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feat: No-Stop-Grid-Variante (--no-stop, --pair) — erstes Edge-Signal auf XRP

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XRP-Datenanalyse: nie enge Ranges, breite Bänder → No-Stop-Design.
OOS-PF 2.0-2.74, Volldurchlauf +49% bei 10% MaxDD. Gate formal ❌
(Worst-Window + Ratio), Tail-Risiko dokumentiert.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
Claude
2026-06-10 07:17:33 +00:00
parent 3d16b76f23
commit f754b91acd
3 changed files with 56 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files

18
src/server/backtest/grid.ts
View File

@@ -13,6 +13,12 @@ export interface GridParams {
adxMax: number; // Grid nur aktiv im Seitwärtsregime (ADX < adxMax)
atrPeriod: number;
tfMs: number; // Entscheidungs-Timeframe (Aktivierung/Deaktivierung, ATR/ADX-Basis)
/**
* true: Range-Breakdown/Ausbruch/Trendbeginn liquidiert alle Lots (harter Stop).
* false: Lots werden nie mit Verlust verkauft (nur TP oder end_of_data);
* Re-Center nur, wenn das Grid leer ist und der Preis die Range verlassen hat.
*/
hardStop: boolean;
}
export const DEFAULT_GRID_PARAMS: GridParams = {
@@ -21,6 +27,7 @@ export const DEFAULT_GRID_PARAMS: GridParams = {
adxMax: 20,
atrPeriod: 14,
tfMs: H4,
hardStop: true,
};
export interface GridConfig {
@@ -136,9 +143,12 @@ export function runGridBacktest(candles15ByPair: Map<Pair, Candle[]>, cfg: GridC
const g = grids.get(pair);
if (g) {
const trendStart = !Number.isNaN(ctx.adx[i]) && ctx.adx[i] >= p.adxMax + 5; // Hysterese
if (bar.close < g.stopPrice || bar.close > g.upperExit || trendStart) {
liquidate(pair, barCloseTs, bar.close, 'grid_stop');
const outOfRange = bar.close < g.stopPrice || bar.close > g.upperExit;
if (p.hardStop) {
const trendStart = !Number.isNaN(ctx.adx[i]) && ctx.adx[i] >= p.adxMax + 5; // Hysterese
if (outOfRange || trendStart) liquidate(pair, barCloseTs, bar.close, 'grid_stop');
} else if (outOfRange && g.lots.every((l) => !l)) {
grids.delete(pair); // leeres Grid folgt dem Preis (Re-Center ohne Verlust)
}
} else if (
!Number.isNaN(ctx.atr[i]) &&
@@ -146,7 +156,7 @@ export function runGridBacktest(candles15ByPair: Map<Pair, Candle[]>, cfg: GridC
ctx.adx[i] < p.adxMax
) {
const spacing = p.spacingAtrMult * ctx.atr[i];
const budgetPerLevel = equity() / PAIRS.length / p.gridLevels;
const budgetPerLevel = equity() / contexts.length / p.gridLevels;
if (spacing > 0 && budgetPerLevel >= cfg.minNotionalUsdt) {
grids.set(pair, {
center: bar.close,

8
src/server/scripts/grid-walkforward.ts
View File

@@ -19,7 +19,12 @@ const PARAMS = {
gridLevels: argNum('--levels', DEFAULT_GRID_PARAMS.gridLevels),
adxMax: argNum('--adx', DEFAULT_GRID_PARAMS.adxMax),
tfMs: argNum('--tf', DEFAULT_GRID_PARAMS.tfMs / 60000) * 60000, // Minuten
hardStop: !process.argv.includes('--no-stop'),
};
const ONLY_PAIR = (() => {
const i = process.argv.indexOf('--pair');
return i >= 0 ? (process.argv[i + 1] as Pair) : null;
})();
const START_CAPITAL = 1000;
const EXEC = DEFAULT_EXEC;
const MIN_NOTIONAL = 10;
@@ -29,6 +34,7 @@ let dataFrom = 0;
let dataTo = Number.MAX_SAFE_INTEGER;
for (const pair of PAIRS) {
if (ONLY_PAIR && pair !== ONLY_PAIR) continue;
const cov = await getCoverage(pair);
if (!cov.from || !cov.to) throw new Error(`Keine Candles für ${pair} — erst 'bun run backfill' ausführen.`);
candles15ByPair.set(pair, await getCandles(pair));
@@ -37,7 +43,7 @@ for (const pair of PAIRS) {
console.log(`${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}, tf ${PARAMS.tfMs / 60000}m, long-only)`);
console.log(`\nATR-Grid (fix: spacing ${PARAMS.spacingAtrMult}×ATR, ${PARAMS.gridLevels} Levels, ADX < ${PARAMS.adxMax}, tf ${PARAMS.tfMs / 60000}m, ${PARAMS.hardStop ? 'hard-stop' : 'NO-STOP'}${ONLY_PAIR ? ', nur ' + ONLY_PAIR : ''}, long-only)`);
console.log(`Walk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
const windows = buildWindows(dataFrom, dataTo);