feat: Implement Equity Curve Trading for automatic drawdown protection

NEW MODULE: equity_curve_trading.py - EquityCurveManager class for meta-strategy control - Tracks equity history after each trade - Calculates Moving Average over configurable period (default: 10 trades) - Soft Mode: Reduces lot size to 50% when equity < MA - Hard Mode: Completely stops trading when equity < MA - Recovery detection with buffer percentage - Persistent storage in equity_curve_history.json CONFIGURATION: - ma_period: 10 trades (Moving Average window) - min_trades_required: 5 (warmup period) - soft_mode: True (reduce lots instead of stopping) - soft_mode_multiplier: 0.5 (50% lots when under MA) - recovery_buffer_pct: 0.5% (buffer for recovery status) INTEGRATION: - Added to Cell 78 (Advanced Optimizations setup) - Integrated in enhanced_trading_check_wrapper (Cells 85, 90) - Added lot_multiplier parameter to execute_trade_v2_adaptive - Equity update after each successful trade EXAMPLE FLOW: 1. Before trade: Check should_trade() → returns (allowed, reason, lot_multiplier) 2. If equity < MA: lot_multiplier = 0.5 (or 0.0 in hard mode) 3. Position size adjusted: volume = volume * lot_multiplier 4. After trade: update_equity() called to track new equity BENEFITS: - Automatic protection during losing streaks - Reduces exposure when strategy underperforms - Capitalizes fully when strategy is working - No emotional decisions needed 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
2026-01-26 10:54:29 +01:00
parent 96f259aed6
commit c51862c4ec
5 changed files with 1828 additions and 7 deletions
@@ -1230,7 +1230,9 @@
    "    debug=True,\n",
    "    # Enhanced Scoring Overrides\n",
    "    signal_info_override=None,\n",
-    "    confidence_override=None\n",
+    "    confidence_override=None,\n",
+    "    # Equity Curve Trading\n",
+    "    lot_multiplier=1.0\n",
    "):\n",
    "    \"\"\"\n",
    "    V1.6 Adaptive Complete Trade-Ausführung:\n",
@@ -1351,6 +1353,13 @@
    "        else:\n",
    "            volume = TRADING_CONFIG[\"lot_sizing\"][\"default_lot\"]\n",
    "        \n",
+    "        # Apply Equity Curve lot multiplier\n",
+    "        if lot_multiplier != 1.0:\n",
+    "            original_volume = volume\n",
+    "            volume = round(volume * lot_multiplier, 2)\n",
+    "            volume = max(TRADING_CONFIG[\"lot_sizing\"][\"min_lot\"], volume)  # Ensure minimum\n",
+    "            print(f\"📈 Equity Curve: Lot adjusted {original_volume:.2f} → {volume:.2f} ({lot_multiplier:.0%})\")\n",
+    "        \n",
    "        # Log Trade Info\n",
    "        print(f\"\\n🚀 V1.6 ADAPTIVE COMPLETE TRADE EXECUTION\")\n",
    "        print(f\"Direction: {'LONG' if entry_signal == 1 else 'SHORT'}\")\n",
@@ -3011,6 +3020,7 @@
    "from dynamic_threshold_optimizer import DynamicThresholdOptimizer, auto_optimize_thresholds\n",
    "from enhanced_signal_scoring import EnhancedSignalScorer\n",
    "from enhanced_trailing_stop import EnhancedTrailingStopManager, create_enhanced_position_monitor\n",
+    "from equity_curve_trading import EquityCurveManager\n",
    "\n",
    "print(\"🚀 INITIALIZING ADVANCED OPTIMIZATIONS...\")\n",
    "print(\"=\" * 70)\n",
@@ -3075,6 +3085,18 @@
    "print(\"✅ Enhanced Trailing Stop Manager initialized\")\n",
    "print()\n",
    "\n",
