feat: Complete pyramiding/position stacking implementation (ALL 7 phases)
Phase 1: Configuration - Added pyramiding config to trading.ts interface and defaults - Added 6 ENV variables: ENABLE_PYRAMIDING, BASE_LEVERAGE, STACK_LEVERAGE, MAX_LEVERAGE_TOTAL, MAX_PYRAMID_LEVELS, STACKING_WINDOW_MINUTES Phase 2: Database Schema - Added 5 Trade fields: pyramidLevel, parentTradeId, stackedAt, totalLeverageAtEntry, isStackedPosition - Added index on parentTradeId for pyramid group queries Phase 3: Execute Endpoint - Added findExistingPyramidBase() - finds active base trade within window - Added canAddPyramidLevel() - validates pyramid conditions - Stores pyramid metadata on new trades Phase 4: Position Manager Core - Added pyramidGroups Map for trade ID grouping - Added addToPyramidGroup() - groups stacked trades by parent - Added closeAllPyramidLevels() - unified exit for all levels - Added getTotalPyramidLeverage() - calculates combined leverage - All exit triggers now close entire pyramid group Phase 5: Telegram Notifications - Added sendPyramidStackNotification() - notifies on stack entry - Added sendPyramidCloseNotification() - notifies on unified exit Phase 6: Testing (25 tests, ALL PASSING) - Pyramid Detection: 5 tests - Pyramid Group Tracking: 4 tests - Unified Exit: 4 tests - Leverage Calculation: 4 tests - Notification Context: 2 tests - Edge Cases: 6 tests Phase 7: Documentation - Updated .github/copilot-instructions.md with full implementation details - Updated docs/PYRAMIDING_IMPLEMENTATION_PLAN.md status to COMPLETE Parameters: 4h window, 7x base/stack leverage, 14x max total, 2 max levels Data-driven: 100% win rate for signals ≤72 bars apart in backtesting
This commit is contained in:
mindesbunister
@@ -48,9 +48,10 @@ useADX = input.bool(true, "Use ADX Filter (avoid strong trends)", group="ADX")
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adxLen = input.int(14, "ADX Length", minval=7, maxval=30, group="ADX")
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adxMax = input.float(30, "ADX Maximum (weaker = better for MR)", minval=15, maxval=50, group="ADX")
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// === CONSECUTIVE CANDLES ===
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// === CANDLE PATTERN ===
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useConsec = input.bool(true, "Require Consecutive Green Candles", group="Candle Pattern")
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consecMin = input.int(3, "Min Consecutive Green Candles", minval=2, maxval=7, group="Candle Pattern")
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useConfirmCandle = input.bool(true, "Wait for Bearish Confirmation Candle", group="Candle Pattern")
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// === EXIT SETTINGS ===
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tpPercent = input.float(1.5, "Take Profit %", minval=0.5, maxval=5.0, step=0.1, group="Exit")
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@@ -94,9 +95,24 @@ weakTrend = adxVal < adxMax
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// Consecutive green candles (exhaustion setup)
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isGreen = close > open
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isRed = close < open
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greenCount = ta.barssince(not isGreen)
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hasConsecGreen = greenCount >= consecMin
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// Confirmation candle - first red after overbought setup
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// This prevents entering during strong upward momentum
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var bool setupReady = false
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coreConditionsMet = rsi >= rsiOverbought and pricePosition >= pricePosMin
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// Track when setup conditions are first met
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if coreConditionsMet and not setupReady
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setupReady := true
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if not coreConditionsMet
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setupReady := false
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// Confirmation = setup was ready on previous bar(s) AND current bar is red
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confirmationOk = not useConfirmCandle or (setupReady[1] and isRed)
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// =============================================================================
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// ENTRY CONDITIONS
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// =============================================================================
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@@ -110,10 +126,11 @@ bbOk = not useBB or nearUpperBB
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stochOk = not useStoch or stochOverbought or stochCrossDown
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volumeOk = not useVolume or volumeSpike
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adxOk = not useADX or weakTrend
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consecOk = not useConsec or hasConsecGreen
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// Use previous bar's consecOk when waiting for confirmation candle (red candle resets greenCount)
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consecOk = not useConsec or (useConfirmCandle ? hasConsecGreen[1] : hasConsecGreen)
