mindesbunister 141022243a feat: Implement ATR-based TP/SL system for regime-agnostic trading ...

CRITICAL UPGRADE - Nov 17, 2025

Problem Solved:
- v6 shorts averaging +20.74% MFE but TP exits at +0.7% (leaving 95% on table)
- Fixed % targets don't adapt to bull/bear regime changes
- User must manually adjust settings when sentiment flips
- Market-regime bias in optimization (bearish now ≠ bullish later)

Solution - ATR-Based Dynamic TP/SL:
- TP1 = ATR × 2.0 (adaptive to volatility)
- TP2 = ATR × 4.0 (captures extended moves)
- SL = ATR × 3.0 (proportional risk)
- Safety bounds prevent extremes (min/max caps)

Example with SOL ATR = 0.45%:
- TP1: 0.45% × 2.0 = 0.90% (vs old fixed 0.4%)
- TP2: 0.45% × 4.0 = 1.80% (vs old fixed 0.7%)
- SL: 0.45% × 3.0 = 1.35% (vs old fixed 1.5%)

Benefits:
 Adapts automatically to bull/bear regime changes
 Asset-agnostic (SOL vs BTC have different ATR)
 Captures more profit in volatile conditions
 Tighter risk in calm conditions
 No manual intervention when sentiment shifts
 Consistent with existing ATR-based trailing stop

Implementation:
- Added TradingConfig fields: atrMultiplierTp1/Tp2/Sl with min/max bounds
- New calculatePercentFromAtr() helper function
- Execute endpoint calculates dynamic % from ATR, falls back to fixed % if unavailable
- ENV variables: ATR_MULTIPLIER_TP1/TP2/SL, MIN_TP1/TP2/SL_PERCENT, MAX_TP1/TP2/SL_PERCENT
- Updated .env with new defaults based on v6 MAE/MFE analysis

Configuration:
- USE_ATR_BASED_TARGETS=true (enabled by default)
- Runner: 40% (TAKE_PROFIT_1_SIZE_PERCENT=60)
- Trailing: 1.3x ATR (existing system, unchanged)
- Legacy fixed % used as fallback when ATR unavailable

Files Modified:
- config/trading.ts (interface + defaults + ENV reading)
- app/api/trading/execute/route.ts (ATR calculation logic)
- .env (new ATR multiplier variables)

Expected Impact:
- Capture 2-3x more profit per winning trade
- Maintain same risk management rigor
- Perform well in BOTH bull and bear markets
- Fix v6 underperformance (-$47.70 → positive)

Testing Required:
- Monitor first 10 trades with ATR-based targets
- Verify TP/SL prices match ATR calculations in logs
- Compare P&L to historical fixed-% performance

2025-11-17 11:41:13 +01:00

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