+    "# 4. Equity Curve Trading\n",
+    "equity_curve_manager = EquityCurveManager(\n",
+    "    ma_period=10,              # MA über 10 Trades\n",
+    "    min_trades_required=5,     # Warmup: 5 Trades\n",
+    "    soft_mode=True,            # Reduzierte Lots statt Stop\n",
+    "    soft_mode_multiplier=0.5,  # 50% Lots wenn unter MA\n",
+    "    recovery_buffer_pct=0.5,   # 0.5% über MA = Recovery\n",
+    "    data_file=\"equity_curve_history.json\"\n",
+    ")\n",
+    "print(\"✅ Equity Curve Manager initialized\")\n",
+    "print()\n",
+    "\n",
    "# 4. Run initial threshold optimization\n",
    "print(\"🔄 Running initial threshold optimization...\")\n",
    "try:\n",
@@ -3092,6 +3114,7 @@
    "print(\"   • Dynamic Thresholds: ✅ (auto-adjusts daily)\")\n",
    "print(\"   • Enhanced Scoring: ✅ (5-factor analysis)\")\n",
    "print(\"   • Enhanced Trailing: ✅ (multi-tier protection)\")\n",
+    "print(\"   • Equity Curve Trading: ✅ (auto-pause on drawdown)\")\n",
    "print()\n",
    "print(\"💡 Tip: Use 'threshold_optimizer.generate_report()' for details\")"
   ]
@@ -3362,6 +3385,14 @@
    "\n",
    "        print(f\"✅ Position-Check OK: {position_info['count']}/{max_positions}\")\n",
    "\n",
+    "        # SCHRITT 1.5: EQUITY CURVE CHECK\n",
+    "        ec_allowed, ec_reason, lot_multiplier = equity_curve_manager.should_trade()\n",
+    "        print(f\"📈 Equity Curve: {ec_reason}\")\n",
+    "        \n",
+    "        if not ec_allowed:\n",
+    "            print(f\"⛔ TRADE BLOCKIERT durch Equity Curve Filter\")\n",
+    "            return None\n",
+    "\n",
    "        # SCHRITT 2: Signal Analysis (wie vorher)\n",
    "        signal_info = extended_top_down_v2_adaptive(symbol)\n",
    "        if signal_info is None:\n",
@@ -3424,9 +3455,15 @@
    "                result = execute_trade_v2_adaptive(\n",
    "                    symbol=symbol,\n",
    "                    signal_info_override=signal_info,\n",
-    "                    confidence_override=final_confidence  # ← Use hybrid score!\n",
+    "                    confidence_override=final_confidence,  # ← Use hybrid score!\n",
+    "                    lot_multiplier=lot_multiplier  # ← Equity Curve adjustment\n",
    "                )\n",
    "                \n",
+    "                # Update Equity Curve nach Trade\n",
+    "                if result is not None:\n",
+    "                    equity_curve_manager.update_equity()\n",
+    "                    print(f\"📈 Equity Curve updated\")\n",
+    "\n",
    "                return result\n",
    "            else:\n",
    "                print(f\"\\n❌ Signal below threshold: {final_confidence:.1f}% < {adaptive_threshold:.1f}%\")\n",
@@ -3629,6 +3666,14 @@
    "\n",
    "        print(f\"✅ Position-Check OK: {position_info['count']}/{max_positions}\")\n",
    "\n",
+    "        # SCHRITT 1.5: EQUITY CURVE CHECK\n",
+    "        ec_allowed, ec_reason, lot_multiplier = equity_curve_manager.should_trade()\n",
+    "        print(f\"📈 Equity Curve: {ec_reason}\")\n",
+    "        \n",
+    "        if not ec_allowed:\n",
+    "            print(f\"⛔ TRADE BLOCKIERT durch Equity Curve Filter\")\n",
+    "            return None\n",
+    "\n",
    "        # SCHRITT 2: Signal Analysis (wie vorher)\n",
