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feat: Implement ATR-based TP/SL system for regime-agnostic trading

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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
2025-11-17 11:41:13 +01:00
parent 9dfc6da449
commit 141022243a
3 changed files with 155 additions and 47 deletions
Download Patch File Download Diff File Expand all files Collapse all files

61
.env
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@@ -73,10 +73,10 @@ MAX_POSITION_SIZE_USD=210
# Higher leverage = bigger gains AND bigger losses # Higher leverage = bigger gains AND bigger losses
LEVERAGE=10 LEVERAGE=10
# Risk parameters (as percentages) # Risk parameters (LEGACY FALLBACK - used when ATR unavailable)
# Stop Loss: Close 100% of position when price drops this much # Stop Loss: Close 100% of position when price drops this much
# Example: -1.5% on 10x = -15% account loss # Example: -1.5% on 10x = -15% account loss
STOP_LOSS_PERCENT=-1 STOP_LOSS_PERCENT=-1.5
# ================================ # ================================
# DUAL STOP SYSTEM (Advanced) # DUAL STOP SYSTEM (Advanced)
@@ -85,7 +85,7 @@ STOP_LOSS_PERCENT=-1
# When enabled, places TWO stop orders: # When enabled, places TWO stop orders:
# 1. Soft Stop (TRIGGER_LIMIT) - Avoids false breakouts/wicks # 1. Soft Stop (TRIGGER_LIMIT) - Avoids false breakouts/wicks
# 2. Hard Stop (TRIGGER_MARKET) - Guarantees exit if price keeps falling # 2. Hard Stop (TRIGGER_MARKET) - Guarantees exit if price keeps falling
USE_DUAL_STOPS=true USE_DUAL_STOPS=false
# Soft Stop (Primary, Stop-Limit) # Soft Stop (Primary, Stop-Limit)
# Triggers first, tries to avoid wicks # Triggers first, tries to avoid wicks
@@ -97,36 +97,53 @@ SOFT_STOP_BUFFER=0.4 # Buffer between trigger and limit (0.4% = limit at -1.9%)
# Guarantees exit during strong breakdowns # Guarantees exit during strong breakdowns
HARD_STOP_PERCENT=-2.5 HARD_STOP_PERCENT=-2.5
# Take Profit 1: Close 50% of position at this profit level # Take Profit 1: Close X% of position at this profit level (FALLBACK)
# Example: +0.7% on 10x = +7% account gain # Example: +0.8% on 10x = +8% account gain
TAKE_PROFIT_1_PERCENT=0.4 TAKE_PROFIT_1_PERCENT=0.8
# Take Profit 1 Size: What % of position to close at TP1 # Take Profit 1 Size: What % of position to close at TP1
# Example: 50 = close 50% of position # 60 = close 60%, leave 40% for runner
TAKE_PROFIT_1_SIZE_PERCENT=70 TAKE_PROFIT_1_SIZE_PERCENT=60
# Take Profit 2: Close remaining 50% at this profit level # Take Profit 2: Trigger trailing stop at this profit level (FALLBACK)
# Example: +1.5% on 10x = +15% account gain # Example: +1.8% on 10x = +18% account gain
TAKE_PROFIT_2_PERCENT=0.7 TAKE_PROFIT_2_PERCENT=1.8
# Take Profit 2 Size: What % of remaining position to close at TP2 # Take Profit 2 Size: What % of remaining position to close at TP2
# Example: 100 = close all remaining position # 0 = don't close at TP2, activate trailing stop on full remaining position