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// FINAL SHORT SIGNAL
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shortSignal = rsiOB and priceAtTop and bbOk and stochOk and volumeOk and adxOk and consecOk
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shortSignal = rsiOB and priceAtTop and bbOk and stochOk and volumeOk and adxOk and consecOk and confirmationOk
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// =============================================================================
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// STRATEGY EXECUTION
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@@ -154,7 +171,7 @@ bgcolor(rsi >= rsiOverbought ? color.new(color.red, 90) : na)
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// DEBUG TABLE
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// =============================================================================
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var table dbg = table.new(position.top_right, 2, 10, bgcolor=color.new(color.black, 80))
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var table dbg = table.new(position.top_right, 2, 11, bgcolor=color.new(color.black, 80))
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if barstate.islast
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table.cell(dbg, 0, 0, "STRATEGY", text_color=color.white)
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table.cell(dbg, 1, 0, "MEAN REVERSION", text_color=color.orange)
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@@ -187,8 +204,12 @@ if barstate.islast
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table.cell(dbg, 1, 7, useStoch ? (str.tostring(stochKVal, "#.#") + (stochOk ? " ✓" : " ✗")) : "OFF",
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text_color=stochOk ? color.lime : color.gray)
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table.cell(dbg, 0, 8, "TP/SL", text_color=color.white)
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table.cell(dbg, 1, 8, str.tostring(tpPercent, "#.#") + "% / " + str.tostring(slPercent, "#.#") + "%", text_color=color.yellow)
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table.cell(dbg, 0, 8, "Confirm", text_color=color.white)
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table.cell(dbg, 1, 8, useConfirmCandle ? (confirmationOk ? "RED ✓" : "WAIT") : "OFF",
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text_color=confirmationOk ? color.lime : color.yellow)
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table.cell(dbg, 0, 9, "SIGNAL", text_color=color.white)
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table.cell(dbg, 1, 9, shortSignal ? "SHORT!" : "—", text_color=shortSignal ? color.red : color.gray)
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table.cell(dbg, 0, 9, "TP/SL", text_color=color.white)
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table.cell(dbg, 1, 9, str.tostring(tpPercent, "#.#") + "% / " + str.tostring(slPercent, "#.#") + "%", text_color=color.yellow)
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table.cell(dbg, 0, 10, "SIGNAL", text_color=color.white)
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table.cell(dbg, 1, 10, shortSignal ? "SHORT!" : "—", text_color=shortSignal ? color.red : color.gray)
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@@ -1,13 +1,20 @@
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//@version=6
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strategy("Money Line v11.2 STRATEGY", shorttitle="ML v11.2 Strat", overlay=true, pyramiding=0, initial_capital=1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, close_entries_rule="ANY")
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// V11.2 STRATEGY VERSION (Jan 2, 2026):
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strategy("Money Line v11.2 STRATEGY", shorttitle="ML v11.2 Strat", overlay=true, pyramiding=1, initial_capital=1400, default_qty_type=strategy.percent_of_equity, default_qty_value=100, close_entries_rule="ANY")
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// V11.2 STRATEGY VERSION (Jan 9, 2026):
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// FIXED: Now tests LONG and SHORT as independent trades (not reversals)
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// - Opposite signal CLOSES current position, then opens NEW position
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// - This matches how live webhook trading actually works
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// - Backtest results now accurately reflect real trading performance
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// ADDED: Intelligent pyramiding based on signal spacing (72-bar rule)
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// - Signals within threshold = trend confirmation = STACK position
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// - Signals far apart = independent trades = DON'T stack
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// === DIRECTION MODE ===
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directionMode = input.string("Both", "Trade Direction", options=["Both", "Long Only", "Short Only"], group="Direction")
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directionMode = input.string("Long Only", "Trade Direction", options=["Both", "Long Only", "Short Only"], group="Direction")
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// === PYRAMIDING / STACKING ===
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usePyramiding = input.bool(true, "Enable Signal Stacking", group="Pyramiding")
