96d1667ae6
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
150 lines
4.4 KiB
Python
150 lines
4.4 KiB
Python
#!/usr/bin/env python3
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"""
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Calculate real P&L for ML v11.2 Long Strategy with proper leverage
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Starting Capital: $1,400
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Leverage: 10x
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Commission: 0.05% per trade (0.1% round trip)
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"""
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# Trade data from CSV (Entry Price, Exit Price, Price Change %)
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trades = [
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# Trade #, Entry, Exit, PnL%
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(1, 127.26, 123.69, -2.81),
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(2, 139.45, 141.85, 1.72),
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(3, 139.77, 141.85, 1.49),
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(4, 144.09, 140.05, -2.80),
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(5, 130.99, 133.09, 1.60),
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(6, 133.64, 135.78, 1.60),
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(7, 133.90, 135.67, 1.32),
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(8, 133.15, 135.67, 1.89),
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(9, 139.24, 141.41, 1.56),
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(10, 139.12, 141.41, 1.65),
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(11, 131.41, 133.79, 1.81),
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(12, 131.95, 133.79, 1.39),
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(13, 132.82, 129.07, -2.82),
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(14, 132.76, 129.07, -2.78),
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(15, 130.96, 133.06, 1.60),
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(16, 125.93, 127.95, 1.60),
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(17, 126.71, 128.74, 1.60),
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(18, 128.70, 130.24, 1.20),
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(19, 127.67, 130.24, 2.01),
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(20, 123.58, 125.56, 1.60),
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(21, 126.22, 128.11, 1.50),
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(22, 125.96, 128.11, 1.71),
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(23, 126.06, 128.21, 1.71),
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(24, 126.32, 128.21, 1.50),
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(25, 126.10, 121.98, -3.27),
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(26, 124.89, 121.98, -2.33),
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(27, 122.07, 124.04, 1.61),
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(28, 122.09, 124.04, 1.60),
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(29, 123.03, 125.00, 1.60),
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(30, 123.34, 125.69, 1.91),
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(31, 124.08, 125.69, 1.30),
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(32, 123.82, 125.81, 1.61),
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(33, 124.72, 126.72, 1.60),
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(34, 124.90, 126.91, 1.61),
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(35, 124.92, 126.91, 1.59),
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(36, 128.81, 130.88, 1.61),
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(37, 131.33, 133.34, 1.53),
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(38, 131.14, 133.34, 1.68),
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(39, 134.23, 136.57, 1.74),
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(40, 134.60, 136.57, 1.46),
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(41, 138.24, 140.46, 1.61),
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(42, 138.89, 141.12, 1.61),
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(43, 140.00, 136.08, -2.80),
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(44, 135.09, 137.26, 1.61),
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]
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# Configuration
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STARTING_CAPITAL = 1400.0
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LEVERAGE = 10
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COMMISSION_RATE = 0.0005 # 0.05% per trade (entry + exit = 0.1%)
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print("=" * 70)
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print("ML v11.2 LONG STRATEGY - REAL P&L CALCULATION")
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print("=" * 70)
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print(f"Starting Capital: ${STARTING_CAPITAL:,.2f}")
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print(f"Leverage: {LEVERAGE}x")
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print(f"Commission: {COMMISSION_RATE * 100:.2f}% per trade (0.1% round trip)")
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print(f"Total Trades: {len(trades)}")
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print("=" * 70)
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# Calculate with compounding
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equity = STARTING_CAPITAL
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max_equity = STARTING_CAPITAL
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max_drawdown = 0
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max_drawdown_pct = 0
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wins = 0
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losses = 0
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total_commission = 0
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print("\n📊 TRADE-BY-TRADE BREAKDOWN (with 10x leverage):")
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print("-" * 70)
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for trade_num, entry, exit_price, pnl_pct in trades:
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# Position size = equity * leverage
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notional = equity * LEVERAGE
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# Commission on entry and exit (0.05% each way)
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commission = notional * COMMISSION_RATE * 2 # Round trip
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total_commission += commission
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# Gross P&L at 10x leverage
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gross_pnl = notional * (pnl_pct / 100)
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# Net P&L after commission
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net_pnl = gross_pnl - commission
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# Update equity
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old_equity = equity
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equity += net_pnl
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# Track wins/losses
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if net_pnl > 0:
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wins += 1
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else:
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losses += 1
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# Track drawdown
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if equity > max_equity:
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max_equity = equity
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drawdown = max_equity - equity
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drawdown_pct = (drawdown / max_equity) * 100
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if drawdown > max_drawdown:
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max_drawdown = drawdown
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max_drawdown_pct = drawdown_pct
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# Print every trade
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emoji = "✅" if net_pnl > 0 else "❌"
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print(f"Trade {trade_num:2d}: {emoji} Entry ${entry:.2f} → Exit ${exit_price:.2f} | "
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f"Notional ${notional:,.0f} | Net P&L: ${net_pnl:+,.2f} | Equity: ${equity:,.2f}")
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print("-" * 70)
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# Final stats
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total_profit = equity - STARTING_CAPITAL
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roi = (total_profit / STARTING_CAPITAL) * 100
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win_rate = (wins / len(trades)) * 100
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print("\n" + "=" * 70)
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print("📈 FINAL RESULTS WITH 10x LEVERAGE")
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print("=" * 70)
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print(f"Starting Capital: ${STARTING_CAPITAL:,.2f}")
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print(f"Final Equity: ${equity:,.2f}")
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print(f"Total Profit: ${total_profit:+,.2f}")
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print(f"ROI: {roi:+.2f}%")
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print(f"Total Commission: ${total_commission:,.2f}")
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print("=" * 70)
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print(f"Wins: {wins}")
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print(f"Losses: {losses}")
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print(f"Win Rate: {win_rate:.2f}%")
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print(f"Max Drawdown: ${max_drawdown:,.2f} ({max_drawdown_pct:.2f}%)")
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print("=" * 70)
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# Compare to TradingView results
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tv_pnl = 657.95
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print(f"\n📊 COMPARISON TO TRADINGVIEW BACKTEST:")
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print(f"TradingView (1x): ${tv_pnl:+,.2f} (+47.00%)")
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print(f"With 10x Leverage: ${total_profit:+,.2f} ({roi:+.2f}%)")
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print(f"Multiplier Effect: {total_profit/tv_pnl:.1f}x")
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