TAKE_PROFIT_2_SIZE_PERCENT=0 TAKE_PROFIT_2_SIZE_PERCENT=0
# ATR-based dynamic targets (capture big moves like 4-5% drops) # ================================
# Enable dynamic TP2 based on market volatility # ATR-BASED TP/SL (PRIMARY SYSTEM - Nov 17, 2025)
# ================================
# Enable dynamic TP/SL based on market volatility (RECOMMENDED)
# ATR (Average True Range) adapts to current market conditions
# Bull market: Different ATR → Different targets automatically
# Bear market: Different ATR → Different targets automatically
# No manual intervention needed when market regime changes!
USE_ATR_BASED_TARGETS=true USE_ATR_BASED_TARGETS=true
# ATR multiplier for TP2 calculation (TP2 = ATR × this value) # ATR multipliers for TP1, TP2, and SL
# Example: ATR=0.8% × 2.0 = 1.6% TP2 target # Example with SOL ATR = 0.45% of price:
ATR_MULTIPLIER_FOR_TP2=2 # TP1 = 0.45% × 2.0 = 0.90% target
# TP2 = 0.45% × 4.0 = 1.80% target
# SL = 0.45% × 3.0 = 1.35% distance
ATR_MULTIPLIER_TP1=2.0
ATR_MULTIPLIER_TP2=4.0
ATR_MULTIPLIER_SL=3.0
# Minimum TP2 level regardless of ATR (safety floor) # Safety bounds (prevent extreme values)
MIN_TP2_PERCENT=0.7 # TP1 bounds
MIN_TP1_PERCENT=0.5 # Never below +0.5%
MAX_TP1_PERCENT=1.5 # Never above +1.5%
# Maximum TP2 level cap (prevents excessive targets) # TP2 bounds
# Example: 3.0% = 30% account gain at 10x leverage MIN_TP2_PERCENT=1.0 # Never below +1.0%
MAX_TP2_PERCENT=3 MAX_TP2_PERCENT=3.0 # Never above +3.0%
# SL bounds
MIN_SL_PERCENT=0.8 # Never tighter than -0.8%
MAX_SL_PERCENT=2.0 # Never wider than -2.0%
# Emergency Stop: Hard stop if this level is breached # Emergency Stop: Hard stop if this level is breached
# Example: -2.0% on 10x = -20% account loss (rare but protects from flash crashes) # Example: -2.0% on 10x = -20% account loss (rare but protects from flash crashes)

73
app/api/trading/execute/route.ts
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@@ -515,9 +515,48 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
// Calculate stop loss and take profit prices // Calculate stop loss and take profit prices
const entryPrice = openResult.fillPrice! const entryPrice = openResult.fillPrice!
// ATR-based TP/SL calculation (PRIMARY SYSTEM - Nov 17, 2025)
let tp1Percent = config.takeProfit1Percent // Fallback
let tp2Percent = config.takeProfit2Percent // Fallback
let slPercent = config.stopLossPercent // Fallback
if (config.useAtrBasedTargets && body.atr && body.atr > 0) {
// Calculate dynamic percentages from ATR
tp1Percent = calculatePercentFromAtr(
body.atr,
entryPrice,
config.atrMultiplierTp1,
config.minTp1Percent,
config.maxTp1Percent
)
tp2Percent = calculatePercentFromAtr(
body.atr,
entryPrice,
config.atrMultiplierTp2,
config.minTp2Percent,
config.maxTp2Percent
)
slPercent = -Math.abs(calculatePercentFromAtr(
body.atr,
entryPrice,
config.atrMultiplierSl,
config.minSlPercent,
config.maxSlPercent
))
console.log(`📊 ATR-based targets (ATR: ${body.atr.toFixed(4)} = ${((body.atr/entryPrice)*100).toFixed(2)}%):`)
console.log(` TP1: ${config.atrMultiplierTp1}x ATR = ${tp1Percent.toFixed(2)}%`)
console.log(` TP2: ${config.atrMultiplierTp2}x ATR = ${tp2Percent.toFixed(2)}%`)
console.log(` SL: ${config.atrMultiplierSl}x ATR = ${slPercent.toFixed(2)}%`)
} else {
console.log(`⚠️ Using fixed percentage targets (ATR not available or disabled)`)
}
const stopLossPrice = calculatePrice( const stopLossPrice = calculatePrice(
entryPrice, entryPrice,
config.stopLossPercent, slPercent,
body.direction body.direction
) )
@@ -543,21 +582,21 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
const tp1Price = calculatePrice( const tp1Price = calculatePrice(
entryPrice, entryPrice,
config.takeProfit1Percent, tp1Percent,
body.direction body.direction
