docs: add ATR-based take profit roadmap

Added comprehensive roadmap for implementing ATR-based TP/SL targets as alternative to fixed percentage targets. Key points: - Phase 1: Data collection (1/50 trades with ATR tracking) - Phase 2: Backtest analysis with SQL queries ready - Phase 3: Implementation with config toggles - Phase 4: A/B testing (50% fixed vs 50% ATR-based) - Phase 5: Full deployment if results show improvement Benefits: - Adapts to market volatility automatically - Tight targets in calm markets, wider in volatile markets - Already collecting ATR data with every trade - Aligns with existing ATR-based trailing stop Timeline: 6-8 weeks (need 50+ trades for meaningful backtest) Target: 10%+ P&L improvement, maintain 60%+ win rate See ATR_BASED_TP_ROADMAP.md for complete implementation plan.
2025-11-12 12:28:06 +01:00
parent 74df461556
commit 7f355f38f5
2 changed files with 279 additions and 1 deletions
--- a/.env
+++ b/.env
@@ -370,7 +370,7 @@ TRAILING_STOP_ACTIVATION=0.4
 MIN_QUALITY_SCORE=65
 SOLANA_ENABLED=true
 SOLANA_POSITION_SIZE=100
-SOLANA_LEVERAGE=20
+SOLANA_LEVERAGE=15
 SOLANA_USE_PERCENTAGE_SIZE=true
 ETHEREUM_ENABLED=false
 ETHEREUM_POSITION_SIZE=50
--- a/ATR_BASED_TP_ROADMAP.md
+++ b/ATR_BASED_TP_ROADMAP.md
@@ -0,0 +1,278 @@
+# ATR-Based Take Profit System - Roadmap
+
+## Current Status: 📋 PLANNING (Needs more data)
+
+**Date Added:** November 12, 2025  
+**Priority:** Medium (after 50+ trades collected with ATR data)
+
+## Concept
+
+Replace fixed percentage TP1/TP2 targets with ATR-based dynamic targets that adapt to market volatility.
+
+### Current System (Fixed %)
+```
+TP1: Entry + 0.4% (always)
+TP2: Entry + 0.7% (always)
+SL:  Entry - 1.0% (always)
+```
+
+### Proposed System (ATR Multipliers)
+```
+TP1: Entry + (ATR × TP1_MULTIPLIER)
+TP2: Entry + (ATR × TP2_MULTIPLIER)
+SL:  Entry - (ATR × SL_MULTIPLIER)
+```
+
+**Example with ATR = 0.26% at $160.62 entry:**
+- 1.5x ATR TP1: $161.25 (+0.39%) ← Close to current 0.4%!
+- 2.5x ATR TP2: $161.66 (+0.65%) ← Close to current 0.7%!
+- 2.0x ATR SL:  $159.79 (-0.52%) ← Tighter than current -1.0%
+
+## Benefits
+
+✅ **Adapts to volatility automatically**
+- Calm market (ATR 0.15%): Tighter targets, faster profit locks
+- Volatile market (ATR 0.50%): Wider targets, more room to run
+
+✅ **Data already available**
+- ATR saved in database (`atrAtEntry` field)
+- TradingView signals include ATR value
+- 159 historical trades to backtest against
+
+✅ **Aligns with existing systems**
+- Already using ATR for trailing stop calculation
+- Consistent risk management approach
+- Easy to add as config toggle
+
+## Implementation Plan
+
+### Phase 1: Data Collection (IN PROGRESS ✅)
+**Status:** Currently collecting ATR data with every trade
+- ✅ `atrAtEntry` field added to database (Nov 11)
+- ✅ ATR-based trailing stop implemented (Nov 11)
+- ✅ TradingView signals passing ATR value
+- 🔄 Need 50+ trades with ATR data for meaningful backtest
+
+**Current progress:** 1 trade with ATR tracking (need 49 more)
+
+### Phase 2: Backtest Analysis (NEXT - After 50+ trades)
+**Goal:** Determine optimal ATR multipliers through historical data
+
+**Backtest queries to run:**
+```sql
+-- Test different TP1 multipliers (1.0x, 1.5x, 2.0x, 2.5x)
+WITH atr_tp1_simulation AS (
+  SELECT 
+    id,
+    symbol,
+    direction,
