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config: stop the churn — hold for big moves, wide TP/SL, low leverage

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Live decomposition of the losing streak: 23% win rate with avg win +$1.23 /
avg loss -$1.04 on ~0.3-0.5% price moves, where the ~0.14% round-trip fee ate
30-50% of every tiny winner. Death by small-move grinding. The AI was closing
positions on ±0.5% noise after the 60m min-hold, capping winners at ~0.86%.

Redesign to 'few big positions, held for big moves':
- Throttle: min hold 60m->4h, noise-close window 90m->8h, reentry 30m->3h,
  opens/hour 30->3, opens/cycle 6->2. Noise band widened -1%..+2% -> -4%..+6%
  so small moves can no longer trigger a close.
- Exits: stop bypass -2.5% -> -5%, take-profit bypass +5% -> +12% (wide,
  asymmetric — let winners run, cut losers only on a real move).
- Leverage 20x -> 5x: a -5% stop at 20x is instant liquidation; at 5x it is
  -25% of margin, survivable. 2 positions x 2.5x = 5x total (full margin,
  ~20% cushion) instead of 4x5x=20x.
- Prompt now instructs the AI to set wide stops (~-5%) and distant targets
  (~+10-12%), hold multi-hour, and never scalp 0.5% moves.

Live strategy updated (maxPos=2, lev=5, ratio=2.5).
This commit is contained in:
tinkle-community
2026-07-21 15:02:23 +09:00
parent 0f3e71560c
commit 39eac5aca7
8 changed files with 65 additions and 62 deletions
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17
api/handler_user.go
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@@ -262,15 +262,14 @@ func (s *Server) createDefaultStrategies(userID string, lang string) error {
c.CoinSource.VergexLimit = 10
c.CoinSource.VergexMarketType = "all"
c.CoinSource.VergexChain = "hyperliquid"
c.RiskControl.MaxPositions = 4
c.RiskControl.BTCETHMaxLeverage = 20
c.RiskControl.AltcoinMaxLeverage = 20
// 5× equity notional per position: 4 positions = 20x total account
// notional (full margin, ~5% liquidation cushion). Aggressive by
// operator choice — bigger single positions; the 0.4 short-signal
// floor keeps the book balanced so it is not a one-directional bet.
c.RiskControl.BTCETHMaxPositionValueRatio = 5.0
c.RiskControl.AltcoinMaxPositionValueRatio = 5.0
c.RiskControl.MaxPositions = 2
c.RiskControl.BTCETHMaxLeverage = 5
c.RiskControl.AltcoinMaxLeverage = 5
// Few, concentrated positions held for big moves. 5x leverage so a
// wide (-5%) stop is survivable rather than an instant liquidation;
// 2 positions × 2.5x = 5x total notional (full margin, ~20% cushion).
c.RiskControl.BTCETHMaxPositionValueRatio = 2.5
c.RiskControl.AltcoinMaxPositionValueRatio = 2.5
c.RiskControl.MaxMarginUsage = 1.0
c.RiskControl.MinConfidence = 78
c.RiskControl.MinRiskRewardRatio = 3.0

14
api/handler_user_default_strategy_test.go
View File

@@ -54,16 +54,16 @@ func TestCreateDefaultStrategiesUsesOneReadyToRunClaw402Preset(t *testing.T) {
if trendCfg.CoinSource.SourceType != "vergex_signal" || trendCfg.CoinSource.VergexLimit != 10 || trendCfg.CoinSource.VergexMarketType != "all" {
t.Fatalf("default strategy should use the Claw402/Vergex all-market signal ranking, got %+v", trendCfg.CoinSource)
}
if trendCfg.CoinSource.UseAI500 || trendCfg.RiskControl.MaxPositions != 4 {
t.Fatalf("default strategy should be Claw402/Vergex native with a 4-position balanced book, got coin=%+v risk=%+v", trendCfg.CoinSource, trendCfg.RiskControl)
if trendCfg.CoinSource.UseAI500 || trendCfg.RiskControl.MaxPositions != 2 {
t.Fatalf("default strategy should be Claw402/Vergex native with a 2-position concentrated book, got coin=%+v risk=%+v", trendCfg.CoinSource, trendCfg.RiskControl)
}
if trendCfg.RiskControl.BTCETHMaxLeverage != 20 || trendCfg.RiskControl.AltcoinMaxLeverage != 20 {
t.Fatalf("default strategy should use 20x leverage for all Claw402 opens, got risk=%+v", trendCfg.RiskControl)
if trendCfg.RiskControl.BTCETHMaxLeverage != 5 || trendCfg.RiskControl.AltcoinMaxLeverage != 5 {
t.Fatalf("default strategy should use 5x leverage for all Claw402 opens, got risk=%+v", trendCfg.RiskControl)
}
if trendCfg.RiskControl.BTCETHMaxPositionValueRatio != 5 ||
trendCfg.RiskControl.AltcoinMaxPositionValueRatio != 5 ||
if trendCfg.RiskControl.BTCETHMaxPositionValueRatio != 2.5 ||
trendCfg.RiskControl.AltcoinMaxPositionValueRatio != 2.5 ||
trendCfg.RiskControl.MaxMarginUsage != 1.0 {
t.Fatalf("default strategy should size Claw402 opens at 5x equity notional (4 positions = 20x total at 20x), got risk=%+v", trendCfg.RiskControl)
t.Fatalf("default strategy should size Claw402 opens at 2.5x equity notional (2 positions = 5x total at 5x), got risk=%+v", trendCfg.RiskControl)
}
}

