22195ed34c
- Fix external closure P&L using tp1Hit flag instead of currentSize - Add direction change detection to prevent false TP1 on signal flips - Signal flips now recorded with accurate P&L as 'manual' exits - Add retry logic with exponential backoff for Solana RPC rate limits - Create /api/trading/cancel-orders endpoint for manual cleanup - Improves data integrity for win/loss statistics
237 lines
9.1 KiB
SQL
237 lines
9.1 KiB
SQL
-- Optimal Exit Level Analysis
|
|
-- Run this to determine data-driven SL/TP settings
|
|
-- Execute: docker exec trading-bot-postgres psql -U postgres -d trading_bot_v4 -f /path/to/this/file.sql
|
|
|
|
\echo '=========================================='
|
|
\echo '1. MFE/MAE DISTRIBUTION ANALYSIS'
|
|
\echo 'Where do trades actually move?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
direction,
|
|
COUNT(*) as total_trades,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_best_profit,
|
|
ROUND(PERCENTILE_CONT(0.25) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as q25_mfe,
|
|
ROUND(PERCENTILE_CONT(0.50) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as median_mfe,
|
|
ROUND(PERCENTILE_CONT(0.75) WITHIN GROUP (ORDER BY "maxFavorableExcursion")::numeric, 2) as q75_mfe,
|
|
ROUND(MAX("maxFavorableExcursion")::numeric, 2) as max_mfe,
|
|
ROUND(AVG("maxAdverseExcursion")::numeric, 2) as avg_worst_loss,
|
|
ROUND(PERCENTILE_CONT(0.25) WITHIN GROUP (ORDER BY "maxAdverseExcursion")::numeric, 2) as q25_mae,
|
|
ROUND(MIN("maxAdverseExcursion")::numeric, 2) as min_mae
|
|
FROM "Trade"
|
|
WHERE "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
AND "maxAdverseExcursion" IS NOT NULL
|
|
GROUP BY direction;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- median_mfe = Where 50% of trades profit reaches (set TP2 here)'
|
|
\echo '- q75_mfe = Where top 25% reaches (runner territory)'
|
|
\echo '- q25_mae = Where 25% of worst losses occur (set SL here + buffer)'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '2. QUALITY SCORE vs PERFORMANCE'
|
|
\echo 'Do high quality signals move further?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
CASE
|
|
WHEN "signalQualityScore" >= 80 THEN 'High (80-100)'
|
|
WHEN "signalQualityScore" >= 70 THEN 'Medium (70-79)'
|
|
ELSE 'Low (60-69)'
|
|
END as quality_tier,
|
|
COUNT(*) as trades,
|
|
ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
|
|
ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
|
|
-- How many went beyond current TP1 (+0.4%)?
|
|
ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 0.4 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_exceeded_tp1,
|
|
-- How many went beyond current TP2 (+0.7%)?
|
|
ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 0.7 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_exceeded_tp2,
|
|
-- How many reached runner territory (2%+)?
|
|
ROUND(100.0 * SUM(CASE WHEN "maxFavorableExcursion" > 2.0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as pct_runner_potential
|
|
FROM "Trade"
|
|
WHERE "signalQualityScore" IS NOT NULL
|
|
AND "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
GROUP BY quality_tier
|
|
ORDER BY quality_tier;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- If High Quality has higher pct_exceeded_tp2 → Use quality-based tiers'
|
|
\echo '- If pct_runner_potential > 40% → Runners make sense'
|
|
\echo '- If pct_runner_potential < 20% → Quick exits better'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '3. RUNNER POTENTIAL BY EXIT REASON'
|
|
\echo 'Are we leaving money on the table?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
direction,
|
|
"exitReason",
|
|
COUNT(*) as count,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
|
|
ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
|
|
ROUND(AVG(("maxFavorableExcursion" - ABS(("exitPrice" - "entryPrice") / "entryPrice" * 100)))::numeric, 2) as avg_mfe_vs_exit_gap,
|
|
SUM(CASE WHEN "maxFavorableExcursion" > 1.5 THEN 1 ELSE 0 END) as moved_beyond_1_5pct,
|
|
SUM(CASE WHEN "maxFavorableExcursion" > 2.0 THEN 1 ELSE 0 END) as moved_beyond_2pct,
|
|
SUM(CASE WHEN "maxFavorableExcursion" > 3.0 THEN 1 ELSE 0 END) as moved_beyond_3pct
|
|
FROM "Trade"
|
|
WHERE "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
AND "exitPrice" IS NOT NULL
|
|
GROUP BY direction, "exitReason"
|
|
ORDER BY direction, count DESC;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- avg_mfe_vs_exit_gap = How much profit left on table'
|
|
\echo '- If TP1/TP2 exits have large gap → Move targets wider'
|
|
\echo '- If SL exits have positive MFE → SL too tight'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '4. ATR CORRELATION WITH MOVEMENT'
|
|
\echo 'Does volatility predict move size?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
CASE
|
|
WHEN atr < 0.3 THEN 'Low (<0.3%)'
|
|
WHEN atr < 0.6 THEN 'Medium (0.3-0.6%)'
|
|
ELSE 'High (>0.6%)'
|
|
END as atr_bucket,
|
|
COUNT(*) as trades,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
|
|
ROUND(AVG(ABS("maxAdverseExcursion"))::numeric, 2) as avg_mae_abs,
|
|
ROUND(AVG(atr)::numeric, 3) as avg_atr,
|
|
-- MFE to ATR ratio (how many ATRs did price move?)
