Fix P&L calculation and signal flip detection
- Fix external closure P&L using tp1Hit flag instead of currentSize - Add direction change detection to prevent false TP1 on signal flips - Signal flips now recorded with accurate P&L as 'manual' exits - Add retry logic with exponential backoff for Solana RPC rate limits - Create /api/trading/cancel-orders endpoint for manual cleanup - Improves data integrity for win/loss statistics
This commit is contained in:
mindesbunister
236
scripts/analyze_optimal_exits.sql
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236
scripts/analyze_optimal_exits.sql
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-- Optimal Exit Level Analysis
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-- Run this to determine data-driven SL/TP settings
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-- Execute: docker exec trading-bot-postgres psql -U postgres -d trading_bot_v4 -f /path/to/this/file.sql
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\echo '=========================================='
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\echo '1. MFE/MAE DISTRIBUTION ANALYSIS'
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\echo 'Where do trades actually move?'
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\echo '=========================================='
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SELECT
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direction,
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COUNT(*) as total_trades,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_best_profit,
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ROUND(PERCENTILE_CONT(0.25) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as q25_mfe,
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ROUND(PERCENTILE_CONT(0.50) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as median_mfe,
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ROUND(PERCENTILE_CONT(0.75) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as q75_mfe,
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ROUND(MAX("maxFavorableExcursion")::numeric, 2) as max_mfe,
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ROUND(AVG("maxAdverseExcursion")::numeric, 2) as avg_worst_loss,
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ROUND(PERCENTILE_CONT(0.25) WITHIN GROUP (ORDER BY "maxAdverseExcursion")::numeric, 2) as q25_mae,
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ROUND(MIN("maxAdverseExcursion")::numeric, 2) as min_mae
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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AND "maxAdverseExcursion" IS NOT NULL
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GROUP BY direction;
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\echo ''
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\echo 'Interpretation:'
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\echo '- median_mfe = Where 50% of trades profit reaches (set TP2 here)'
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\echo '- q75_mfe = Where top 25% reaches (runner territory)'
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\echo '- q25_mae = Where 25% of worst losses occur (set SL here + buffer)'
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\echo ''
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\echo '=========================================='
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\echo '2. QUALITY SCORE vs PERFORMANCE'
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\echo 'Do high quality signals move further?'
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\echo '=========================================='
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SELECT
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CASE
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WHEN "signalQualityScore" >= 80 THEN 'High (80-100)'
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WHEN "signalQualityScore" >= 70 THEN 'Medium (70-79)'
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ELSE 'Low (60-69)'
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END as quality_tier,
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COUNT(*) as trades,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
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-- How many went beyond current TP1 (+0.4%)?
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ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 0.4 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_exceeded_tp1,
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-- How many went beyond current TP2 (+0.7%)?
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ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 0.7 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_exceeded_tp2,
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-- How many reached runner territory (2%+)?
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ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 2.0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_runner_potential
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FROM "Trade"
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WHERE "signalQualityScore" IS NOT NULL
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AND "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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GROUP BY quality_tier
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ORDER BY quality_tier;
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\echo ''
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\echo 'Interpretation:'
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\echo '- If High Quality has higher pct_exceeded_tp2 → Use quality-based tiers'
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\echo '- If pct_runner_potential > 40% → Runners make sense'
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\echo '- If pct_runner_potential < 20% → Quick exits better'
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\echo ''
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\echo '=========================================='
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\echo '3. RUNNER POTENTIAL BY EXIT REASON'
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\echo 'Are we leaving money on the table?'
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\echo '=========================================='
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SELECT
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direction,
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"exitReason",
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COUNT(*) as count,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(AVG(("maxFavorableExcursion" - ABS(("exitPrice" - "entryPrice") / "entryPrice" * 100)))::numeric, 2) as avg_mfe_vs_exit_gap,
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SUM(CASE WHEN "maxFavorableExcursion" > 1.5 THEN 1 ELSE 0 END) as moved_beyond_1_5pct,
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SUM(CASE WHEN "maxFavorableExcursion" > 2.0 THEN 1 ELSE 0 END) as moved_beyond_2pct,
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SUM(CASE WHEN "maxFavorableExcursion" > 3.0 THEN 1 ELSE 0 END) as moved_beyond_3pct
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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AND "exitPrice" IS NOT NULL
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GROUP BY direction, "exitReason"
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ORDER BY direction, count DESC;
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\echo ''
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\echo 'Interpretation:'
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\echo '- avg_mfe_vs_exit_gap = How much profit left on table'
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\echo '- If TP1/TP2 exits have large gap → Move targets wider'
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\echo '- If SL exits have positive MFE → SL too tight'
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\echo ''
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\echo '=========================================='
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\echo '4. ATR CORRELATION WITH MOVEMENT'
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\echo 'Does volatility predict move size?'
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\echo '=========================================='
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SELECT
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CASE
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WHEN atr < 0.3 THEN 'Low (<0.3%)'
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WHEN atr < 0.6 THEN 'Medium (0.3-0.6%)'
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ELSE 'High (>0.6%)'
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END as atr_bucket,
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COUNT(*) as trades,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(AVG(ABS("maxAdverseExcursion"))::numeric, 2) as avg_mae_abs,
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ROUND(AVG(atr)::numeric, 3) as avg_atr,
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-- MFE to ATR ratio (how many ATRs did price move?)
