feat: add velocity & acceleration tracking to PositionGuard
Enhance PositionGuard in SmartRiskManager with real-time profit velocity ($/s) and acceleration ($/s²) tracking for smarter exit decisions. Changes: - Add 7 velocity/acceleration fields to PositionGuard dataclass - Add _calculate_velocity_acceleration(), _update_stagnation(), get_velocity_summary() - Add 4 new exit checks: [VEL-EXIT], [DECEL], [VEL-WARN], [STAGNANT] - Enhance early cut with velocity trigger alternative (vel < -0.4) - Stricter profit_growing: requires momentum > 0 AND velocity > 0 - Reduce position check interval 10s → 5s for more data points - Add per-ticket [MOMENTUM] log every 30s in main loop - Revert unused momentum_tracker integration from position_manager - Add deprecation note to profit_momentum_tracker.py All velocity checks respect the 15-minute grace period. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
buckybonez
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
98136bac68
commit
29ff1ed0b0
+106
-12
@@ -14,6 +14,7 @@ Author: AI Assistant
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"""
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import os
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import time
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from datetime import datetime, date, timedelta
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from typing import Optional, Dict, Tuple, List
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from dataclasses import dataclass, field
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@@ -98,17 +99,33 @@ class PositionGuard:
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stall_count: int = 0 # Berapa kali harga stall/sideways
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reversal_warnings: int = 0 # Jumlah warning ML reversal
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# === VELOCITY & ACCELERATION TRACKING ===
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profit_timestamps: List[float] = field(default_factory=list) # time.time() per entry
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velocity: float = 0.0 # $/second (profit change rate)
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acceleration: float = 0.0 # $/s² (velocity change rate)
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prev_velocity: float = 0.0 # previous velocity for acceleration calc
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stagnation_seconds: float = 0.0 # how long velocity near zero
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last_significant_move_time: float = 0.0 # last time velocity exceeded threshold
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last_momentum_log_time: float = 0.0 # throttle logging per ticket
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def update_history(self, price: float, profit: float, ml_confidence: float, max_history: int = 20):
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"""Update price/profit history untuk analisis momentum."""
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now = time.time()
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self.price_history.append(price)
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self.profit_history.append(profit)
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self.ml_confidence_history.append(ml_confidence)
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self.profit_timestamps.append(now)
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# Keep only last N entries
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if len(self.price_history) > max_history:
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self.price_history = self.price_history[-max_history:]
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self.profit_history = self.profit_history[-max_history:]
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self.ml_confidence_history = self.ml_confidence_history[-max_history:]
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self.profit_timestamps = self.profit_timestamps[-max_history:]
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# Update velocity, acceleration, and stagnation
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self._calculate_velocity_acceleration()
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self._update_stagnation(now)
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def calculate_momentum(self) -> float:
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"""
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@@ -167,6 +184,60 @@ class PositionGuard:
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probability = progress_score + momentum_score + conf_score - time_penalty
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return max(0, min(100, probability))
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def _calculate_velocity_acceleration(self):
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"""Calculate velocity ($/s) from last 5 samples and acceleration ($/s²) from split-half."""
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if len(self.profit_timestamps) < 2:
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return
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# Velocity from last 5 samples (or all if < 5)
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n = min(5, len(self.profit_timestamps))
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recent_times = self.profit_timestamps[-n:]
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recent_profits = self.profit_history[-n:]
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dt = recent_times[-1] - recent_times[0]
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if dt > 0:
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self.prev_velocity = self.velocity
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self.velocity = (recent_profits[-1] - recent_profits[0]) / dt
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else:
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self.velocity = 0.0
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# Acceleration from split-half comparison (need >= 6 samples)
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if len(self.profit_timestamps) >= 6:
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mid = len(self.profit_timestamps) // 2
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t1 = self.profit_timestamps[:mid]
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p1 = self.profit_history[:mid]
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dt1 = t1[-1] - t1[0]
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v1 = (p1[-1] - p1[0]) / dt1 if dt1 > 0 else 0.0
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t2 = self.profit_timestamps[mid:]
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p2 = self.profit_history[mid:]
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dt2 = t2[-1] - t2[0]
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v2 = (p2[-1] - p2[0]) / dt2 if dt2 > 0 else 0.0
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dt_total = self.profit_timestamps[-1] - self.profit_timestamps[0]
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self.acceleration = (v2 - v1) / dt_total if dt_total > 0 else 0.0
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def _update_stagnation(self, now: float):
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"""Track how long velocity stays near zero (< 0.05 $/s)."""