    "        signal_info = extended_top_down_v2_adaptive(symbol)\n",
    "        if signal_info is None:\n",
@@ -3691,9 +3736,15 @@
    "                result = execute_trade_v2_adaptive(\n",
    "                    symbol=symbol,\n",
    "                    signal_info_override=signal_info,\n",
-    "                    confidence_override=final_confidence  # ← Use hybrid score!\n",
+    "                    confidence_override=final_confidence,  # ← Use hybrid score!\n",
+    "                    lot_multiplier=lot_multiplier  # ← Equity Curve adjustment\n",
    "                )\n",
    "                \n",
+    "                # Update Equity Curve nach Trade\n",
+    "                if result is not None:\n",
+    "                    equity_curve_manager.update_equity()\n",
+    "                    print(f\"📈 Equity Curve updated\")\n",
+    "\n",
    "                return result\n",
    "            else:\n",
    "                print(f\"\\n❌ Signal below threshold: {final_confidence:.1f}% < {adaptive_threshold:.1f}%\")\n",
@@ -66,6 +66,14 @@ def enhanced_trading_check_wrapper(symbol="XAUUSD", debug=False):

        print(f"✅ Position-Check OK: {position_info['count']}/{max_positions}")

+        # SCHRITT 1.5: EQUITY CURVE CHECK
+        ec_allowed, ec_reason, lot_multiplier = equity_curve_manager.should_trade()
+        print(f"📈 Equity Curve: {ec_reason}")
+
+        if not ec_allowed:
+            print(f"⛔ TRADE BLOCKIERT durch Equity Curve Filter")
+            return None
+
        # SCHRITT 2: Signal Analysis (wie vorher)
        signal_info = extended_top_down_v2_adaptive(symbol)
        if signal_info is None:
@@ -127,9 +135,15 @@ def enhanced_trading_check_wrapper(symbol="XAUUSD", debug=False):
                result = execute_trade_v2_adaptive(
                    symbol=symbol,
                    signal_info_override=signal_info,
-                    confidence_override=final_confidence  # ← Use hybrid score!
+                    confidence_override=final_confidence,  # ← Use hybrid score!
+                    lot_multiplier=lot_multiplier  # ← Equity Curve adjustment
                )

+                # Update Equity Curve nach Trade
+                if result is not None:
+                    equity_curve_manager.update_equity()
+                    print(f"📈 Equity Curve updated")
+
                return result
            else:
                print(f"\\n❌ Signal below threshold: {final_confidence:.1f}% < {adaptive_threshold:.1f}%")
@@ -1,10 +1,10 @@
 {
-  "timestamp": "2026-01-23T08:15:25.214791",
+  "timestamp": "2026-01-26T00:27:01.306793",
  "session_thresholds": {
    "asian": 60,
    "ny": 60,
-    "london": 80,
-    "overlap": 70
+    "london": 75,
+    "overlap": 65
  },
  "settings": {
    "lookback_trades": 20,
@@ -0,0 +1,352 @@
+#!/usr/bin/env python3
+"""
+📈 Equity Curve Trading Module
+Meta-Strategy: Trade nur wenn Equity über Moving Average
+
+KONZEPT:
+- Trackt Equity-Historie nach jedem Trade
+- Berechnet Moving Average der Equity
+- Erlaubt Trading nur wenn Equity >= MA
+- Reduziert Drawdowns durch automatische Pausen
+
+VERWENDUNG:
+    from equity_curve_trading import EquityCurveManager
+
+    ecm = EquityCurveManager(ma_period=10)
+
+    # Vor jedem Trade prüfen:
+    if ecm.should_trade():
+        execute_trade(...)