12
kernel/engine_prompt.go
View File

@@ -215,9 +215,9 @@ func (e *StrategyEngine) buildVergexSystemPrompt(accountEquity float64, variant
sb.WriteString("- Ranking alone is not an entry reason; it only defines the candidate pool.\n")
sb.WriteString("- Every symbol in Candidate Coins is part of the allowed trading universe; missing detail can lower confidence or trigger waiting, but does not make the symbol non-tradable.\n")
sb.WriteString("- If Signal Lab or heatmap is absent from that symbol's Vergex Claw402 Signals, state it in reasoning; if it is present, never claim the symbol lacks that data.\n")
sb.WriteString("- Avoid churn: unless stopping out or taking a strong profit, hold new positions for at least 60 minutes; avoid flat/noise closes until roughly 90 minutes; after closing a symbol, wait 90 minutes before re-entry; open at most 1 new position per hour.\n")
sb.WriteString("- Fees are the main edge killer: a round trip costs roughly 0.1%% of notional (about 1%% of margin at 10x). Only take setups whose expected move to target is at least 3x that cost; fewer, higher-conviction, longer-hold trades beat frequent scalps.\n")
sb.WriteString("- Stops must sit beyond invalidation; targets should prefer heatmap resistance/liquidation zones or valid risk/reward levels.\n\n")
sb.WriteString("- Hold for BIG moves, do not churn: hold new positions for at least 4 hours; never close inside the -4%% to +6%% noise band before ~8 hours; after closing a symbol wait 3 hours before re-entry; open at most 1-2 new positions per hour. Small in-and-out trades bled this account to death on fees.\n")
sb.WriteString("- Fees are the main edge killer: a round trip costs ~0.1%% of notional. Only enter setups where the realistic target is a LARGE move: stop-loss around -5%% and take-profit around +10-12%% (roughly 2:1 or better). Do not aim for 0.5%% scalps — they cannot cover fees. Fewer, high-conviction, wide-target, multi-hour holds only.\n")
sb.WriteString("- Set WIDE stops and targets: place the stop well beyond short-term noise (around -5%%) and the target at a distant heatmap resistance/liquidation zone (around +10-12%%). Give the position room to develop; do not exit on small green or small red.\n\n")
} else {
sb.WriteString("# You are the NOFX Claw402 auto-trader\n\n")
sb.WriteString("Trade only Hyperliquid instruments returned by this cycle's Claw402.ai/Vergex board. You may trade only the current candidate symbols and existing positions; never invent tickers or rotate outside the provided universe.\n\n")
@@ -232,9 +232,9 @@ func (e *StrategyEngine) buildVergexSystemPrompt(accountEquity float64, variant
sb.WriteString("- Ranking alone is not an entry reason; it only defines the candidate pool.\n")
sb.WriteString("- Every symbol in Candidate Coins is part of the allowed trading universe; missing detail can lower confidence or trigger waiting, but does not make the symbol non-tradable.\n")
sb.WriteString("- If Signal Lab or heatmap is absent from that symbol's Vergex Claw402 Signals, state it in reasoning; if it is present, never claim the symbol lacks that data.\n")
sb.WriteString("- Avoid churn: unless stopping out or taking a strong profit, hold new positions for at least 60 minutes; avoid flat/noise closes until roughly 90 minutes; after closing a symbol, wait 90 minutes before re-entry; open at most 1 new position per hour.\n")
sb.WriteString("- Fees are the main edge killer: a round trip costs roughly 0.1%% of notional (about 1%% of margin at 10x). Only take setups whose expected move to target is at least 3x that cost; fewer, higher-conviction, longer-hold trades beat frequent scalps.\n")
sb.WriteString("- Stops must sit beyond invalidation; targets should prefer heatmap resistance/liquidation zones or valid risk/reward levels.\n\n")
sb.WriteString("- Hold for BIG moves, do not churn: hold new positions for at least 4 hours; never close inside the -4%% to +6%% noise band before ~8 hours; after closing a symbol wait 3 hours before re-entry; open at most 1-2 new positions per hour. Small in-and-out trades bled this account to death on fees.\n")
sb.WriteString("- Fees are the main edge killer: a round trip costs ~0.1%% of notional. Only enter setups where the realistic target is a LARGE move: stop-loss around -5%% and take-profit around +10-12%% (roughly 2:1 or better). Do not aim for 0.5%% scalps — they cannot cover fees. Fewer, high-conviction, wide-target, multi-hour holds only.\n")
sb.WriteString("- Set WIDE stops and targets: place the stop well beyond short-term noise (around -5%%) and the target at a distant heatmap resistance/liquidation zone (around +10-12%%). Give the position room to develop; do not exit on small green or small red.\n\n")
}
writeModeVariant(&sb, variant, zh)