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if abs(self.velocity) < 0.05:
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# Stagnating — accumulate time since last update
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if len(self.profit_timestamps) >= 2:
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dt = self.profit_timestamps[-1] - self.profit_timestamps[-2]
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self.stagnation_seconds += dt
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else:
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# Moving — reset stagnation and record significant move
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self.stagnation_seconds = 0.0
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self.last_significant_move_time = now
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def get_velocity_summary(self) -> Dict:
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"""Return dict with velocity metrics for logging."""
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return {
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"velocity": round(self.velocity, 4),
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"acceleration": round(self.acceleration, 4),
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"stagnation_s": round(self.stagnation_seconds, 1),
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"samples": len(self.profit_timestamps),
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}
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class SmartRiskManager:
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"""
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@@ -642,6 +713,12 @@ class SmartRiskManager:
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momentum = guard.calculate_momentum()
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tp_probability = guard.get_tp_probability()
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# Pre-calculate trade age (used by multiple checks)
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now = datetime.now(WIB)
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current_hour = now.hour
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trade_age_seconds = (now - guard.entry_time).total_seconds()
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trade_age_minutes = trade_age_seconds / 60
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# === CHECK 1: SMART TAKE PROFIT ===
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if current_profit >= 15: # Profit $15+
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# A. Hard TP - profit sangat bagus
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@@ -660,10 +737,24 @@ class SmartRiskManager:
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if tp_probability < 25 and current_profit >= 20:
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return True, ExitReason.TAKE_PROFIT, f"[PROB] Taking profit ${current_profit:.2f} (TP prob: {tp_probability:.0f}%)"
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# F. Velocity reversal — profit >= $15 but velocity turning negative
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if guard.velocity < -0.3 and trade_age_minutes >= 15:
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return True, ExitReason.TAKE_PROFIT, f"[VEL-EXIT] Securing ${current_profit:.2f} (velocity: {guard.velocity:.3f} $/s, momentum: {momentum:+.0f})"
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# G. Deceleration — profit >= $20, growth slowing significantly
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if current_profit >= 20 and guard.acceleration < -0.05 and guard.velocity < 0.1:
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return True, ExitReason.TAKE_PROFIT, f"[DECEL] Securing ${current_profit:.2f} (accel: {guard.acceleration:.4f}, vel: {guard.velocity:.3f})"
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# E. Masih bagus, let it run
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if momentum >= 0:
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return False, None, f"Profit ${current_profit:.2f} [GOOD] (momentum: {momentum:+.0f}, TP prob: {tp_probability:.0f}%)"
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# === CHECK 1.5: FAST REVERSAL (small profit $8-$15) ===
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if 8 <= current_profit < 15:
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# Higher velocity threshold for smaller profits
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if guard.velocity < -0.5 and trade_age_minutes >= 15:
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return True, ExitReason.TAKE_PROFIT, f"[VEL-WARN] Fast reversal ${current_profit:.2f} (velocity: {guard.velocity:.3f} $/s)"
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# === CHECK 2: SMART EARLY EXIT (small profit) ===
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if 5 <= current_profit < 15:
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# Ambil profit kecil jika momentum sangat negatif
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@@ -682,26 +773,30 @@ class SmartRiskManager:
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# It encourages holding losers hoping they'll recover
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# PROPER RISK MANAGEMENT: Follow SL rules, don't hope for recovery
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now = datetime.now(WIB)
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current_hour = now.hour
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# Early cut: If loss > 30% of max and momentum negative, cut early
