS.tfMs / 60000) * 60000, // Minuten
};
const START_CAPITAL = 1000;
const EXEC = DEFAULT_EXEC;
@@ -36,7 +37,7 @@ for (const pair of PAIRS) {
console.log(`${pair}: ${cov.count} Candles (${cov.from.toISOString()} → ${cov.to.toISOString()})`);
}
console.log(`\nATR-Grid (fix: spacing ${PARAMS.spacingAtrMult}×ATR, ${PARAMS.gridLevels} Levels, ADX < ${PARAMS.adxMax}, long-only)`);
console.log(`\nATR-Grid (fix: spacing ${PARAMS.spacingAtrMult}×ATR, ${PARAMS.gridLevels} Levels, ADX < ${PARAMS.adxMax}, tf ${PARAMS.tfMs / 60000}m, long-only)`);
console.log(`Walk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
const windows = buildWindows(dataFrom, dataTo);