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ROUND(AVG("maxFavorableExcursion" / atr)::numeric, 1) as mfe_to_atr_ratio
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FROM "Trade"
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WHERE atr IS NOT NULL
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AND atr > 0
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AND "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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GROUP BY atr_bucket
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ORDER BY avg_atr;
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\echo ''
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\echo 'Interpretation:'
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\echo '- mfe_to_atr_ratio = How many ATRs price typically moves'
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\echo '- If ratio > 3 → Price moves 3x ATR, use ATR-based targets'
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\echo '- If ratio ~1-2 → Fixed targets may work better'
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\echo ''
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\echo '=========================================='
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\echo '5. DIRECTION-SPECIFIC PERFORMANCE'
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\echo 'Should longs vs shorts have different exits?'
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\echo '=========================================='
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SELECT
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direction,
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COUNT(*) as trades,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(AVG("maxAdverseExcursion")::numeric, 2) as avg_mae,
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ROUND(AVG("holdTimeSeconds")::numeric / 60, 1) as avg_hold_minutes,
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-- How many hit TP vs SL?
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SUM(CASE WHEN "exitReason" IN ('TP1', 'TP2') THEN 1 ELSE 0 END) as tp_exits,
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SUM(CASE WHEN "exitReason" IN ('SL', 'SOFT_SL', 'HARD_SL') THEN 1 ELSE 0 END) as sl_exits
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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GROUP BY direction;
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\echo ''
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\echo 'Interpretation:'
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\echo '- If one direction has much higher MFE → Give it wider TP2'
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\echo '- If one direction has worse MAE → Tighten its SL'
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\echo '- Different avg_hold_minutes → May need different trailing stops'
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\echo ''
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\echo '=========================================='
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\echo '6. CURRENT TP/SL HIT ANALYSIS'
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\echo 'How often do current levels trigger?'
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\echo '=========================================='
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SELECT
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CASE
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WHEN "maxFavorableExcursion" < 0.4 THEN 'Never reached TP1'
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WHEN "maxFavorableExcursion" >= 0.4 AND "maxFavorableExcursion" < 0.7 THEN 'Reached TP1 only'
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WHEN "maxFavorableExcursion" >= 0.7 AND "maxFavorableExcursion" < 2.0 THEN 'Reached TP2'
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ELSE 'Runner territory (2%+)'
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END as price_action,
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COUNT(*) as trades,
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ROUND(100.0 * COUNT(*) / SUM(COUNT(*)) OVER ()::numeric, 1) as pct_of_total,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "maxFavorableExcursion" IS NOT NULL
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GROUP BY price_action
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ORDER BY avg_mfe;
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\echo ''
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\echo 'Interpretation:'
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\echo '- If most trades in "Never reached TP1" → TP1 too wide'
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\echo '- If most trades in "Runner territory" → We are exiting too early'
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\echo '- Ideal: ~60% reach TP1, ~30% reach TP2, ~10% runners'
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\echo ''
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\echo '=========================================='
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\echo '7. RECENT PERFORMANCE TREND'
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\echo 'Is strategy improving over time?'
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\echo '=========================================='
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SELECT
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DATE("createdAt") as trade_date,
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COUNT(*) as trades,
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ROUND(AVG("signalQualityScore")::numeric, 1) as avg_score,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
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ROUND(SUM("realizedPnL")::numeric, 2) as daily_pnl
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "createdAt" > NOW() - INTERVAL '30 days'
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GROUP BY trade_date
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ORDER BY trade_date DESC
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LIMIT 10;
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\echo ''
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\echo 'Interpretation:'
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\echo '- Rising avg_score + rising win_rate → Quality scoring working'
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\echo '- Declining daily_pnl despite good win_rate → Exits may need adjustment'
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\echo ''
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\echo '=========================================='
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\echo 'SUMMARY RECOMMENDATIONS'
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\echo '=========================================='
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\echo 'Based on the analysis above, consider:'
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\echo ''
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\echo '1. TP1 Setting:'
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\echo ' - Should be at ~25th percentile of MFE (where most trades reach)'
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\echo ' - Currently: +0.4%'
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\echo ''
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\echo '2. TP2 Setting:'
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\echo ' - Should be at ~median MFE (where 50% reach)'
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\echo ' - Currently: +0.7% (with ATR-based dynamic up to 3%)'
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\echo ''
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\echo '3. Runner Strategy:'
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\echo ' - Only use if >40% trades reach "Runner territory"'
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\echo ' - Currently: 25% position with ATR trailing'
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\echo ''
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\echo '4. Stop Loss:'
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\echo ' - Should be at ~25th percentile of MAE (protect from worst 25%)'
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\echo ' - Currently: -1.5% soft, -2.5% hard'
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\echo ''
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\echo '5. Quality-Based Tiers:'
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\echo ' - Only implement if High Quality tier has significantly better metrics'
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\echo ' - Check pct_runner_potential difference across tiers'
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\echo ''
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23
scripts/run_exit_analysis.sh
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23
scripts/run_exit_analysis.sh
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@@ -0,0 +1,23 @@
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#!/bin/bash
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# Run optimal exit analysis and save results
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# Usage: ./run_exit_analysis.sh
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OUTPUT_FILE="exit_analysis_results_$(date +%Y%m%d_%H%M%S).txt"
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echo "🔍 Running optimal exit level analysis..."
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echo "Results will be saved to: $OUTPUT_FILE"
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echo ""
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# Run the SQL analysis
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docker exec trading-bot-postgres psql -U postgres -d trading_bot_v4 -f scripts/analyze_optimal_exits.sql | tee "$OUTPUT_FILE"
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echo ""
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echo "✅ Analysis complete!"
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echo "📊 Results saved to: $OUTPUT_FILE"
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echo ""
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echo "Next steps:"
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echo "1. Review the output above"
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echo "2. Look for patterns in MFE/MAE distribution"
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echo "3. Check if quality score correlation is strong"
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echo "4. Decide on optimal TP1/TP2/SL levels"
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echo "5. Update config/trading.ts with new settings"
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