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# GRACE PERIOD: Wait at least 1 M15 candle (15 min) before early cut
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# Intra-candle moves are noise — let the trade develop on its timeframe
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trade_age_seconds = (now - guard.entry_time).total_seconds()
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trade_age_minutes = trade_age_seconds / 60
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if current_profit < 0:
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loss_percent_of_max = abs(current_profit) / self.max_loss_per_trade * 100
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# Cut early if momentum is against us AND loss is significant
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# BUT only after grace period (15 min = 1 M15 candle)
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if momentum < -50 and loss_percent_of_max >= 30: # #24B: relaxed from -30 (backtest +$125)
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momentum_trigger = momentum < -50 and loss_percent_of_max >= 30 # #24B: relaxed from -30 (backtest +$125)
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# Velocity alternative: fast drop even if momentum score hasn't caught up
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velocity_trigger = guard.velocity < -0.4 and loss_percent_of_max >= 20
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if momentum_trigger or velocity_trigger:
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if trade_age_minutes < 15:
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logger.info(f"[GRACE] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}%) + momentum ({momentum:.0f}) — holding {trade_age_minutes:.1f}m/{15}m grace period")
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logger.info(f"[GRACE] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}%) + momentum ({momentum:.0f}) vel({guard.velocity:.3f}) — holding {trade_age_minutes:.1f}m/{15}m grace period")
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else:
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logger.info(f"[EARLY CUT] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}%) + weak momentum ({momentum:.0f}) - CUTTING EARLY (age: {trade_age_minutes:.0f}m)")
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return True, ExitReason.TREND_REVERSAL, f"[EARLY CUT] Loss ${abs(current_profit):.2f} + momentum {momentum:.0f} - cutting to preserve daily limit"
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trigger_type = "momentum" if momentum_trigger else "velocity"
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logger.info(f"[EARLY CUT] Loss ${abs(current_profit):.2f} ({loss_percent_of_max:.0f}%) + weak {trigger_type} ({momentum:.0f} / vel:{guard.velocity:.3f}) - CUTTING EARLY (age: {trade_age_minutes:.0f}m)")
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return True, ExitReason.TREND_REVERSAL, f"[EARLY CUT] Loss ${abs(current_profit):.2f} + {trigger_type} — cutting to preserve daily limit"
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# Time-aware stagnation: stagnant for 120s+ with loss > $10
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if guard.stagnation_seconds >= 120 and abs(current_profit) > 10 and trade_age_minutes >= 15:
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return True, ExitReason.TREND_REVERSAL, f"[STAGNANT] Loss ${abs(current_profit):.2f} stagnant {guard.stagnation_seconds:.0f}s — cutting"
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# NOTE: Smart Hold REMOVED - no more holding losers hoping for golden time
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# If SL is hit, close the trade immediately
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@@ -746,7 +841,6 @@ class SmartRiskManager:
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# === CHECK 7: WEEKEND CLOSE ===
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# Market closes Saturday 05:00 WIB — only close 30 min before (Saturday 04:30 WIB)
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now = datetime.now(WIB)
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is_friday_late = now.weekday() == 4 and now.hour >= 4 and now.minute >= 30 # Sat 04:30 WIB = Fri weekday()==4 won't work
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is_saturday_early = now.weekday() == 5 and now.hour < 5 # Saturday before 05:00 WIB
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near_weekend_close = is_saturday_early and (now.hour >= 4 and now.minute >= 30) # Saturday 04:30+ WIB
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@@ -760,8 +854,8 @@ class SmartRiskManager:
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# Don't cut winners short - check profit growth and trend
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trade_duration_hours = (now - guard.entry_time).total_seconds() / 3600
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# Check if profit is growing (positive momentum = don't exit early)
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profit_growing = momentum > 0
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# Check if profit is growing (positive momentum AND positive velocity)
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profit_growing = momentum > 0 and guard.velocity > 0
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ml_agrees = (
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(guard.direction == "BUY" and ml_signal == "BUY") or
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(guard.direction == "SELL" and ml_signal == "SELL")
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