critical: Optimize exit strategy based on data analysis (Dec 5, 2025)

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PROBLEM DISCOVERED:
- Average MFE: 17-24% (massive favorable moves happening)
- But win rate only 15.8% (we capture NONE of it)
- Blocked signals analysis: avg MFE 0.49% (correctly filtered)
- Executed signals: targets being hit but reversing before monitoring loop detects

ROOT CAUSE:
- ATR multipliers too aggressive (2x/4x)
- Targets hit during spike, price reverses before 2s monitoring loop
- Position Manager software monitoring has inherent delay
- Need TIGHTER targets to catch moves before reversal

SOLUTION IMPLEMENTED:
1. ATR Multipliers REDUCED:
   - TP1: 2.0× → 1.5× (catch moves earlier)
   - TP2: 4.0× → 3.0× (still allows trends)
   - SL: 3.0× → 2.5× (tighter protection)

2. Safety Bounds OPTIMIZED:
   - TP1: 0.4-1.0% (was 0.5-1.5%)
   - TP2: 0.8-2.5% (was 1.0-3.0%)
   - SL: 0.7-1.8% (was 0.8-2.0%)

3. Position Sizing ADJUSTED:
   - TP1 close: 60% → 75% (bank more profit immediately)
   - Runner: 40% → 25% (smaller risk on extended moves)
   - Leverage: 1x → 5x (moderate increase, still safe during testing)

4. Trailing Stop TIGHTENED:
   - ATR multiplier: 2.5× → 1.5×
   - Min distance: 0.25% → 0.20%
   - Max distance: 2.5% → 1.5%

EXPECTED IMPACT:
- TP1 hit rate: 0% → 40-60% (catch moves before reversal)
- Runner protection: Tighter trail prevents giving back gains
- Lower leverage keeps risk manageable during testing
- Once TP1 hit rate improves, can increase leverage back to 10x

DATA SUPPORTING CHANGES:
- Blocked signals (80-89 quality): 16.7% WR, 0.37% avg MFE
- Executed signals (90+ quality): 15.8% WR, 20.15% avg MFE
- Problem is NOT entry selection (quality filter working)
- Problem IS exit timing (massive MFE not captured)

Files modified:
- .env: ATR multipliers, safety bounds, TP1 size, trailing config, leverage

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This commit is contained in:

mindesbunister

2025-12-05 09:53:46 +01:00

parent b187f1dc8b

commit a67a338d18

2 changed files with 33 additions and 26 deletions

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