+    entryPrice,
+    "atrAtEntry",
+    "maxFavorableExcursion" as mfe,
+    realizedPnL,
+    -- Simulate TP1 at different ATR multipliers
+    (entryPrice * "atrAtEntry" / 100 * 1.0) as tp1_1x_distance,
+    (entryPrice * "atrAtEntry" / 100 * 1.5) as tp1_15x_distance,
+    (entryPrice * "atrAtEntry" / 100 * 2.0) as tp1_2x_distance,
+    -- Check if MFE would have hit each TP1 level
+    CASE WHEN "maxFavorableExcursion" >= ("atrAtEntry" * 1.0) THEN 1 ELSE 0 END as hit_1x,
+    CASE WHEN "maxFavorableExcursion" >= ("atrAtEntry" * 1.5) THEN 1 ELSE 0 END as hit_15x,
+    CASE WHEN "maxFavorableExcursion" >= ("atrAtEntry" * 2.0) THEN 1 ELSE 0 END as hit_2x
+  FROM "Trade"
+  WHERE "atrAtEntry" IS NOT NULL
+    AND "exitReason" IS NOT NULL
+)
+SELECT 
+  'TP1 at 1.0x ATR' as strategy,
+  COUNT(*) as total_trades,
+  SUM(hit_1x) as tp1_hits,
+  ROUND(100.0 * SUM(hit_1x) / COUNT(*), 1) as hit_rate,
+  ROUND(AVG("atrAtEntry" * 1.0), 2) as avg_target_pct
+FROM atr_tp1_simulation
+UNION ALL
+SELECT 
+  'TP1 at 1.5x ATR' as strategy,
+  COUNT(*) as total_trades,
+  SUM(hit_15x) as tp1_hits,
+  ROUND(100.0 * SUM(hit_15x) / COUNT(*), 1) as hit_rate,
+  ROUND(AVG("atrAtEntry" * 1.5), 2) as avg_target_pct
+FROM atr_tp1_simulation
+UNION ALL
+SELECT 
+  'TP1 at 2.0x ATR' as strategy,
+  COUNT(*) as total_trades,
+  SUM(hit_2x) as tp1_hits,
+  ROUND(100.0 * SUM(hit_2x) / COUNT(*), 1) as hit_rate,
+  ROUND(AVG("atrAtEntry" * 2.0), 2) as avg_target_pct
+FROM atr_tp1_simulation;
+```
+
+**Metrics to compare:**
+- TP1 hit rate (target 80%+)
+- Average profit per TP1 hit
+- Comparison vs current fixed 0.4% system
+- Win rate impact
+- Total P&L impact
+
+### Phase 3: Configuration Implementation
+**Add new ENV variables:**
+```env
+# ATR-based targets (optional, defaults to fixed %)
+USE_ATR_BASED_TARGETS=false  # Toggle feature
+TP1_ATR_MULTIPLIER=1.5       # TP1 = entry + (ATR × 1.5)
+TP2_ATR_MULTIPLIER=2.5       # TP2 = entry + (ATR × 2.5)
+SL_ATR_MULTIPLIER=2.0        # SL = entry - (ATR × 2.0)
+```
+
+**Update trading config:**
+```typescript
+// config/trading.ts
+export const DEFAULT_TRADING_CONFIG = {
+  // ... existing config
+  
+  // ATR-based targets (optional override for fixed %)
+  useAtrBasedTargets: false,
+  tp1AtrMultiplier: 1.5,
+  tp2AtrMultiplier: 2.5,
+  slAtrMultiplier: 2.0,
+}
+```
+
+**Update execute endpoint:**
+```typescript
+// app/api/trading/execute/route.ts
+if (config.useAtrBasedTargets && body.atr) {
+  const atrValue = body.atr / 100 // Convert % to decimal
+  const atrInDollars = entryPrice * atrValue
+  
+  tp1Price = entryPrice + (atrInDollars * config.tp1AtrMultiplier)
+  tp2Price = entryPrice + (atrInDollars * config.tp2AtrMultiplier)
+  stopLossPrice = entryPrice - (atrInDollars * config.slAtrMultiplier)
+  
+  console.log(`📊 ATR-based targets (ATR=${body.atr}%):`)
+  console.log(`   TP1: $${tp1Price.toFixed(4)} (${config.tp1AtrMultiplier}x ATR)`)
+  console.log(`   TP2: $${tp2Price.toFixed(4)} (${config.tp2AtrMultiplier}x ATR)`)
+  console.log(`   SL:  $${stopLossPrice.toFixed(4)} (${config.slAtrMultiplier}x ATR)`)
+} else {
+  // Fallback to fixed % (current system)
+  tp1Price = calculatePrice(entryPrice, config.takeProfit1Percent, body.direction)
+  // ... existing logic
+}
+```
+
+### Phase 4: A/B Testing (After backtest shows promise)
