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
This commit is contained in:
mindesbunister
@@ -515,9 +515,48 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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// Calculate stop loss and take profit prices
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const entryPrice = openResult.fillPrice!
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// ATR-based TP/SL calculation (PRIMARY SYSTEM - Nov 17, 2025)
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let tp1Percent = config.takeProfit1Percent // Fallback
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let tp2Percent = config.takeProfit2Percent // Fallback
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let slPercent = config.stopLossPercent // Fallback
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if (config.useAtrBasedTargets && body.atr && body.atr > 0) {
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// Calculate dynamic percentages from ATR
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tp1Percent = calculatePercentFromAtr(
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body.atr,
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entryPrice,
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config.atrMultiplierTp1,
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config.minTp1Percent,
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config.maxTp1Percent
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)
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tp2Percent = calculatePercentFromAtr(
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body.atr,
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entryPrice,
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config.atrMultiplierTp2,
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config.minTp2Percent,
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config.maxTp2Percent
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)
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slPercent = -Math.abs(calculatePercentFromAtr(
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body.atr,
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entryPrice,
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config.atrMultiplierSl,
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config.minSlPercent,
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config.maxSlPercent
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))
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console.log(`📊 ATR-based targets (ATR: ${body.atr.toFixed(4)} = ${((body.atr/entryPrice)*100).toFixed(2)}%):`)
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console.log(` TP1: ${config.atrMultiplierTp1}x ATR = ${tp1Percent.toFixed(2)}%`)
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console.log(` TP2: ${config.atrMultiplierTp2}x ATR = ${tp2Percent.toFixed(2)}%`)
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console.log(` SL: ${config.atrMultiplierSl}x ATR = ${slPercent.toFixed(2)}%`)
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} else {
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console.log(`⚠️ Using fixed percentage targets (ATR not available or disabled)`)
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}
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const stopLossPrice = calculatePrice(
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entryPrice,
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config.stopLossPercent,
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slPercent,
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body.direction
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)
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@@ -543,21 +582,21 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
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const tp1Price = calculatePrice(
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entryPrice,
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config.takeProfit1Percent,
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tp1Percent,
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body.direction
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)
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const tp2Price = calculatePrice(
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entryPrice,
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config.takeProfit2Percent,
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tp2Percent,
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body.direction
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)
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console.log('📊 Trade targets:')
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console.log(` Entry: $${entryPrice.toFixed(4)}`)
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console.log(` SL: $${stopLossPrice.toFixed(4)} (${config.stopLossPercent}%)`)
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console.log(` TP1: $${tp1Price.toFixed(4)} (${config.takeProfit1Percent}%)`)
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console.log(` TP2: $${tp2Price.toFixed(4)} (${config.takeProfit2Percent}%)`)
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console.log(` SL: $${stopLossPrice.toFixed(4)} (${slPercent.toFixed(2)}%)`)
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console.log(` TP1: $${tp1Price.toFixed(4)} (${tp1Percent.toFixed(2)}%)`)
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console.log(` TP2: $${tp2Price.toFixed(4)} (${tp2Percent.toFixed(2)}%)`)
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// Calculate emergency stop
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const emergencyStopPrice = calculatePrice(
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@@ -786,3 +825,25 @@ function calculatePrice(
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return entryPrice * (1 - percent / 100)
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}
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}
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/**
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* Calculate TP/SL from ATR with safety bounds (NEW - Nov 17, 2025)
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* Returns percentage to use with calculatePrice()
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*/
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function calculatePercentFromAtr(
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atrValue: number,
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entryPrice: number,
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atrMultiplier: number,
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minPercent: number,
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maxPercent: number
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): number {
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// Convert ATR to percentage of entry price
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const atrPercent = (atrValue / entryPrice) * 100
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// Apply multiplier
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const targetPercent = atrPercent * atrMultiplier
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// Clamp between min/max bounds
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return Math.max(minPercent, Math.min(maxPercent, targetPercent))
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}
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