|
|
ROUND(AVG("maxFavorableExcursion" / atr)::numeric, 1) as mfe_to_atr_ratio
|
|
FROM "Trade"
|
|
WHERE atr IS NOT NULL
|
|
AND atr > 0
|
|
AND "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
GROUP BY atr_bucket
|
|
ORDER BY avg_atr;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- mfe_to_atr_ratio = How many ATRs price typically moves'
|
|
\echo '- If ratio > 3 → Price moves 3x ATR, use ATR-based targets'
|
|
\echo '- If ratio ~1-2 → Fixed targets may work better'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '5. DIRECTION-SPECIFIC PERFORMANCE'
|
|
\echo 'Should longs vs shorts have different exits?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
direction,
|
|
COUNT(*) as trades,
|
|
ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
|
|
ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
|
|
ROUND(AVG("maxAdverseExcursion")::numeric, 2) as avg_mae,
|
|
ROUND(AVG("holdTimeSeconds")::numeric / 60, 1) as avg_hold_minutes,
|
|
-- How many hit TP vs SL?
|
|
SUM(CASE WHEN "exitReason" IN ('TP1', 'TP2') THEN 1 ELSE 0 END) as tp_exits,
|
|
SUM(CASE WHEN "exitReason" IN ('SL', 'SOFT_SL', 'HARD_SL') THEN 1 ELSE 0 END) as sl_exits
|
|
FROM "Trade"
|
|
WHERE "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
GROUP BY direction;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- If one direction has much higher MFE → Give it wider TP2'
|
|
\echo '- If one direction has worse MAE → Tighten its SL'
|
|
\echo '- Different avg_hold_minutes → May need different trailing stops'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '6. CURRENT TP/SL HIT ANALYSIS'
|
|
\echo 'How often do current levels trigger?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
CASE
|
|
WHEN "maxFavorableExcursion" < 0.4 THEN 'Never reached TP1'
|
|
WHEN "maxFavorableExcursion" >= 0.4 AND "maxFavorableExcursion" < 0.7 THEN 'Reached TP1 only'
|
|
WHEN "maxFavorableExcursion" >= 0.7 AND "maxFavorableExcursion" < 2.0 THEN 'Reached TP2'
|
|
ELSE 'Runner territory (2%+)'
|
|
END as price_action,
|
|
COUNT(*) as trades,
|
|
ROUND(100.0 * COUNT(*) / SUM(COUNT(*)) OVER ()::numeric, 1) as pct_of_total,
|
|
ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
|
|
ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl
|
|
FROM "Trade"
|
|
WHERE "exitReason" IS NOT NULL
|
|
AND "maxFavorableExcursion" IS NOT NULL
|
|
GROUP BY price_action
|
|
ORDER BY avg_mfe;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- If most trades in "Never reached TP1" → TP1 too wide'
|
|
\echo '- If most trades in "Runner territory" → We are exiting too early'
|
|
\echo '- Ideal: ~60% reach TP1, ~30% reach TP2, ~10% runners'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo '7. RECENT PERFORMANCE TREND'
|
|
\echo 'Is strategy improving over time?'
|
|
\echo '=========================================='
|
|
|
|
SELECT
|
|
DATE("createdAt") as trade_date,
|
|
COUNT(*) as trades,
|
|
ROUND(AVG("signalQualityScore")::numeric, 1) as avg_score,
|
|
ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
|
|
ROUND(SUM("realizedPnL")::numeric, 2) as daily_pnl
|
|
FROM "Trade"
|
|
WHERE "exitReason" IS NOT NULL
|
|
AND "createdAt" > NOW() - INTERVAL '30 days'
|
|
GROUP BY trade_date
|
|
ORDER BY trade_date DESC
|
|
LIMIT 10;
|
|
|
|
\echo ''
|
|
\echo 'Interpretation:'
|
|
\echo '- Rising avg_score + rising win_rate → Quality scoring working'
|
|
\echo '- Declining daily_pnl despite good win_rate → Exits may need adjustment'
|
|
\echo ''
|
|
|
|
\echo '=========================================='
|
|
\echo 'SUMMARY RECOMMENDATIONS'
|
|
\echo '=========================================='
|
|
|
|
\echo 'Based on the analysis above, consider:'
|
|
\echo ''
|
|
\echo '1. TP1 Setting:'
|
|
\echo ' - Should be at ~25th percentile of MFE (where most trades reach)'
|
|
\echo ' - Currently: +0.4%'
|
|
\echo ''
|
|
\echo '2. TP2 Setting:'
|
|
\echo ' - Should be at ~median MFE (where 50% reach)'
|
|
\echo ' - Currently: +0.7% (with ATR-based dynamic up to 3%)'
|
|
\echo ''
|
|
\echo '3. Runner Strategy:'
|
|
\echo ' - Only use if >40% trades reach "Runner territory"'
|
|
\echo ' - Currently: 25% position with ATR trailing'
|
|
\echo ''
|
|
\echo '4. Stop Loss:'
|
|
\echo ' - Should be at ~25th percentile of MAE (protect from worst 25%)'
|
|
\echo ' - Currently: -1.5% soft, -2.5% hard'
|
|
\echo ''
|
|
\echo '5. Quality-Based Tiers:'
|
|
\echo ' - Only implement if High Quality tier has significantly better metrics'
|
|
\echo ' - Check pct_runner_potential difference across tiers'
|
|
\echo ''
|