+Run parallel comparison for 20-30 trades:
+- 50% trades: Fixed % targets (control group)
+- 50% trades: ATR-based targets (test group)
+- Compare: Win rate, profit factor, avg P&L
+
+### Phase 5: Full Deployment
+If A/B test shows improvement:
+- Enable by default for all new trades
+- Keep fixed % as fallback when ATR unavailable
+- Document in copilot-instructions.md
+
+## Expected Multipliers (Based on initial analysis)
+
+**Conservative (High win rate focus):**
+```
+TP1: 1.0-1.5x ATR
+TP2: 2.0-2.5x ATR
+SL:  2.0-3.0x ATR
+```
+
+**Balanced (Current ~equivalent):**
+```
+TP1: 1.5-2.0x ATR
+TP2: 2.5-3.5x ATR
+SL:  2.5-3.5x ATR
+```
+
+**Aggressive (Larger winners):**
+```
+TP1: 2.0-3.0x ATR
+TP2: 3.5-5.0x ATR
+SL:  3.0-4.0x ATR
+```
+
+## Risks & Considerations
+
+⚠️ **Potential issues:**
+1. Very low ATR (<0.15%) might create targets too tight
+2. Very high ATR (>0.8%) might create targets unreachable
+3. Need min/max clamping to prevent extreme values
+4. ATR from TradingView must be fresh (<5min old)
+
+**Mitigation:**
+```typescript
+// Clamp ATR to reasonable range
+const clampedAtr = Math.max(0.15, Math.min(0.8, body.atr))
+
+// Or use hybrid: max of fixed % or ATR-based
+const tp1Price = Math.max(
+  calculatePrice(entryPrice, 0.4, direction),  // Fixed minimum
+  entryPrice + (atrInDollars * config.tp1AtrMultiplier)  // ATR-based
+)
+```
+
+## Dependencies
+
+✅ Already implemented:
+- ATR data collection from TradingView
+- `atrAtEntry` field in database
+- ATR-based trailing stop logic
+
+⏳ Need before implementation:
+- 50+ trades with ATR data (currently 1/50)
+- Backtest analysis results
+- Optimal multiplier determination
+
+## Success Metrics
+
+System is successful if ATR-based approach shows:
+- ✅ TP1 hit rate ≥ 75% (vs current ~70%)
+- ✅ Win rate maintained or improved (target 60%+)
+- ✅ Profit factor > 1.5 (vs current varies)
+- ✅ Better performance in volatile vs calm markets
+- ✅ Total P&L improvement of 10%+
+
+## Timeline Estimate
+
+**Phase 1 (Data Collection):** 2-4 weeks
+- Depends on signal frequency (3-5 trades/day = 10-17 days)
+- Need indicator v6 deployed to production
+
+**Phase 2 (Backtest):** 1-2 days
+- Run SQL analysis
+- Generate comparison reports
+- Determine optimal multipliers
+
+**Phase 3 (Implementation):** 2-3 hours
+- Add config options
+- Update execute endpoint
+- Add settings UI controls
+
+**Phase 4 (A/B Testing):** 2-3 weeks
+- Run parallel comparison
+- Statistical significance testing
+
+**Total:** ~6-8 weeks from today
+
+## Notes
+
+- This complements existing ATR-based trailing stop (already working well)
+- Creates unified risk management: entry, TP, SL, and trailing all based on ATR
+- Could be symbol-specific (SOL might need different multipliers than ETH)
+- Aligns with Phase 1 goals (prove system works with data-driven decisions)
+
+## References
+
+- ATR Trailing Stop Implementation: `ATR_TRAILING_STOP_FIX.md`
+- Trade Database Schema: `prisma/schema.prisma` (line 74: `atrAtEntry Float?`)
+- Position Scaling Roadmap: `POSITION_SCALING_ROADMAP.md` (similar data-driven approach)
+- Current Execute Logic: `app/api/trading/execute/route.ts` (lines 280-310)
+
+---
+
+**Status:** Documented and ready for Phase 2 when sufficient data collected.
+**Next Action:** Wait for 50+ trades with ATR data, then run backtest analysis.