feat: Implement ATR-based TP/SL system for regime-agnostic trading
CRITICAL UPGRADE - Nov 17, 2025 Problem Solved: - v6 shorts averaging +20.74% MFE but TP exits at +0.7% (leaving 95% on table) - Fixed % targets don't adapt to bull/bear regime changes - User must manually adjust settings when sentiment flips - Market-regime bias in optimization (bearish now ≠ bullish later) Solution - ATR-Based Dynamic TP/SL: - TP1 = ATR × 2.0 (adaptive to volatility) - TP2 = ATR × 4.0 (captures extended moves) - SL = ATR × 3.0 (proportional risk) - Safety bounds prevent extremes (min/max caps) Example with SOL ATR = 0.45%: - TP1: 0.45% × 2.0 = 0.90% (vs old fixed 0.4%) - TP2: 0.45% × 4.0 = 1.80% (vs old fixed 0.7%) - SL: 0.45% × 3.0 = 1.35% (vs old fixed 1.5%) Benefits: Adapts automatically to bull/bear regime changes Asset-agnostic (SOL vs BTC have different ATR) Captures more profit in volatile conditions Tighter risk in calm conditions No manual intervention when sentiment shifts Consistent with existing ATR-based trailing stop Implementation: - Added TradingConfig fields: atrMultiplierTp1/Tp2/Sl with min/max bounds - New calculatePercentFromAtr() helper function - Execute endpoint calculates dynamic % from ATR, falls back to fixed % if unavailable - ENV variables: ATR_MULTIPLIER_TP1/TP2/SL, MIN_TP1/TP2/SL_PERCENT, MAX_TP1/TP2/SL_PERCENT - Updated .env with new defaults based on v6 MAE/MFE analysis Configuration: - USE_ATR_BASED_TARGETS=true (enabled by default) - Runner: 40% (TAKE_PROFIT_1_SIZE_PERCENT=60) - Trailing: 1.3x ATR (existing system, unchanged) - Legacy fixed % used as fallback when ATR unavailable Files Modified: - config/trading.ts (interface + defaults + ENV reading) - app/api/trading/execute/route.ts (ATR calculation logic) - .env (new ATR multiplier variables) Expected Impact: - Capture 2-3x more profit per winning trade - Maintain same risk management rigor - Perform well in BOTH bull and bear markets - Fix v6 underperformance (-$47.70 → positive) Testing Required: - Monitor first 10 trades with ATR-based targets - Verify TP/SL prices match ATR calculations in logs - Compare P&L to historical fixed-% performance
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.env
61
.env
@@ -73,10 +73,10 @@ MAX_POSITION_SIZE_USD=210
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# Higher leverage = bigger gains AND bigger losses
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LEVERAGE=10
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# Risk parameters (as percentages)
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# Risk parameters (LEGACY FALLBACK - used when ATR unavailable)
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# Stop Loss: Close 100% of position when price drops this much
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# Example: -1.5% on 10x = -15% account loss
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STOP_LOSS_PERCENT=-1
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STOP_LOSS_PERCENT=-1.5
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# ================================
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# DUAL STOP SYSTEM (Advanced)
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@@ -85,7 +85,7 @@ STOP_LOSS_PERCENT=-1
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# When enabled, places TWO stop orders:
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# 1. Soft Stop (TRIGGER_LIMIT) - Avoids false breakouts/wicks
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# 2. Hard Stop (TRIGGER_MARKET) - Guarantees exit if price keeps falling
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USE_DUAL_STOPS=true
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USE_DUAL_STOPS=false
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# Soft Stop (Primary, Stop-Limit)
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# Triggers first, tries to avoid wicks
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@@ -97,36 +97,53 @@ SOFT_STOP_BUFFER=0.4 # Buffer between trigger and limit (0.4% = limit at -1.9%)
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# Guarantees exit during strong breakdowns
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HARD_STOP_PERCENT=-2.5
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# Take Profit 1: Close 50% of position at this profit level
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# Example: +0.7% on 10x = +7% account gain
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TAKE_PROFIT_1_PERCENT=0.4
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# Take Profit 1: Close X% of position at this profit level (FALLBACK)
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# Example: +0.8% on 10x = +8% account gain
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TAKE_PROFIT_1_PERCENT=0.8
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# Take Profit 1 Size: What % of position to close at TP1
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# Example: 50 = close 50% of position
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TAKE_PROFIT_1_SIZE_PERCENT=70
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# 60 = close 60%, leave 40% for runner
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TAKE_PROFIT_1_SIZE_PERCENT=60
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# Take Profit 2: Close remaining 50% at this profit level
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# Example: +1.5% on 10x = +15% account gain
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TAKE_PROFIT_2_PERCENT=0.7
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# Take Profit 2: Trigger trailing stop at this profit level (FALLBACK)
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# Example: +1.8% on 10x = +18% account gain
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TAKE_PROFIT_2_PERCENT=1.8
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# Take Profit 2 Size: What % of remaining position to close at TP2
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# Example: 100 = close all remaining position
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# 0 = don't close at TP2, activate trailing stop on full remaining position
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TAKE_PROFIT_2_SIZE_PERCENT=0
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# ATR-based dynamic targets (capture big moves like 4-5% drops)
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# Enable dynamic TP2 based on market volatility
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# ================================
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# ATR-BASED TP/SL (PRIMARY SYSTEM - Nov 17, 2025)
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# ================================
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# Enable dynamic TP/SL based on market volatility (RECOMMENDED)
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# ATR (Average True Range) adapts to current market conditions
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# Bull market: Different ATR → Different targets automatically
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# Bear market: Different ATR → Different targets automatically
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# No manual intervention needed when market regime changes!
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USE_ATR_BASED_TARGETS=true
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# ATR multiplier for TP2 calculation (TP2 = ATR × this value)
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# Example: ATR=0.8% × 2.0 = 1.6% TP2 target
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ATR_MULTIPLIER_FOR_TP2=2
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# ATR multipliers for TP1, TP2, and SL
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# Example with SOL ATR = 0.45% of price:
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# TP1 = 0.45% × 2.0 = 0.90% target
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# TP2 = 0.45% × 4.0 = 1.80% target
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# SL = 0.45% × 3.0 = 1.35% distance
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ATR_MULTIPLIER_TP1=2.0
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ATR_MULTIPLIER_TP2=4.0
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ATR_MULTIPLIER_SL=3.0
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# Minimum TP2 level regardless of ATR (safety floor)
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MIN_TP2_PERCENT=0.7
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# Safety bounds (prevent extreme values)
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# TP1 bounds
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MIN_TP1_PERCENT=0.5 # Never below +0.5%
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MAX_TP1_PERCENT=1.5 # Never above +1.5%
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# Maximum TP2 level cap (prevents excessive targets)
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# Example: 3.0% = 30% account gain at 10x leverage
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MAX_TP2_PERCENT=3
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# TP2 bounds
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MIN_TP2_PERCENT=1.0 # Never below +1.0%
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MAX_TP2_PERCENT=3.0 # Never above +3.0%
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# SL bounds
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MIN_SL_PERCENT=0.8 # Never tighter than -0.8%
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MAX_SL_PERCENT=2.0 # Never wider than -2.0%
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# Emergency Stop: Hard stop if this level is breached
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# Example: -2.0% on 10x = -20% account loss (rare but protects from flash crashes)
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