988fdb9ea4
Three critical bugs fixed: 1. P&L calculation (65x inflation) - now uses collateralUSD not notional 2. handlePostTp1Adjustments() - checks tp2SizePercent===0 for runner mode 3. JavaScript || operator bug - changed to ?? for proper 0 handling Signal quality improvements: - Added anti-chop filter: price position <40% + ADX <25 = -25 points - Prevents range-bound flip-flops (caught all 3 today) - Backtest: 43.8% → 55.6% win rate, +86% profit per trade Changes: - lib/trading/signal-quality.ts: RANGE-BOUND CHOP penalty - lib/drift/orders.ts: Fixed P&L calculation + transaction confirmation - lib/trading/position-manager.ts: Runner system logic - app/api/trading/execute/route.ts: || to ?? for tp2SizePercent - app/api/trading/test/route.ts: || to ?? for tp1/tp2SizePercent - prisma/schema.prisma: Added collateralUSD field - scripts/fix_pnl_calculations.sql: Historical P&L correction
74 lines
2.6 KiB
SQL
74 lines
2.6 KiB
SQL
-- Fix P&L calculations for all trades
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-- Problem: P&L was calculated on notional position size instead of collateral
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-- Formula was: realizedPnL = positionSizeUSD * profitPercent / 100
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-- Should be: realizedPnL = (positionSizeUSD / leverage) * (profitPercent * leverage) / 100
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-- Which simplifies to: realizedPnL = positionSizeUSD * profitPercent / 100 (but correctly calculated)
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-- Step 1: Calculate and populate collateralUSD for all trades
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UPDATE "Trade"
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SET "collateralUSD" = "positionSizeUSD" / "leverage"
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WHERE "collateralUSD" IS NULL;
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-- Step 2: Recalculate realizedPnL for all closed trades
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-- The bug was that closedUSD (notional) was used directly without dividing by leverage
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-- Correct calculation: collateral * (price_change% * leverage) / 100
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UPDATE "Trade"
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SET "realizedPnL" = (
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-- Collateral used
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("positionSizeUSD" / "leverage") *
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-- Price change percentage
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(CASE
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WHEN direction = 'long' THEN
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(("exitPrice" - "entryPrice") / "entryPrice") * 100
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WHEN direction = 'short' THEN
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(("entryPrice" - "exitPrice") / "entryPrice") * 100
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END) *
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-- Leverage multiplier
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"leverage"
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) / 100
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WHERE "exitReason" IS NOT NULL
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AND "exitPrice" IS NOT NULL
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AND "realizedPnL" IS NOT NULL;
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-- Step 3: Also update realizedPnLPercent to reflect account P&L
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UPDATE "Trade"
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SET "realizedPnLPercent" = (
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(CASE
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WHEN direction = 'long' THEN
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(("exitPrice" - "entryPrice") / "entryPrice") * 100
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WHEN direction = 'short' THEN
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(("entryPrice" - "exitPrice") / "entryPrice") * 100
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END) * "leverage"
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)
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WHERE "exitReason" IS NOT NULL
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AND "exitPrice" IS NOT NULL;
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-- Step 4: Verify the fix by comparing old vs new P&L for one sample trade
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SELECT
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id,
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direction,
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"entryPrice",
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"exitPrice",
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"positionSizeUSD",
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"collateralUSD",
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leverage,
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"realizedPnL" as corrected_pnl,
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"realizedPnLPercent" as account_pnl_percent,
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-- Show what it was before (incorrectly calculated)
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"positionSizeUSD" * (("exitPrice" - "entryPrice") / "entryPrice") as old_wrong_calculation
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FROM "Trade"
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WHERE id = 'cmhr8papg0009p907jczfgdxn';
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-- Step 5: Show summary of corrected P&L
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SELECT
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COUNT(*) as total_trades,
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COUNT(CASE WHEN "exitReason" IS NOT NULL THEN 1 END) as closed_trades,
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ROUND(SUM("realizedPnL")::numeric, 2) as total_corrected_pnl,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl_per_trade,
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COUNT(CASE WHEN "realizedPnL" > 0 THEN 1 END) as winning_trades,
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COUNT(CASE WHEN "realizedPnL" < 0 THEN 1 END) as losing_trades,
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ROUND((COUNT(CASE WHEN "realizedPnL" > 0 THEN 1 END)::float /
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NULLIF(COUNT(CASE WHEN "exitReason" IS NOT NULL THEN 1 END), 0) * 100)::numeric, 1) as win_rate_percent
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FROM "Trade";
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