feat: ATR-GridBot mit Regime-Filter — Walk-Forward, Gate nicht bestanden

3 fixe Varianten (spacing 1.0/1.5×ATR, ADX<20/15): OOS-PF 0.87/1.03/0.94.
Grid-Stops bei Range-Breakdowns fressen die TP-Gewinne — kein Paper-Deploy.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

src/server/scripts/grid-walkforward.ts

@@ -0,0 +1,112 @@
+import { PAIRS, type Candle, type Pair } from '../types';
+import { getCandles, getCoverage } from '../market/candle-store';
+import { buildWindows, aggregateOos } from '../backtest/walkforward';
+import { runGridBacktest, DEFAULT_GRID_PARAMS, type GridConfig } from '../backtest/grid';
+import { computeMetrics } from '../backtest/metrics';
+import { DEFAULT_EXEC } from '../engine/portfolio';
+import { db, sql } from '../db/client';
+import { backtestRuns } from '../db/schema';
+
+// --- Feste A-priori-Parameter (kein Grid-Search; Varianten nur als bewusste
+// Design-Entscheidung via CLI: --spacing 1.5 --levels 4 --adx 15) ---
+function argNum(flag: string, def: number): number {
+  const i = process.argv.indexOf(flag);
+  return i >= 0 ? Number(process.argv[i + 1]) : def;
+}
+const PARAMS = {
+  ...DEFAULT_GRID_PARAMS, // spacing 1×ATR, 4 Levels, ADX < 20
+  spacingAtrMult: argNum('--spacing', DEFAULT_GRID_PARAMS.spacingAtrMult),
+  gridLevels: argNum('--levels', DEFAULT_GRID_PARAMS.gridLevels),
+  adxMax: argNum('--adx', DEFAULT_GRID_PARAMS.adxMax),
+};
+const START_CAPITAL = 1000;
+const EXEC = DEFAULT_EXEC;
+const MIN_NOTIONAL = 10;
+
+const candles15ByPair = new Map<Pair, Candle[]>();
+let dataFrom = 0;
+let dataTo = Number.MAX_SAFE_INTEGER;
+
+for (const pair of PAIRS) {
+  const cov = await getCoverage(pair);
+  if (!cov.from || !cov.to) throw new Error(`Keine Candles für ${pair} — erst 'bun run backfill' ausführen.`);
+  candles15ByPair.set(pair, await getCandles(pair));
+  dataFrom = Math.max(dataFrom, cov.from.getTime());
+  dataTo = Math.min(dataTo, cov.to.getTime());
+  console.log(`${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(`Walk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
+
+const windows = buildWindows(dataFrom, dataTo);
+
+type WindowResult = {
+  window: { trainFrom: number; trainTo: number; testFrom: number; testTo: number };
+  trainMetrics: ReturnType<typeof computeMetrics>;
+  testMetrics: ReturnType<typeof computeMetrics>;
+  testTrades: import('../engine/portfolio').ClosedTrade[];
+  testEquityCurve: import('../backtest/metrics').EquityPoint[];
+};
+
+const results: WindowResult[] = [];
+
+for (const [wi, w] of windows.entries()) {
+  const mkCfg = (tradeFrom: number, tradeTo: number): GridConfig => ({
+    startCapital: START_CAPITAL,
+    exec: EXEC,
+    params: PARAMS,
+    minNotionalUsdt: MIN_NOTIONAL,
+    tradeFrom,
+    tradeTo,
+  });
+
+  const trainResult = runGridBacktest(candles15ByPair, mkCfg(w.trainFrom, w.trainTo));
+  const trainMetrics = computeMetrics(trainResult.trades, trainResult.equityCurve, START_CAPITAL);
+
+  const testResult = runGridBacktest(candles15ByPair, mkCfg(w.testFrom, w.testTo));
+  const testMetrics = computeMetrics(testResult.trades, testResult.equityCurve, START_CAPITAL);
+
+  results.push({
+    window: w,
+    trainMetrics,
+    testMetrics,
+    testTrades: testResult.trades,
+    testEquityCurve: testResult.equityCurve,
+  });
+
+  console.log(
+    `Fenster ${wi + 1}/${windows.length}: Train-PF ${trainMetrics.profitFactor.toFixed(2)} ` +
+    `→ Test-PF ${testMetrics.profitFactor.toFixed(2)} bei ${testMetrics.trades} Trades`,
+  );
+}
+
+const { oosMetrics, oosEquityCurve, gate } = aggregateOos(results, START_CAPITAL);
+
+console.log('\n========== OOS-GESAMTERGEBNIS ==========');
+const m = oosMetrics;
+console.log(`Trades: ${m.trades} | WinRate: ${(m.winRate * 100).toFixed(1)}% | PF: ${m.profitFactor.toFixed(2)}`);
+console.log(`TotalPnl: ${m.totalPnl.toFixed(2)} USDT | MaxDD: ${(m.maxDrawdownPct * 100).toFixed(1)}% | AvgR: ${m.avgR.toFixed(2)}`);
+
+console.log('\n========== DEPLOY-GATE ==========');
+for (const c of gate.checks) {
+  console.log(`${c.pass ? '✅' : '❌'} ${c.name}: ${Number.isFinite(c.value) ? c.value.toFixed(2) : c.value}`);
+}
+console.log(`\n→ GATE ${gate.pass ? 'BESTANDEN' : 'NICHT BESTANDEN'}`);
+
+await db.insert(backtestRuns).values({
+  kind: 'grid-walkforward',
+  config: { startCapital: START_CAPITAL, exec: EXEC, params: PARAMS, minNotionalUsdt: MIN_NOTIONAL } as any,
+  result: {
+    gate,
+    oosMetrics,
+    oosEquityCurve,
+    windows: results.map((r) => ({
+      window: r.window,
+      trainMetrics: r.trainMetrics,
+      testMetrics: r.testMetrics,
+    })),
+  } as any,
+});
+console.log('Run in backtest_runs gespeichert.');
+await sql.end();