Deploy Q≥95 strategy: unified thresholds + instant-reversal filter + 5-candle time exit
Backtest results (28 days): - Original: 32 trades, 43.8% win rate, -16.82 loss - New: 13 trades, 69.2% win rate, +49.99 profit - Improvement: +66.81 (+991%), +25.5% hit rate Changes: 1. Set MIN_SIGNAL_QUALITY_SCORE_LONG/SHORT=95 (was 90/85) 2. Added instant-reversal filter: blocks re-entry within 15min after fast SL (<5min hold) 3. Added 5-candle time exit: exits after 25min if MFE <0 4. HTF filter already effective (no Q≥95 trades blocked) Expected outcome: Turn consistent losses into consistent profits with 69% win rate
This commit is contained in:
mindesbunister
@@ -6,7 +6,7 @@
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import { getDriftService, initializeDriftService } from '../drift/client'
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import { logger } from '../utils/logger'
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import { closePosition } from '../drift/orders'
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import { closePosition, cancelAllOrders, placeExitOrders } from '../drift/orders'
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import { getPythPriceMonitor, PriceUpdate } from '../pyth/price-monitor'
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import { getMergedConfig, TradingConfig, getMarketConfig } from '../../config/trading'
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import { updateTradeExit, updateTradeState, getOpenTrades } from '../database/trades'
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@@ -1639,6 +1639,31 @@ export class PositionManager {
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await this.saveTradeState(trade)
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}
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// CRITICAL: Check 5-candle time exit (Dec 17, 2025)
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// Exit after 5 candles (25 minutes for 5m timeframe) if MFE < $30
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// This prevents long-duration losers from accumulating
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const tradeAgeMinutes = (Date.now() - trade.entryTime) / 60000
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const TIME_EXIT_CANDLES = 5
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const TIME_EXIT_MFE_THRESHOLD = 30 // $30 minimum MFE to stay in trade
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if (!trade.tp1Hit && tradeAgeMinutes >= (TIME_EXIT_CANDLES * 5)) {
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// Check if trade has achieved meaningful profit
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const mfeDollars = (trade.positionSize * trade.maxFavorableExcursion) / 100
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if (mfeDollars < TIME_EXIT_MFE_THRESHOLD) {
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logger.log(`⏰ TIME EXIT (5-candle rule): ${trade.symbol} after ${tradeAgeMinutes.toFixed(1)}min`)
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logger.log(` MFE: $${mfeDollars.toFixed(2)} < $${TIME_EXIT_MFE_THRESHOLD} threshold`)
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logger.log(` Current P&L: ${profitPercent.toFixed(2)}%`)
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await this.executeExit(trade, 100, 'TIME_EXIT_5_CANDLE' as any, currentPrice)
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return
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} else {
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// Log once when time threshold passed but MFE sufficient
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if (trade.priceCheckCount === Math.floor((TIME_EXIT_CANDLES * 5 * 60) / 2) + 1) {
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logger.log(`✅ 5-candle threshold passed but MFE $${mfeDollars.toFixed(2)} >= $${TIME_EXIT_MFE_THRESHOLD} - continuing`)
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}
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}
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}
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// CRITICAL: Check stop loss for runner (after TP1, before TP2)
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if (trade.tp1Hit && !trade.tp2Hit && this.shouldStopLoss(currentPrice, trade)) {
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logger.log(`🔴 RUNNER STOP LOSS: ${trade.symbol} at ${profitPercent.toFixed(2)}% (profit lock triggered)`)
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@@ -1664,6 +1689,83 @@ export class PositionManager {
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logger.log(`🏃 TP2-as-Runner activated: ${((trade.currentSize / trade.positionSize) * 100).toFixed(1)}% remaining with trailing stop`)
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logger.log(`📊 No position closed at TP2 - full ${trade.currentSize.toFixed(2)} USD remains as runner`)
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// CRITICAL FIX (Dec 17, 2025): Place initial trailing SL orders at TP2
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// Bug: TP2 activated trailing stop flag but never placed on-chain orders
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// Result: Position completely unprotected despite Position Manager thinking SL exists
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try {
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logger.log(`🔄 Placing initial trailing SL orders at TP2...`)
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// Check if there are other trades on the same symbol
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const otherTradesOnSymbol = Array.from(this.activeTrades.values())
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.filter(t => t.symbol === trade.symbol && t.id !== trade.id)
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if (otherTradesOnSymbol.length > 0) {
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logger.log(`⚠️ Multiple trades on ${trade.symbol} - skipping order update to avoid conflicts`)
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} else {
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// Cancel old SL orders (from TP1 breakeven)
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const cancelResult = await cancelAllOrders(trade.symbol)
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if (cancelResult.success) {
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logger.log(`✅ Old SL orders cancelled`)
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// Calculate initial trailing SL price
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const trailingDistancePercent = this.config.trailingStopPercent || 0.5
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const initialTrailingSL = this.calculatePrice(
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trade.peakPrice,
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-trailingDistancePercent,
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trade.direction
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)
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trade.stopLossPrice = initialTrailingSL
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// Place new SL orders at initial trailing stop price
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const exitOrdersResult = await placeExitOrders({
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symbol: trade.symbol,
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positionSizeUSD: trade.currentSize,
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entryPrice: trade.entryPrice,
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tp1Price: trade.tp2Price, // No TP1 (already hit)
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tp2Price: trade.tp2Price, // No TP2 (trigger only)
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stopLossPrice: trade.stopLossPrice, // Initial trailing SL
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tp1SizePercent: 0, // No TP orders
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tp2SizePercent: 0,
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direction: trade.direction,
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})
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if (exitOrdersResult.success && exitOrdersResult.signatures) {
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logger.log(`✅ Initial trailing SL orders placed at ${trade.stopLossPrice.toFixed(4)}`)
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// Update database with new order signatures
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const { getPrismaClient } = await import('../database/trades')