4
kernel/engine_prompt_test.go
View File

@@ -29,8 +29,8 @@ func TestBuildSystemPromptUsesVergexClaw402Prompt(t *testing.T) {
if !strings.Contains(prompt, "Direction must be data-driven") {
t.Fatalf("prompt should explain that direction is data-driven, not long-only:\n%s", prompt)
}
if !strings.Contains(prompt, "every open position must use exactly 20x") {
t.Fatalf("prompt should force 20x leverage for Claw402 opens:\n%s", prompt)
if !strings.Contains(prompt, "every open position must use exactly 5x") {
t.Fatalf("prompt should force 5x leverage for Claw402 opens:\n%s", prompt)
}
if !strings.Contains(prompt, "use the full max notional per position") {
t.Fatalf("prompt should force full-size Claw402 opens:\n%s", prompt)

10
store/strategy.go
View File

@@ -1014,11 +1014,11 @@ func GetDefaultStrategyConfig(lang string) StrategyConfig {
PriceRankingLimit: 10,
},
RiskControl: RiskControlConfig{
MaxPositions: 4, // Room for ~2 long + 2 short (CODE ENFORCED)
BTCETHMaxLeverage: 20, // BTC/ETH exchange leverage (AI guided)
AltcoinMaxLeverage: 20, // TradeFi exchange leverage (AI guided)
BTCETHMaxPositionValueRatio: 5.0, // Per-position notional = equity × 5; 4 positions = 20x total (full margin, ~5% liquidation cushion — aggressive by operator choice)
AltcoinMaxPositionValueRatio: 5.0, // Per-position notional = equity × 5; 4 positions = 20x total (full margin, ~5% liquidation cushion — aggressive by operator choice)
MaxPositions: 2, // Few, concentrated positions held for big moves (CODE ENFORCED)
BTCETHMaxLeverage: 5, // Low leverage so a big (-5%) stop is survivable, not an instant liquidation
AltcoinMaxLeverage: 5, // Low leverage so a big (-5%) stop is survivable, not an instant liquidation
BTCETHMaxPositionValueRatio: 2.5, // Per-position notional = equity × 2.5; 2 positions = 5x total (full margin at 5x, ~20% liquidation cushion)
AltcoinMaxPositionValueRatio: 2.5, // Per-position notional = equity × 2.5; 2 positions = 5x total (full margin at 5x, ~20% liquidation cushion)
MaxMarginUsage: 1.0, // Claw402 Autopilot intentionally uses full margin when opening
MinPositionSize: 12, // Min 12 USDT per position (CODE ENFORCED)
MinRiskRewardRatio: 3.0, // Min 3:1 profit/loss ratio (AI guided)

36
trader/auto_trader_throttle.go
View File

@@ -10,23 +10,25 @@ import (
)
const (
// Live history: trades held under an hour were net-negative after fees
// (the 15-60m bucket bled), while the edge concentrated in 1h+ holds.
autopilotMinHoldDuration = 60 * time.Minute
autopilotNoiseCloseHoldDuration = 90 * time.Minute
autopilotReentryCooldown = 30 * time.Minute
// Allow one long + one short per cycle. The real exposure/churn limits are
// MaxPositions (concurrent) + the 45m min-hold + the 90m per-symbol reentry
// cooldown, so the per-hour cap only needs to be high enough not to block the
// directional pair from re-establishing after positions close. A tight value
// here (e.g. 2) starves the strategy: once a couple opens fire, every later
// cycle is blocked and the book drains to flat. Keep it generous.
autopilotMaxOpensPerHour = 30
autopilotMaxOpensPerCycle = 6
earlyCloseStopLossBypassPct = -2.5
earlyCloseTakeProfitBypassPct = 5.0
noiseCloseLossFloorPct = -1.0
noiseCloseProfitCeilingPct = 2.0
// "Hold for big moves, don't churn" regime. Live history showed the
// account bleeding to death by fees: 0.3-0.5% in/out moves where a ~0.14%
// round-trip fee ate 30-50% of every small winner. These values force
// positions to be held for hours and to develop meaningful moves before
// closing, and cut the trade frequency hard.
autopilotMinHoldDuration = 4 * time.Hour
autopilotNoiseCloseHoldDuration = 8 * time.Hour
autopilotReentryCooldown = 3 * time.Hour
// Drastically cut churn: at most a couple of new positions per hour/cycle.
autopilotMaxOpensPerHour = 3
autopilotMaxOpensPerCycle = 2
// Wide, asymmetric exits. Cut a loser only at a real -5% (at 5x leverage
// that is -25% of margin — survivable), let a winner run to +12% before
// any early take-profit. The noise band (-4%..+6%) blocks closing on the
// small moves that were grinding the account to nothing.
earlyCloseStopLossBypassPct = -5.0
earlyCloseTakeProfitBypassPct = 12.0
noiseCloseLossFloorPct = -4.0
noiseCloseProfitCeilingPct = 6.0
)
func isOpenAction(action string) bool {

