feat: Add position scaling for strong confirmation signals
**Feature: Position Scaling** Allows adding to existing profitable positions when high-quality signals confirm trend strength. **Configuration (config/trading.ts):** - enablePositionScaling: false (disabled by default - enable after testing) - minScaleQualityScore: 75 (higher bar than initial 60) - minProfitForScale: 0.4% (must be at/past TP1) - maxScaleMultiplier: 2.0 (max 200% of original size) - scaleSizePercent: 50% (add 50% of original position) - minAdxIncrease: 5 (ADX must strengthen) - maxPricePositionForScale: 70% (don't chase resistance) **Validation Logic (check-risk endpoint):** Same-direction signal triggers scaling check if enabled: 1. Quality score ≥75 (stronger than initial entry) 2. Position profitable ≥0.4% (at/past TP1) 3. ADX increased ≥5 points (trend strengthening) 4. Price position <70% (not near resistance) 5. Total size <2x original (risk management) 6. Returns 'allowed: true, reason: Position scaling' if all pass **Execution (execute endpoint):** - Opens additional position at scale size (50% of original) - Updates ActiveTrade: timesScaled, totalScaleAdded, currentSize - Tracks originalAdx from first entry for comparison - Returns 'action: scaled' with scale details **ActiveTrade Interface:** Added fields: - originalAdx?: number (for scaling validation) - timesScaled?: number (track scaling count) - totalScaleAdded?: number (total USD added) **Example Scenario:** 1. LONG SOL at $176 (quality: 45, ADX: 13.4) - weak but entered 2. Price hits $176.70 (+0.4%) - at TP1 3. New LONG signal (quality: 78, ADX: 19) - strong confirmation 4. Scaling validation: ✅ Quality 78 ✅ Profit +0.4% ✅ ADX +5.6 ✅ Price 68% 5. Adds 50% more position at $176.70 6. Total position: 150% of original size **Conservative Design:** - Disabled by default (requires manual enabling) - Only scales INTO profitable positions (never averaging down) - Requires significant quality improvement (75 vs 60) - Requires trend confirmation (ADX increase) - Hard cap at 2x original size - Won't chase near resistance levels **Next Steps:** 1. Enable in settings: ENABLE_POSITION_SCALING=true 2. Test with small positions first 3. Monitor data: do scaled positions outperform? 4. Adjust thresholds based on results **Safety:** - All existing duplicate prevention logic intact - Flip logic unchanged (still requires quality check) - Position Manager tracks scaling state - Can be toggled on/off without code changes
This commit is contained in:
mindesbunister
@@ -6,9 +6,10 @@
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*/
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import { NextRequest, NextResponse } from 'next/server'
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import { getMergedConfig } from '@/config/trading'
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import { getInitializedPositionManager } from '@/lib/trading/position-manager'
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import { getMergedConfig, TradingConfig } from '@/config/trading'
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import { getInitializedPositionManager, ActiveTrade } from '@/lib/trading/position-manager'
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import { getLastTradeTime, getLastTradeTimeForSymbol, getTradesInLastHour, getTodayPnL } from '@/lib/database/trades'
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import { getPythPriceMonitor } from '@/lib/pyth/price-monitor'
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export interface RiskCheckRequest {
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symbol: string
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@@ -29,6 +30,98 @@ export interface RiskCheckResponse {
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qualityReasons?: string[]
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}
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/**
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* Position Scaling Validation
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* Determines if adding to an existing position is allowed
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*/
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function shouldAllowScaling(
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existingTrade: ActiveTrade,
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newSignal: RiskCheckRequest,
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config: TradingConfig
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): { allowed: boolean; reasons: string[]; qualityScore?: number; qualityReasons?: string[] } {
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const reasons: string[] = []
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// Check if we have context metrics
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if (!newSignal.atr || !newSignal.adx || !newSignal.pricePosition) {
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reasons.push('Missing signal metrics for scaling validation')
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return { allowed: false, reasons }
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}
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// 1. Calculate new signal quality score
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const qualityScore = scoreSignalQuality({
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atr: newSignal.atr,
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adx: newSignal.adx,
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rsi: newSignal.rsi || 50,
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volumeRatio: newSignal.volumeRatio || 1,
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pricePosition: newSignal.pricePosition,
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direction: newSignal.direction,
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minScore: config.minScaleQualityScore,
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})
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// 2. Check quality score (higher bar than initial entry)
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if (qualityScore.score < config.minScaleQualityScore) {
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reasons.push(`Quality score too low: ${qualityScore.score} (need ${config.minScaleQualityScore}+)`)
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return { allowed: false, reasons, qualityScore: qualityScore.score, qualityReasons: qualityScore.reasons }
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}
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// 3. Check current position profitability
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const priceMonitor = getPythPriceMonitor()
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const latestPrice = priceMonitor.getCachedPrice(newSignal.symbol)
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const currentPrice = latestPrice?.price
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if (!currentPrice) {
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reasons.push('Unable to fetch current price')
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return { allowed: false, reasons, qualityScore: qualityScore.score }
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}
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const pnlPercent = existingTrade.direction === 'long'
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? ((currentPrice - existingTrade.entryPrice) / existingTrade.entryPrice) * 100
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: ((existingTrade.entryPrice - currentPrice) / existingTrade.entryPrice) * 100
