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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mindesbunister
@@ -21,17 +21,23 @@ export interface TradingConfig {
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solana?: SymbolSettings
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ethereum?: SymbolSettings
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// Risk management (as percentages of entry price)
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// Risk management (as percentages of entry price - LEGACY, used as fallback)
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stopLossPercent: number // Negative number (e.g., -1.5)
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takeProfit1Percent: number // Positive number (e.g., 0.7)
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takeProfit2Percent: number // Positive number (e.g., 1.5)
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emergencyStopPercent: number // Hard stop (e.g., -2.0)
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// ATR-based dynamic targets
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useAtrBasedTargets: boolean // Enable ATR-based TP2 scaling
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atrMultiplierForTp2: number // Multiply ATR by this for dynamic TP2 (e.g., 2.0)
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minTp2Percent: number // Minimum TP2 level regardless of ATR
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maxTp2Percent: number // Maximum TP2 level cap
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// ATR-based dynamic targets (NEW - PRIMARY SYSTEM)
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useAtrBasedTargets: boolean // Enable ATR-based TP/SL (recommended)
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atrMultiplierTp1: number // TP1 = ATR × this multiplier (e.g., 2.0)
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atrMultiplierTp2: number // TP2 = ATR × this multiplier (e.g., 4.0)
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atrMultiplierSl: number // SL = ATR × this multiplier (e.g., 3.0)
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minTp1Percent: number // Minimum TP1 level (safety floor)
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maxTp1Percent: number // Maximum TP1 level (cap)
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minTp2Percent: number // Minimum TP2 level (safety floor)
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maxTp2Percent: number // Maximum TP2 level (cap)
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minSlPercent: number // Minimum SL distance (safety floor)
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maxSlPercent: number // Maximum SL distance (cap)
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// Dual Stop System (Advanced)
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useDualStops: boolean // Enable dual stop system
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@@ -113,17 +119,23 @@ export const DEFAULT_TRADING_CONFIG: TradingConfig = {
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usePercentageSize: false,
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},
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// Risk parameters (wider for DEX slippage/wicks)
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stopLossPercent: -1.5, // -1.5% price = -15% account loss (closes 100%)
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takeProfit1Percent: 0.7, // +0.7% price = +7% account gain (closes 50%)
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takeProfit2Percent: 1.5, // +1.5% price = +15% account gain (closes 50%)
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emergencyStopPercent: -2.0, // -2% hard stop = -20% account loss
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// Risk parameters (LEGACY FALLBACK - used when ATR unavailable)
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stopLossPercent: -1.5, // Fallback: -1.5% if no ATR
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takeProfit1Percent: 0.8, // Fallback: +0.8% if no ATR
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takeProfit2Percent: 1.8, // Fallback: +1.8% if no ATR
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emergencyStopPercent: -2.0, // Emergency hard stop (always active)
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// ATR-based dynamic targets (NEW)
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useAtrBasedTargets: true, // Enable ATR-based TP2 scaling for big moves
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atrMultiplierForTp2: 2.0, // TP2 = ATR × 2.0 (adapts to volatility)
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minTp2Percent: 0.7, // Minimum TP2 (safety floor)
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maxTp2Percent: 3.0, // Maximum TP2 (cap at 3% for 30% account gain)
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// ATR-based dynamic targets (PRIMARY SYSTEM - Nov 17, 2025)
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useAtrBasedTargets: true, // Enable ATR-based TP/SL for regime-agnostic trading
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atrMultiplierTp1: 2.0, // TP1 = ATR × 2.0 (Example: 0.45% ATR = 0.90% TP1)
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atrMultiplierTp2: 4.0, // TP2 = ATR × 4.0 (Example: 0.45% ATR = 1.80% TP2)
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atrMultiplierSl: 3.0, // SL = ATR × 3.0 (Example: 0.45% ATR = 1.35% SL)
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minTp1Percent: 0.5, // Floor: Never below +0.5%
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maxTp1Percent: 1.5, // Cap: Never above +1.5%
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minTp2Percent: 1.0, // Floor: Never below +1.0%
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maxTp2Percent: 3.0, // Cap: Never above +3.0%
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minSlPercent: 0.8, // Floor: Never tighter than -0.8%
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maxSlPercent: 2.0, // Cap: Never wider than -2.0%
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// Dual Stop System
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useDualStops: false, // Disabled by default
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@@ -477,12 +489,24 @@ export function getConfigFromEnv(): Partial<TradingConfig> {
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? parseFloat(process.env.TAKE_PROFIT_2_SIZE_PERCENT)
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: undefined,
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// ATR-based dynamic targets
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// ATR-based dynamic targets (NEW - Nov 17, 2025)
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useAtrBasedTargets: process.env.USE_ATR_BASED_TARGETS
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? process.env.USE_ATR_BASED_TARGETS === 'true'
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: undefined,
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atrMultiplierForTp2: process.env.ATR_MULTIPLIER_FOR_TP2
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? parseFloat(process.env.ATR_MULTIPLIER_FOR_TP2)
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atrMultiplierTp1: process.env.ATR_MULTIPLIER_TP1
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? parseFloat(process.env.ATR_MULTIPLIER_TP1)
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: undefined,
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atrMultiplierTp2: process.env.ATR_MULTIPLIER_TP2
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? parseFloat(process.env.ATR_MULTIPLIER_TP2)
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: undefined,
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atrMultiplierSl: process.env.ATR_MULTIPLIER_SL
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? parseFloat(process.env.ATR_MULTIPLIER_SL)
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: undefined,
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minTp1Percent: process.env.MIN_TP1_PERCENT
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? parseFloat(process.env.MIN_TP1_PERCENT)
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: undefined,
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maxTp1Percent: process.env.MAX_TP1_PERCENT
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? parseFloat(process.env.MAX_TP1_PERCENT)
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: undefined,
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minTp2Percent: process.env.MIN_TP2_PERCENT
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? parseFloat(process.env.MIN_TP2_PERCENT)
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@@ -490,6 +514,12 @@ export function getConfigFromEnv(): Partial<TradingConfig> {
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maxTp2Percent: process.env.MAX_TP2_PERCENT
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? parseFloat(process.env.MAX_TP2_PERCENT)
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: undefined,
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minSlPercent: process.env.MIN_SL_PERCENT
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? parseFloat(process.env.MIN_SL_PERCENT)
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: undefined,
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maxSlPercent: process.env.MAX_SL_PERCENT
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? parseFloat(process.env.MAX_SL_PERCENT)
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: undefined,
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profitLockAfterTP1Percent: process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT
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? parseFloat(process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT!)
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