+
+    # Nach jedem Trade updaten:
+    ecm.update_equity()
+"""
+
+import json
+import os
+from datetime import datetime
+from typing import List, Dict, Optional, Tuple
+import logging
+
+logger = logging.getLogger(__name__)
+
+
+class EquityCurveManager:
+    """
+    Equity Curve Trading Manager
+
+    Features:
+    - Automatisches Equity-Tracking
+    - Konfigurierbarer MA-Zeitraum
+    - Optionaler "Soft Mode" (reduzierte Lots statt Stop)
+    - Persistente Speicherung der Historie
+    - Recovery-Erkennung
+    """
+
+    def __init__(self,
+                 ma_period: int = 10,
+                 min_trades_required: int = 5,
+                 soft_mode: bool = True,
+                 soft_mode_multiplier: float = 0.5,
+                 recovery_buffer_pct: float = 0.5,
+                 data_file: str = "equity_curve_history.json"):
+        """
+        Args:
+            ma_period: Anzahl der Trades für Moving Average (default: 10)
+            min_trades_required: Minimum Trades bevor Filter aktiv wird (default: 5)
+            soft_mode: True = reduzierte Lots, False = komplett stoppen
+            soft_mode_multiplier: Lot-Multiplikator wenn unter MA (default: 0.5 = 50%)
+            recovery_buffer_pct: Prozent über MA für "Recovery" Status (default: 0.5%)
+            data_file: Datei für persistente Speicherung
+        """
+        self.ma_period = ma_period
+        self.min_trades = min_trades_required
+        self.soft_mode = soft_mode
+        self.soft_multiplier = soft_mode_multiplier
+        self.recovery_buffer = recovery_buffer_pct / 100
+        self.data_file = data_file
+
+        # Equity Historie laden oder initialisieren
+        self.equity_history: List[Dict] = []
+        self._load_history()
+
+        # Status
+        self.current_status = "ACTIVE"  # ACTIVE, PAUSED, RECOVERY
+        self.trades_while_paused = 0
+
+        logger.info("=" * 60)
+        logger.info("📈 EQUITY CURVE TRADING INITIALIZED")
+        logger.info("=" * 60)
+        logger.info(f"   MA Period:        {ma_period} trades")
+        logger.info(f"   Min Trades:       {min_trades_required}")
+        logger.info(f"   Mode:             {'Soft (reduced lots)' if soft_mode else 'Hard (full stop)'}")
+        if soft_mode:
+            logger.info(f"   Soft Multiplier:  {soft_mode_multiplier:.0%}")
+        logger.info(f"   Recovery Buffer:  {recovery_buffer_pct}%")
+        logger.info(f"   History File:     {data_file}")
+        logger.info(f"   Loaded Trades:    {len(self.equity_history)}")
+        logger.info("=" * 60)
+
+    # ==========================================
+    # CORE METHODS
+    # ==========================================
+
+    def should_trade(self, mt5_account_info=None) -> Tuple[bool, str, float]:
+        """
+        Prüft ob Trading erlaubt ist basierend auf Equity Curve
+
+        Args:
+            mt5_account_info: Optional MT5 account info object
+
+        Returns:
+            (should_trade, reason, lot_multiplier)
+            - should_trade: True wenn traden erlaubt
+            - reason: Erklärung
+            - lot_multiplier: 1.0 = normal, 0.5 = reduziert, etc.
+        """
+        # Nicht genug Historie
+        if len(self.equity_history) < self.min_trades:
+            return True, f"Warmup: {len(self.equity_history)}/{self.min_trades} trades", 1.0
+
+        # Aktuelle Equity holen
+        current_equity = self._get_current_equity(mt5_account_info)
+        if current_equity is None:
+            return True, "Could not get equity, allowing trade", 1.0
+
+        # MA berechnen
+        ma_equity = self._calculate_ma()
+
+        # Status bestimmen
+        equity_vs_ma_pct = ((current_equity - ma_equity) / ma_equity) * 100
+
+        if current_equity >= ma_equity * (1 + self.recovery_buffer):
+            # Deutlich über MA = ACTIVE
+            self.current_status = "ACTIVE"
+            self.trades_while_paused = 0
+            return True, f"✅ Equity ${current_equity:,.2f} > MA ${ma_equity:,.2f} (+{equity_vs_ma_pct:.1f}%)", 1.0
+
+        elif current_equity >= ma_equity:
+            # Knapp über MA = RECOVERY (vorsichtig)
+            self.current_status = "RECOVERY"
