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fix: major issues - calibrated confidence, ATR-based filters, smarter exits

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Major Issue #1: Confidence Calculation Calibration
- Added calculate_confidence() method with weighted scoring
- Base 40% + Structure 15% + BOS/CHoCH 12% + FVG 8% + OB 10% + Trend 10%
- Capped at 85% (never 100% certain)

Major Issue #2: Pullback Filter ATR-based
- Replaced hardcoded $2, $1.5 thresholds
- Now uses bounce_threshold = 0.15 * ATR
- consolidation_threshold = 0.10 * ATR

Major Issue #3: Smarter Time-based Exit
- Don't cut winners short if profit growing
- Check ML agreement before timeout
- Extend time to 8h if profit > $10 and growing

Major Issue #4: Slippage Validation
- Check actual vs expected price after execution
- Log warning if slippage > 0.15% of price
- Use actual price for position tracking

Major Issue #5: Partial Fill Handling
- Check if filled volume < requested volume
- Log warning with fill ratio
- Use actual volume for position tracking

Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
This commit is contained in:
buckybonez
2026-02-06 09:56:42 +07:00
co-authored by Claude Opus 4.5
parent 0e74f40028
commit db806b21de
3 changed files with 178 additions and 46 deletions
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src/smart_risk_manager.py
+26 -10
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@@ -746,20 +746,36 @@ class SmartRiskManager:
elif current_profit > -10:
return True, ExitReason.WEEKEND_CLOSE, f"[WEEKEND] Weekend close - small loss ${current_profit:.2f}"
# === CHECK 8: TIME-BASED EXIT (NEW) ===
# Close trades yang stuck terlalu lama tanpa progress
# === CHECK 8: SMART TIME-BASED EXIT ===
# Don't cut winners short - check profit growth and trend
trade_duration_hours = (now - guard.entry_time).total_seconds() / 3600
# 4+ jam tanpa profit berarti = exit
if trade_duration_hours >= 4 and current_profit < 5:
if current_profit >= 0:
return True, ExitReason.TAKE_PROFIT, f"[TIMEOUT] Closing breakeven/small profit after {trade_duration_hours:.1f}h"
elif current_profit > -15:
return True, ExitReason.TREND_REVERSAL, f"[TIMEOUT] Closing small loss ${current_profit:.2f} after {trade_duration_hours:.1f}h"
# Check if profit is growing (positive momentum = don't exit early)
profit_growing = momentum > 0
ml_agrees = (
(guard.direction == "BUY" and ml_signal == "BUY") or
(guard.direction == "SELL" and ml_signal == "SELL")
)
# Maximum 6 jam untuk any trade
# 4+ hours: Only exit if stuck (no profit growth)
if trade_duration_hours >= 4:
if current_profit < 5 and not profit_growing:
# Stuck with no growth - exit
if current_profit >= 0:
return True, ExitReason.TAKE_PROFIT, f"[TIMEOUT] Breakeven + no growth after {trade_duration_hours:.1f}h"
elif current_profit > -15:
return True, ExitReason.TREND_REVERSAL, f"[TIMEOUT] Small loss ${current_profit:.2f} + no growth after {trade_duration_hours:.1f}h"
elif current_profit >= 5 and profit_growing and ml_agrees:
# Profitable and growing - extend time (log only)
logger.debug(f"[TIME OK] Profit growing +${current_profit:.2f}, extending time (was {trade_duration_hours:.1f}h)")
# 6+ hours: Exit unless significantly profitable AND still growing
if trade_duration_hours >= 6:
return True, ExitReason.TREND_REVERSAL, f"[MAX TIME] Position open {trade_duration_hours:.1f}h - forcing close"
if current_profit < 10 or not profit_growing:
return True, ExitReason.TREND_REVERSAL, f"[MAX TIME] {trade_duration_hours:.1f}h - profit ${current_profit:.2f}"
# If profit > $10 and growing, allow up to 8 hours
elif trade_duration_hours >= 8:
return True, ExitReason.TAKE_PROFIT, f"[MAX TIME] Taking profit ${current_profit:.2f} after {trade_duration_hours:.1f}h"
# === DEFAULT: HOLD ===
status = f"+${current_profit:.2f}" if current_profit > 0 else f"-${abs(current_profit):.2f}"