) )
const tp2Price = calculatePrice( const tp2Price = calculatePrice(
entryPrice, entryPrice,
config.takeProfit2Percent, tp2Percent,
body.direction body.direction
) )
console.log('📊 Trade targets:') console.log('📊 Trade targets:')
console.log(` Entry: $${entryPrice.toFixed(4)}`) console.log(` Entry: $${entryPrice.toFixed(4)}`)
console.log(` SL: $${stopLossPrice.toFixed(4)} (${config.stopLossPercent}%)`) console.log(` SL: $${stopLossPrice.toFixed(4)} (${slPercent.toFixed(2)}%)`)
console.log(` TP1: $${tp1Price.toFixed(4)} (${config.takeProfit1Percent}%)`) console.log(` TP1: $${tp1Price.toFixed(4)} (${tp1Percent.toFixed(2)}%)`)
console.log(` TP2: $${tp2Price.toFixed(4)} (${config.takeProfit2Percent}%)`) console.log(` TP2: $${tp2Price.toFixed(4)} (${tp2Percent.toFixed(2)}%)`)
// Calculate emergency stop // Calculate emergency stop
const emergencyStopPrice = calculatePrice( const emergencyStopPrice = calculatePrice(
@@ -786,3 +825,25 @@ function calculatePrice(
return entryPrice * (1 - percent / 100) return entryPrice * (1 - percent / 100)
} }
} }
/**
* Calculate TP/SL from ATR with safety bounds (NEW - Nov 17, 2025)
* Returns percentage to use with calculatePrice()
*/
function calculatePercentFromAtr(
atrValue: number,
entryPrice: number,
atrMultiplier: number,
minPercent: number,
maxPercent: number
): number {
// Convert ATR to percentage of entry price
const atrPercent = (atrValue / entryPrice) * 100
// Apply multiplier
const targetPercent = atrPercent * atrMultiplier
// Clamp between min/max bounds
return Math.max(minPercent, Math.min(maxPercent, targetPercent))
}

68
config/trading.ts
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@@ -21,17 +21,23 @@ export interface TradingConfig {
solana?: SymbolSettings solana?: SymbolSettings
ethereum?: SymbolSettings ethereum?: SymbolSettings
// Risk management (as percentages of entry price) // Risk management (as percentages of entry price - LEGACY, used as fallback)
stopLossPercent: number // Negative number (e.g., -1.5) stopLossPercent: number // Negative number (e.g., -1.5)
takeProfit1Percent: number // Positive number (e.g., 0.7) takeProfit1Percent: number // Positive number (e.g., 0.7)
takeProfit2Percent: number // Positive number (e.g., 1.5) takeProfit2Percent: number // Positive number (e.g., 1.5)
emergencyStopPercent: number // Hard stop (e.g., -2.0) emergencyStopPercent: number // Hard stop (e.g., -2.0)
// ATR-based dynamic targets // ATR-based dynamic targets (NEW - PRIMARY SYSTEM)
useAtrBasedTargets: boolean // Enable ATR-based TP2 scaling useAtrBasedTargets: boolean // Enable ATR-based TP/SL (recommended)
atrMultiplierForTp2: number // Multiply ATR by this for dynamic TP2 (e.g., 2.0) atrMultiplierTp1: number // TP1 = ATR × this multiplier (e.g., 2.0)
minTp2Percent: number // Minimum TP2 level regardless of ATR atrMultiplierTp2: number // TP2 = ATR × this multiplier (e.g., 4.0)
maxTp2Percent: number // Maximum TP2 level cap atrMultiplierSl: number // SL = ATR × this multiplier (e.g., 3.0)
minTp1Percent: number // Minimum TP1 level (safety floor)
maxTp1Percent: number // Maximum TP1 level (cap)
minTp2Percent: number // Minimum TP2 level (safety floor)
maxTp2Percent: number // Maximum TP2 level (cap)
minSlPercent: number // Minimum SL distance (safety floor)
maxSlPercent: number // Maximum SL distance (cap)
// Dual Stop System (Advanced) // Dual Stop System (Advanced)
useDualStops: boolean // Enable dual stop system useDualStops: boolean // Enable dual stop system
@@ -113,17 +119,23 @@ export const DEFAULT_TRADING_CONFIG: TradingConfig = {
usePercentageSize: false, usePercentageSize: false,
}, },
// Risk parameters (wider for DEX slippage/wicks) // Risk parameters (LEGACY FALLBACK - used when ATR unavailable)