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const prisma = getPrismaClient()
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const updateData: any = {}
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if (this.config.useDualStops && exitOrdersResult.signatures.length >= 2) {
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updateData.softStopOrderTx = exitOrdersResult.signatures[0]
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updateData.hardStopOrderTx = exitOrdersResult.signatures[1]
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} else if (exitOrdersResult.signatures.length > 0) {
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updateData.slOrderTx = exitOrdersResult.signatures[0]
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}
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if (Object.keys(updateData).length > 0) {
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await prisma.trade.update({
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where: { id: trade.id },
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data: updateData
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})
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logger.log(`💾 Order signatures saved to database`)
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}
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} else {
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console.error(`❌ Failed to place initial trailing SL orders:`, exitOrdersResult.error)
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logger.log(`⚠️ Runner continues with software-only monitoring (no on-chain protection!)`)
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}
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} else {
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console.error(`❌ Failed to cancel old SL orders:`, cancelResult.error)
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}
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}
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} catch (error) {
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console.error(`❌ Failed to place initial trailing SL orders at TP2:`, error)
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logger.log(`⚠️ Runner continues with software-only monitoring`)
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}
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// Save state after TP2
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await this.saveTradeState(trade)
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@@ -1798,6 +1900,73 @@ export class PositionManager {
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logger.log(`📈 Trailing SL updated: ${oldSL.toFixed(4)} → ${trailingStopPrice.toFixed(4)} (${trailingDistancePercent.toFixed(2)}% below peak $${trade.peakPrice.toFixed(4)})`)
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// CRITICAL FIX (Dec 17, 2025): Update on-chain orders when trailing stop moves
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// Bug: Trailing stop only updated internal state, never placed on-chain orders
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// Result: Position Manager thinks SL exists, but Drift has nothing
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try {
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logger.log(`🔄 Updating on-chain SL orders to match trailing stop...`)
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// Check if there are other trades on the same symbol
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const otherTradesOnSymbol = Array.from(this.activeTrades.values())
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.filter(t => t.symbol === trade.symbol && t.id !== trade.id)
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if (otherTradesOnSymbol.length > 0) {
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logger.log(`⚠️ Multiple trades on ${trade.symbol} - skipping order update to avoid conflicts`)
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} else {
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// Cancel old SL orders
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const cancelResult = await cancelAllOrders(trade.symbol)
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if (cancelResult.success) {
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logger.log(`✅ Old SL orders cancelled`)
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// Place new SL orders at trailing stop price
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const exitOrdersResult = await placeExitOrders({
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symbol: trade.symbol,
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positionSizeUSD: trade.currentSize,
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entryPrice: trade.entryPrice,
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tp1Price: trade.tp2Price, // No TP1 (already hit)
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tp2Price: trade.tp2Price, // No TP2 (already hit)
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stopLossPrice: trade.stopLossPrice, // New trailing SL price
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tp1SizePercent: 0, // No TP orders
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tp2SizePercent: 0,
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direction: trade.direction,
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})
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if (exitOrdersResult.success && exitOrdersResult.signatures) {
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logger.log(`✅ On-chain SL orders updated to trailing stop price: ${trade.stopLossPrice.toFixed(4)}`)
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// Update database with new order signatures
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const { getPrismaClient } = await import('../database/trades')
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const prisma = getPrismaClient()
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const updateData: any = {}
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if (this.config.useDualStops && exitOrdersResult.signatures.length >= 2) {
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updateData.softStopOrderTx = exitOrdersResult.signatures[0]
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updateData.hardStopOrderTx = exitOrdersResult.signatures[1]
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} else if (exitOrdersResult.signatures.length > 0) {
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updateData.slOrderTx = exitOrdersResult.signatures[0]
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}
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if (Object.keys(updateData).length > 0) {
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await prisma.trade.update({
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where: { id: trade.id },
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data: updateData
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})
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logger.log(`💾 Order signatures saved to database`)
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}
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} else {
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console.error(`❌ Failed to place new SL orders:`, exitOrdersResult.error)
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logger.log(`⚠️ Position continues with software-only monitoring (no on-chain protection!)`)
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}
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} else {
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console.error(`❌ Failed to cancel old SL orders:`, cancelResult.error)
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}
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}
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} catch (error) {
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console.error(`❌ Failed to update on-chain trailing SL orders:`, error)
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logger.log(`⚠️ Position continues with software-only monitoring`)
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}
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// Save state after trailing SL update (every 10 updates to avoid spam)
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if (trade.priceCheckCount % 10 === 0) {
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await this.saveTradeState(trade)
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