19
trader/auto_trader_throttle_test.go
View File

@@ -32,7 +32,8 @@ func TestTradeThrottleBlocksEarlyNoiseClose(t *testing.T) {
func TestTradeThrottleAllowsEarlyHardStop(t *testing.T) {
at := &AutoTrader{}
ctx := throttleContext("xyz:INTC", "long", 20*time.Minute, -3.0)
// Only a real -5% stop bypasses the min hold now.
ctx := throttleContext("xyz:INTC", "long", 20*time.Minute, -6.0)
reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
if reason != "" {
@@ -42,7 +43,8 @@ func TestTradeThrottleAllowsEarlyHardStop(t *testing.T) {
func TestTradeThrottleBlocksFlatCloseInsideNoiseWindow(t *testing.T) {
at := &AutoTrader{}
ctx := throttleContext("xyz:INTC", "long", 60*time.Minute, 0.4)
// Held past the 4h min hold but still inside the wide -4%..+6% noise band.
ctx := throttleContext("xyz:INTC", "long", 5*time.Hour, 0.4)
reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
if !strings.Contains(reason, "noise band") {
@@ -52,7 +54,8 @@ func TestTradeThrottleBlocksFlatCloseInsideNoiseWindow(t *testing.T) {
func TestTradeThrottleAllowsConfirmedLossAfterMinimumHold(t *testing.T) {
at := &AutoTrader{}
ctx := throttleContext("xyz:INTC", "long", 60*time.Minute, -1.2)
// Past the 4h min hold, loss beyond the -4% noise floor → close allowed.
ctx := throttleContext("xyz:INTC", "long", 5*time.Hour, -4.5)
reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
if reason != "" {
@@ -76,13 +79,13 @@ func TestTradeThrottleBlocksOpensOverCycleCap(t *testing.T) {
at := &AutoTrader{}
ctx := &kernel.Context{}
// under the 6-per-cycle cap, a further open is allowed
if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 5); reason != "" {
t.Fatalf("expected open within the 6-per-cycle cap to be allowed, got %q", reason)
// under the 2-per-cycle cap, a further open is allowed
if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 1); reason != "" {
t.Fatalf("expected open within the 2-per-cycle cap to be allowed, got %q", reason)
}
// at the cap, the next open is blocked
if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 6); !strings.Contains(reason, "6 new position") {
t.Fatalf("expected open beyond the 6-per-cycle cap to be blocked, got %q", reason)
if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 2); !strings.Contains(reason, "2 new position") {
t.Fatalf("expected open beyond the 2-per-cycle cap to be blocked, got %q", reason)
}
}

15
web/src/pages/StrategyStudioPage.tsx
View File

@@ -1388,14 +1388,13 @@ export function StrategyStudioPage() {
}),
risk_control: defaultRisk({
...base.ai_config?.risk_control,
max_positions: 4,
btc_eth_max_leverage: 20,
altcoin_max_leverage: 20,
// 5× equity notional per position — 4 positions = 20x total account
// notional (full margin, ~5% liquidation cushion). Aggressive by
// operator choice; the 0.4 short-signal floor keeps the book balanced.
btc_eth_max_position_value_ratio: 5,
altcoin_max_position_value_ratio: 5,
max_positions: 2,
btc_eth_max_leverage: 5,
altcoin_max_leverage: 5,
// Few, concentrated positions held for big moves. 5x leverage so a
// wide (-5%) stop is survivable; 2 positions × 2.5x = 5x total.
btc_eth_max_position_value_ratio: 2.5,
altcoin_max_position_value_ratio: 2.5,
max_margin_usage: 1.0,
min_confidence: 78,
min_risk_reward_ratio: 3,