+            if self.soft_mode:
+                return True, f"🔄 Recovery: ${current_equity:,.2f} ≈ MA ${ma_equity:,.2f} ({equity_vs_ma_pct:+.1f}%)", 0.75
+            else:
+                return True, f"🔄 Recovery: ${current_equity:,.2f} ≈ MA ${ma_equity:,.2f}", 1.0
+
+        else:
+            # Unter MA = PAUSED oder SOFT
+            self.current_status = "PAUSED"
+            self.trades_while_paused += 1
+
+            if self.soft_mode:
+                return True, f"⚠️ Soft Mode: ${current_equity:,.2f} < MA ${ma_equity:,.2f} ({equity_vs_ma_pct:.1f}%)", self.soft_multiplier
+            else:
+                return False, f"⛔ PAUSED: ${current_equity:,.2f} < MA ${ma_equity:,.2f} ({equity_vs_ma_pct:.1f}%)", 0.0
+
+    def update_equity(self, mt5_account_info=None, trade_result: Optional[Dict] = None):
+        """
+        Updated Equity-Historie nach einem Trade
+
+        Args:
+            mt5_account_info: Optional MT5 account info
+            trade_result: Optional dict mit Trade-Details
+        """
+        current_equity = self._get_current_equity(mt5_account_info)
+        if current_equity is None:
+            logger.warning("Could not get equity for update")
+            return
+
+        entry = {
+            "timestamp": datetime.now().isoformat(),
+            "equity": current_equity,
+            "trade_count": len(self.equity_history) + 1
+        }
+
+        if trade_result:
+            entry["trade_profit"] = trade_result.get("profit", 0)
+            entry["trade_symbol"] = trade_result.get("symbol", "UNKNOWN")
+
+        self.equity_history.append(entry)
+        self._save_history()
+
+        # Log status
+        ma = self._calculate_ma() if len(self.equity_history) >= self.min_trades else None
+        if ma:
+            diff_pct = ((current_equity - ma) / ma) * 100
+            status_emoji = "✅" if current_equity >= ma else "⚠️"
+            logger.info(f"📈 Equity Update: ${current_equity:,.2f} | MA: ${ma:,.2f} | {status_emoji} {diff_pct:+.1f}%")
+        else:
+            logger.info(f"📈 Equity Update: ${current_equity:,.2f} | Warmup: {len(self.equity_history)}/{self.min_trades}")
+
+    def get_status(self, mt5_account_info=None) -> Dict:
+        """
+        Gibt detaillierten Status zurück
+
+        Returns:
+            Dict mit allen relevanten Informationen
+        """
+        current_equity = self._get_current_equity(mt5_account_info)
+        ma = self._calculate_ma() if len(self.equity_history) >= self.min_trades else None
+
+        status = {
+            "current_equity": current_equity,
+            "ma_equity": ma,
+            "ma_period": self.ma_period,
+            "total_trades": len(self.equity_history),
+            "min_trades_required": self.min_trades,
+            "warmup_complete": len(self.equity_history) >= self.min_trades,
+            "status": self.current_status,
+            "soft_mode": self.soft_mode,
+            "soft_multiplier": self.soft_multiplier if self.soft_mode else None
+        }
+
+        if current_equity and ma:
+            status["equity_vs_ma_pct"] = ((current_equity - ma) / ma) * 100
+            status["equity_above_ma"] = current_equity >= ma
+
+        return status
+
+    def get_report(self, mt5_account_info=None) -> str:
+        """
+        Generiert einen formatierten Status-Report
+        """
+        status = self.get_status(mt5_account_info)
+
+        report = []
+        report.append("")
+        report.append("=" * 60)
+        report.append("📈 EQUITY CURVE TRADING STATUS")
+        report.append("=" * 60)
+
+        if status["current_equity"]:
+            report.append(f"   Current Equity:   ${status['current_equity']:,.2f}")
+
+        if status["ma_equity"]:
+            report.append(f"   MA ({self.ma_period} trades):    ${status['ma_equity']:,.2f}")
+
+            diff = status.get("equity_vs_ma_pct", 0)
+            if status.get("equity_above_ma"):
+                report.append(f"   Status:           ✅ ABOVE MA (+{diff:.1f}%)")
+            else:
+                report.append(f"   Status:           ⚠️ BELOW MA ({diff:.1f}%)")
+        else:
+            report.append(f"   Status:           🔄 Warmup ({status['total_trades']}/{status['min_trades_required']} trades)")
+
+        report.append("")
+        report.append(f"   Trading Status:   {status['status']}")
+        report.append(f"   Mode:             {'Soft' if status['soft_mode'] else 'Hard'}")
+
+        if status['soft_mode'] and status['status'] == 'PAUSED':
+            report.append(f"   Lot Multiplier:   {status['soft_multiplier']:.0%}")
+
+        report.append("")
+        report.append(f"   Total Trades:     {status['total_trades']}")
+        report.append("=" * 60)
+
+        return "\n".join(report)
+
+    # ==========================================
+    # HELPER METHODS
+    # ==========================================
+
+    def _get_current_equity(self, mt5_account_info=None) -> Optional[float]:
+        """Holt aktuelle Equity von MT5 oder übergebenem Object"""
+        if mt5_account_info:
+            return mt5_account_info.equity
+
+        try:
+            import MetaTrader5 as mt
+            account = mt.account_info()
+            if account:
+                return account.equity
+        except Exception as e:
+            logger.debug(f"Could not get MT5 equity: {e}")
+
+        return None
+
+    def _calculate_ma(self) -> float:
+        """Berechnet Moving Average der letzten N Equity-Werte"""
+        if len(self.equity_history) < self.ma_period:
+            # Nutze alle verfügbaren wenn nicht genug
+            recent = self.equity_history
+        else:
+            recent = self.equity_history[-self.ma_period:]
+
+        equities = [entry["equity"] for entry in recent]
+        return sum(equities) / len(equities) if equities else 0
+
+    def _load_history(self):
+        """Lädt Equity-Historie aus Datei"""
+        try:
+            if os.path.exists(self.data_file):
+                with open(self.data_file, 'r') as f:
+                    self.equity_history = json.load(f)
+                logger.info(f"📂 Loaded {len(self.equity_history)} equity records")
+        except Exception as e:
+            logger.warning(f"Could not load equity history: {e}")
+            self.equity_history = []
+
+    def _save_history(self):
+        """Speichert Equity-Historie in Datei"""
+        try:
+            with open(self.data_file, 'w') as f:
+                json.dump(self.equity_history, f, indent=2)
+        except Exception as e:
+            logger.error(f"Could not save equity history: {e}")
+
+    def reset_history(self):
+        """Setzt Historie zurück (Vorsicht!)"""
+        self.equity_history = []
+        self._save_history()
+        logger.warning("⚠️ Equity history has been reset!")
+
+    def add_initial_equity(self, equity: float):
+        """
+        Fügt initiale Equity hinzu (für Warmup)
+
+        Nützlich wenn du mit bestehendem Konto startest
+        """
+        for i in range(self.min_trades):
+            self.equity_history.append({
+                "timestamp": datetime.now().isoformat(),
+                "equity": equity,
+                "trade_count": i + 1,
+                "note": "Initial warmup entry"
+            })
+        self._save_history()
+        logger.info(f"📈 Added {self.min_trades} initial equity entries at ${equity:,.2f}")
+
+
+# ==========================================
+# STANDALONE USAGE
+# ==========================================
+
+if __name__ == "__main__":
+    # Demo
+    print("📈 Equity Curve Trading Demo")
+    print("=" * 50)
+
+    ecm = EquityCurveManager(
+        ma_period=5,
+        min_trades_required=3,
+        soft_mode=True,
+        soft_mode_multiplier=0.5
+    )
+
+    # Simulate some trades
+    test_equities = [10000, 10200, 10150, 9900, 9700, 9500, 9600, 9800, 10000, 10300]
+
+    print("\nSimulating trades:")
+    for i, eq in enumerate(test_equities):
+        # Fake the history
+        ecm.equity_history.append({
+            "timestamp": datetime.now().isoformat(),
+            "equity": eq,
+            "trade_count": i + 1
+        })
+
+        # Check if should trade
+        should, reason, mult = ecm.should_trade()
+        print(f"Trade {i+1}: Equity ${eq:,} | {reason} | Lot mult: {mult}")
+
+    print("\n" + ecm.get_report())