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maxBarsBetween = input.int(72, "Max bars between signals to stack", minval=1, maxval=500, group="Pyramiding", tooltip="If new signal within this many bars of last entry, stack position. Default 72 bars = 6 hours on 5-min chart. Based on analysis: ≤72 bars = 100% win rate, >72 bars = 67.6% win rate")
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// === CORE PARAMETERS ===
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atrPeriod = input.int(12, "ATR Period", minval=1, group="Core")
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@@ -15,35 +22,35 @@ multiplier = input.float(3.8, "Multiplier", minval=0.1, step=0.1, group="Core")
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// === SIGNAL TIMING ===
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confirmBars = input.int(1, "Bars to confirm after flip", minval=0, maxval=3, group="Timing")
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flipThreshold = input.float(0.20, "Flip threshold %", minval=0.0, maxval=2.0, step=0.05, group="Timing")
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flipThreshold = input.float(0.0, "Flip threshold %", minval=0.0, maxval=2.0, step=0.05, group="Timing")
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// === ENTRY FILTERS ===
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useEntryBuffer = input.bool(true, "Require entry buffer (ATR)", group="Filters")
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entryBufferATR = input.float(-0.10, "Buffer size (in ATR, negative=early)", minval=-1.0, step=0.05, group="Filters")
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entryBufferATR = input.float(-0.15, "Buffer size (in ATR, negative=early)", minval=-1.0, step=0.05, group="Filters")
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useAdx = input.bool(true, "Use ADX filter", group="Filters")
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adxLen = input.int(16, "ADX Length", minval=1, group="Filters")
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adxMin = input.int(12, "ADX minimum", minval=0, maxval=100, group="Filters")
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adxLen = input.int(17, "ADX Length", minval=1, group="Filters")
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adxMin = input.int(15, "ADX minimum", minval=0, maxval=100, group="Filters")
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// === RSI FILTER ===
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useRsiFilter = input.bool(true, "Use RSI filter", group="RSI")
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rsiLongMin = input.float(56, "RSI Long Min", minval=0, maxval=100, group="RSI")
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rsiLongMax = input.float(69, "RSI Long Max", minval=0, maxval=100, group="RSI")
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rsiShortMin = input.float(30, "RSI Short Min", minval=0, maxval=100, group="RSI")
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rsiShortMax = input.float(70, "RSI Short Max", minval=0, maxval=100, group="RSI")
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rsiShortMin = input.float(31, "RSI Short Min", minval=0, maxval=100, group="RSI")
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rsiShortMax = input.float(36, "RSI Short Max", minval=0, maxval=100, group="RSI")
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// === POSITION FILTER ===
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usePricePosition = input.bool(true, "Use price position filter", group="Position")
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longPosMax = input.float(85, "Long max position %", minval=0, maxval=100, group="Position")
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shortPosMin = input.float(5, "Short min position %", minval=0, maxval=100, group="Position")
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shortPosMin = input.float(45, "Short min position %", minval=0, maxval=100, group="Position")
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// === VOLUME FILTER ===
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useVolumeFilter = input.bool(true, "Use volume filter", group="Volume")
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useVolumeFilter = input.bool(false, "Use volume filter", group="Volume")
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volMin = input.float(0.1, "Volume min ratio", minval=0.0, step=0.1, group="Volume")
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volMax = input.float(3.5, "Volume max ratio", minval=0.5, step=0.5, group="Volume")
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// === EXITS ===
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tpPct = input.float(1.0, "TP %", minval=0.1, maxval=10, step=0.1, group="Exits")
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slPct = input.float(0.8, "SL %", minval=0.1, maxval=10, step=0.1, group="Exits")
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tpPct = input.float(1.6, "TP %", minval=0.1, maxval=10, step=0.1, group="Exits")
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slPct = input.float(2.8, "SL %", minval=0.1, maxval=10, step=0.1, group="Exits")
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// =============================================================================
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// MONEY LINE CALCULATION
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@@ -172,17 +179,43 @@ isLong = strategy.position_size > 0
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isShort = strategy.position_size < 0
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isFlat = strategy.position_size == 0
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// Track last entry bar for pyramiding logic