stopLossPercent: -1.5, // -1.5% price = -15% account loss (closes 100%) stopLossPercent: -1.5, // Fallback: -1.5% if no ATR
takeProfit1Percent: 0.7, // +0.7% price = +7% account gain (closes 50%) takeProfit1Percent: 0.8, // Fallback: +0.8% if no ATR
takeProfit2Percent: 1.5, // +1.5% price = +15% account gain (closes 50%) takeProfit2Percent: 1.8, // Fallback: +1.8% if no ATR
emergencyStopPercent: -2.0, // -2% hard stop = -20% account loss emergencyStopPercent: -2.0, // Emergency hard stop (always active)
// ATR-based dynamic targets (NEW) // ATR-based dynamic targets (PRIMARY SYSTEM - Nov 17, 2025)
useAtrBasedTargets: true, // Enable ATR-based TP2 scaling for big moves useAtrBasedTargets: true, // Enable ATR-based TP/SL for regime-agnostic trading
atrMultiplierForTp2: 2.0, // TP2 = ATR × 2.0 (adapts to volatility) atrMultiplierTp1: 2.0, // TP1 = ATR × 2.0 (Example: 0.45% ATR = 0.90% TP1)
minTp2Percent: 0.7, // Minimum TP2 (safety floor) atrMultiplierTp2: 4.0, // TP2 = ATR × 4.0 (Example: 0.45% ATR = 1.80% TP2)
maxTp2Percent: 3.0, // Maximum TP2 (cap at 3% for 30% account gain) atrMultiplierSl: 3.0, // SL = ATR × 3.0 (Example: 0.45% ATR = 1.35% SL)
minTp1Percent: 0.5, // Floor: Never below +0.5%
maxTp1Percent: 1.5, // Cap: Never above +1.5%
minTp2Percent: 1.0, // Floor: Never below +1.0%
maxTp2Percent: 3.0, // Cap: Never above +3.0%
minSlPercent: 0.8, // Floor: Never tighter than -0.8%
maxSlPercent: 2.0, // Cap: Never wider than -2.0%
// Dual Stop System // Dual Stop System
useDualStops: false, // Disabled by default useDualStops: false, // Disabled by default
@@ -477,12 +489,24 @@ export function getConfigFromEnv(): Partial<TradingConfig> {
? parseFloat(process.env.TAKE_PROFIT_2_SIZE_PERCENT) ? parseFloat(process.env.TAKE_PROFIT_2_SIZE_PERCENT)
: undefined, : undefined,
// ATR-based dynamic targets // ATR-based dynamic targets (NEW - Nov 17, 2025)
useAtrBasedTargets: process.env.USE_ATR_BASED_TARGETS useAtrBasedTargets: process.env.USE_ATR_BASED_TARGETS
? process.env.USE_ATR_BASED_TARGETS === 'true' ? process.env.USE_ATR_BASED_TARGETS === 'true'
: undefined, : undefined,
atrMultiplierForTp2: process.env.ATR_MULTIPLIER_FOR_TP2 atrMultiplierTp1: process.env.ATR_MULTIPLIER_TP1
? parseFloat(process.env.ATR_MULTIPLIER_FOR_TP2) ? parseFloat(process.env.ATR_MULTIPLIER_TP1)
: undefined,
atrMultiplierTp2: process.env.ATR_MULTIPLIER_TP2
? parseFloat(process.env.ATR_MULTIPLIER_TP2)
: undefined,
atrMultiplierSl: process.env.ATR_MULTIPLIER_SL
? parseFloat(process.env.ATR_MULTIPLIER_SL)
: undefined,
minTp1Percent: process.env.MIN_TP1_PERCENT
? parseFloat(process.env.MIN_TP1_PERCENT)
: undefined,
maxTp1Percent: process.env.MAX_TP1_PERCENT
? parseFloat(process.env.MAX_TP1_PERCENT)
: undefined, : undefined,
minTp2Percent: process.env.MIN_TP2_PERCENT minTp2Percent: process.env.MIN_TP2_PERCENT
? parseFloat(process.env.MIN_TP2_PERCENT) ? parseFloat(process.env.MIN_TP2_PERCENT)
@@ -490,6 +514,12 @@ export function getConfigFromEnv(): Partial<TradingConfig> {
maxTp2Percent: process.env.MAX_TP2_PERCENT maxTp2Percent: process.env.MAX_TP2_PERCENT
? parseFloat(process.env.MAX_TP2_PERCENT) ? parseFloat(process.env.MAX_TP2_PERCENT)
: undefined, : undefined,
minSlPercent: process.env.MIN_SL_PERCENT
? parseFloat(process.env.MIN_SL_PERCENT)
: undefined,
maxSlPercent: process.env.MAX_SL_PERCENT
? parseFloat(process.env.MAX_SL_PERCENT)
: undefined,
profitLockAfterTP1Percent: process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT profitLockAfterTP1Percent: process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT
? parseFloat(process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT!) ? parseFloat(process.env.PROFIT_LOCK_AFTER_TP1_PERCENT || process.env.BREAKEVEN_TRIGGER_PERCENT!)