From 12d874ff93909edefa112296d2859ea3abb42a6e Mon Sep 17 00:00:00 2001
From: mindesbunister <github_service@egonetix.de>
Date: Sun, 2 Nov 2025 23:00:21 +0100
Subject: [PATCH] feat: implement MAE/MFE tracking for trade optimization

Added Maximum Favorable/Adverse Excursion tracking:
- Track maxFavorableExcursion: best profit % reached during trade
- Track maxAdverseExcursion: worst loss % reached during trade
- Track maxFavorablePrice and maxAdversePrice
- Update every price check (2s interval)
- Save to database on trade exit for optimization analysis

Benefits:
- Identify if TP levels are too conservative (MFE consistently higher)
- Determine if SL is too tight (MAE < SL but trade recovers)
- Optimize runner size based on how often MFE >> TP2
- Data-driven exit strategy tuning after collecting 10-20 trades

Display in monitoring logs: Shows MFE/MAE % every 20 seconds
---
 lib/trading/position-manager.ts | 50 ++++++++++++++++++++++++++++-----
 1 file changed, 43 insertions(+), 7 deletions(-)

diff --git a/lib/trading/position-manager.ts b/lib/trading/position-manager.ts
index 5a39346..a654724 100644
--- a/lib/trading/position-manager.ts
+++ b/lib/trading/position-manager.ts
@@ -42,6 +42,12 @@ export interface ActiveTrade {
   peakPnL: number
   peakPrice: number // Track highest price reached (for trailing)
   
+  // MAE/MFE tracking
+  maxFavorableExcursion: number // Best profit % reached
+  maxAdverseExcursion: number   // Worst loss % reached
+  maxFavorablePrice: number     // Price at best profit
+  maxAdversePrice: number       // Price at worst loss
+  
   // Monitoring
   priceCheckCount: number
   lastPrice: number
@@ -110,6 +116,10 @@ export class PositionManager {
           unrealizedPnL: pmState?.unrealizedPnL ?? 0,
           peakPnL: pmState?.peakPnL ?? 0,
           peakPrice: pmState?.peakPrice ?? dbTrade.entryPrice,
+          maxFavorableExcursion: pmState?.maxFavorableExcursion ?? 0,
+          maxAdverseExcursion: pmState?.maxAdverseExcursion ?? 0,
+          maxFavorablePrice: pmState?.maxFavorablePrice ?? dbTrade.entryPrice,
+          maxAdversePrice: pmState?.maxAdversePrice ?? dbTrade.entryPrice,
           priceCheckCount: 0,
           lastPrice: pmState?.lastPrice ?? dbTrade.entryPrice,
           lastUpdateTime: Date.now(),
@@ -367,7 +377,13 @@ export class PositionManager {
                 realizedPnL: 0,
                 exitOrderTx: 'UNKNOWN_CLOSURE',
                 holdTimeSeconds: Math.floor((Date.now() - trade.entryTime) / 1000),
-                maxDrawdown: 0,
+                maxDrawdown: Math.abs(Math.min(0, trade.maxAdverseExcursion)),
+                maxGain: Math.max(0, trade.maxFavorableExcursion),
+                maxFavorableExcursion: trade.maxFavorableExcursion,
+                maxAdverseExcursion: trade.maxAdverseExcursion,
+                maxFavorablePrice: trade.maxFavorablePrice,
+                maxAdversePrice: trade.maxAdversePrice,
+              })
                 maxGain: trade.peakPnL,
               })
               console.log(`💾 Old trade marked as closed (lost tracking)`)
@@ -434,8 +450,12 @@ export class PositionManager {
             realizedPnL,
             exitOrderTx: 'ON_CHAIN_ORDER',
             holdTimeSeconds,
-            maxDrawdown: 0,
-            maxGain: trade.peakPnL,
+            maxDrawdown: Math.abs(Math.min(0, trade.maxAdverseExcursion)),
+            maxGain: Math.max(0, trade.maxFavorableExcursion),
+            maxFavorableExcursion: trade.maxFavorableExcursion,
+            maxAdverseExcursion: trade.maxAdverseExcursion,
+            maxFavorablePrice: trade.maxFavorablePrice,
+            maxAdversePrice: trade.maxAdversePrice,
           })
           console.log(`💾 External closure recorded: ${exitReason} at $${currentPrice} | P&L: $${realizedPnL.toFixed(2)}`)
         } catch (dbError) {
@@ -481,11 +501,21 @@ export class PositionManager {
     const accountPnL = profitPercent * trade.leverage
     trade.unrealizedPnL = (trade.currentSize * profitPercent) / 100
 
-    // Track peak P&L
+    // Track peak P&L (MFE - Maximum Favorable Excursion)
     if (trade.unrealizedPnL > trade.peakPnL) {
       trade.peakPnL = trade.unrealizedPnL
     }
     
+    // Track MAE/MFE (account percentage, not USD)
+    if (accountPnL > trade.maxFavorableExcursion) {
+      trade.maxFavorableExcursion = accountPnL
+      trade.maxFavorablePrice = currentPrice
+    }
+    if (accountPnL < trade.maxAdverseExcursion) {
+      trade.maxAdverseExcursion = accountPnL
+      trade.maxAdversePrice = currentPrice
+    }
+    
     // Track peak price for trailing stop
     if (trade.direction === 'long') {
       if (currentPrice > trade.peakPrice) {
@@ -504,7 +534,9 @@ export class PositionManager {
         `Price: ${currentPrice.toFixed(4)} | ` +
         `P&L: ${profitPercent.toFixed(2)}% (${accountPnL.toFixed(1)}% acct) | ` +
         `Unrealized: $${trade.unrealizedPnL.toFixed(2)} | ` +
-        `Peak: $${trade.peakPnL.toFixed(2)}`
+        `Peak: $${trade.peakPnL.toFixed(2)} | ` +
+        `MFE: ${trade.maxFavorableExcursion.toFixed(2)}% | ` +
+        `MAE: ${trade.maxAdverseExcursion.toFixed(2)}%`
       )
     }
 
@@ -711,8 +743,12 @@ export class PositionManager {
               realizedPnL: trade.realizedPnL,
               exitOrderTx: result.transactionSignature || 'MANUAL_CLOSE',
               holdTimeSeconds,
-              maxDrawdown: 0, // TODO: Track this
-              maxGain: trade.peakPnL,
+              maxDrawdown: Math.abs(Math.min(0, trade.maxAdverseExcursion)),
+              maxGain: Math.max(0, trade.maxFavorableExcursion),
+              maxFavorableExcursion: trade.maxFavorableExcursion,
+              maxAdverseExcursion: trade.maxAdverseExcursion,
+              maxFavorablePrice: trade.maxFavorablePrice,
+              maxAdversePrice: trade.maxAdversePrice,
             })
             console.log('💾 Trade saved to database')
           } catch (dbError) {