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if (pnlPercent < config.minProfitForScale) {
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reasons.push(`Position not profitable enough: ${pnlPercent.toFixed(2)}% (need ${config.minProfitForScale}%+)`)
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return { allowed: false, reasons, qualityScore: qualityScore.score }
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}
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// 4. Check ADX trend strengthening
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const originalAdx = existingTrade.originalAdx || 0
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const adxIncrease = newSignal.adx - originalAdx
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if (adxIncrease < config.minAdxIncrease) {
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reasons.push(`ADX not strengthening enough: +${adxIncrease.toFixed(1)} (need +${config.minAdxIncrease})`)
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return { allowed: false, reasons, qualityScore: qualityScore.score }
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}
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// 5. Check price position (don't chase near resistance)
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if (newSignal.pricePosition > config.maxPricePositionForScale) {
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reasons.push(`Price too high in range: ${newSignal.pricePosition.toFixed(0)}% (max ${config.maxPricePositionForScale}%)`)
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return { allowed: false, reasons, qualityScore: qualityScore.score }
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}
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// 6. Check max position size (if already scaled)
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const totalScaled = existingTrade.timesScaled || 0
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const currentMultiplier = 1 + (totalScaled * (config.scaleSizePercent / 100))
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const newMultiplier = currentMultiplier + (config.scaleSizePercent / 100)
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if (newMultiplier > config.maxScaleMultiplier) {
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reasons.push(`Max position size reached: ${(currentMultiplier * 100).toFixed(0)}% (max ${(config.maxScaleMultiplier * 100).toFixed(0)}%)`)
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return { allowed: false, reasons, qualityScore: qualityScore.score }
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}
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// All checks passed!
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reasons.push(`Quality: ${qualityScore.score}/100`)
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reasons.push(`P&L: +${pnlPercent.toFixed(2)}%`)
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reasons.push(`ADX increased: +${adxIncrease.toFixed(1)}`)
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reasons.push(`Price position: ${newSignal.pricePosition.toFixed(0)}%`)
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return {
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allowed: true,
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reasons,
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qualityScore: qualityScore.score,
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qualityReasons: qualityScore.reasons
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}
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}
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export async function POST(request: NextRequest): Promise<NextResponse<RiskCheckResponse>> {
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try {
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// Verify authorization
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@@ -57,8 +150,33 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
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const existingPosition = existingTrades.find(trade => trade.symbol === body.symbol)
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if (existingPosition) {
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// Check if it's the SAME direction (duplicate - block it)
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// SAME direction - check if position scaling is allowed
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if (existingPosition.direction === body.direction) {
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// Position scaling feature
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if (config.enablePositionScaling) {
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const scalingCheck = shouldAllowScaling(existingPosition, body, config)
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if (scalingCheck.allowed) {
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console.log('✅ Position scaling ALLOWED:', scalingCheck.reasons)
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return NextResponse.json({
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allowed: true,
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reason: 'Position scaling',
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details: `Scaling into ${body.direction} position - ${scalingCheck.reasons.join(', ')}`,
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qualityScore: scalingCheck.qualityScore,
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qualityReasons: scalingCheck.qualityReasons,
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})
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} else {
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console.log('🚫 Position scaling BLOCKED:', scalingCheck.reasons)
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return NextResponse.json({
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allowed: false,
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reason: 'Scaling not allowed',
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details: scalingCheck.reasons.join(', '),
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qualityScore: scalingCheck.qualityScore,
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})
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}
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}
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// Scaling disabled - block duplicate position
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console.log('🚫 Risk check BLOCKED: Duplicate position (same direction)', {
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symbol: body.symbol,
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existingDirection: existingPosition.direction,
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@@ -69,7 +187,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
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return NextResponse.json({
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allowed: false,
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reason: 'Duplicate position',
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details: `Already have ${existingPosition.direction} position on ${body.symbol} (entry: $${existingPosition.entryPrice})`,
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details: `Already have ${existingPosition.direction} position on ${body.symbol} (entry: $${existingPosition.entryPrice}). Enable scaling in settings to add to position.`,
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})
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}
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