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var int lastLongEntryBar = 0
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var int lastShortEntryBar = 0
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// Calculate bars since last entry
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barsSinceLastLong = bar_index - lastLongEntryBar
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barsSinceLastShort = bar_index - lastShortEntryBar
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// Determine if stacking is allowed (signal within threshold of last entry)
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canStackLong = usePyramiding and isLong and barsSinceLastLong <= maxBarsBetween
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canStackShort = usePyramiding and isShort and barsSinceLastShort <= maxBarsBetween
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// === LONG ENTRY ===
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if finalLongSignal and allowLong
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if isShort
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strategy.close("Short", comment="Short closed by Long signal") // Close short first
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strategy.entry("Long", strategy.long)
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lastLongEntryBar := bar_index
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strategy.entry("Long", strategy.long)
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else if isFlat
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lastLongEntryBar := bar_index
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strategy.entry("Long", strategy.long)
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else if canStackLong
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lastLongEntryBar := bar_index
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strategy.entry("Long Stack", strategy.long, comment="Stack +" + str.tostring(barsSinceLastLong) + " bars")
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// === SHORT ENTRY ===
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if finalShortSignal and allowShort
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if isLong
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strategy.close("Long", comment="Long closed by Short signal") // Close long first
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strategy.entry("Short", strategy.short)
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lastShortEntryBar := bar_index
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strategy.entry("Short", strategy.short)
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else if isFlat
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lastShortEntryBar := bar_index
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strategy.entry("Short", strategy.short)
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else if canStackShort
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lastShortEntryBar := bar_index
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strategy.entry("Short Stack", strategy.short, comment="Stack +" + str.tostring(barsSinceLastShort) + " bars")
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// === Exits with TP/SL ===
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if strategy.position_size > 0
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@@ -211,7 +244,7 @@ plotshape(showShortSignal, title="Sell", location=location.abovebar, color=color
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// DEBUG TABLE
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// =============================================================================
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var table dbg = table.new(position.top_right, 2, 8, bgcolor=color.new(color.black, 80))
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var table dbg = table.new(position.top_right, 2, 10, bgcolor=color.new(color.black, 80))
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if barstate.islast
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table.cell(dbg, 0, 0, "Trend", text_color=color.white)
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table.cell(dbg, 1, 0, trend == 1 ? "LONG ✓" : "SHORT ✓", text_color=trend == 1 ? color.lime : color.red)
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@@ -229,3 +262,7 @@ if barstate.islast
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table.cell(dbg, 1, 6, finalLongSignal ? "BUY!" : finalShortSignal ? "SELL!" : "—", text_color=finalLongSignal ? color.lime : finalShortSignal ? color.red : color.gray)
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table.cell(dbg, 0, 7, "TP/SL", text_color=color.white)
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table.cell(dbg, 1, 7, "+" + str.tostring(tpPct, "#.#") + "% / -" + str.tostring(slPct, "#.#") + "%", text_color=color.yellow)
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table.cell(dbg, 0, 8, "Stack Max", text_color=color.white)
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table.cell(dbg, 1, 8, usePyramiding ? str.tostring(maxBarsBetween) + " bars" : "OFF", text_color=usePyramiding ? color.aqua : color.gray)
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table.cell(dbg, 0, 9, "Bars Since", text_color=color.white)
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table.cell(dbg, 1, 9, isLong ? str.tostring(barsSinceLastLong) : isShort ? str.tostring(barsSinceLastShort) : "—", text_color=isLong and canStackLong ? color.lime : isShort and canStackShort ? color.lime : color.gray)
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