mirror of
https://github.com/NoFxAiOS/nofx.git
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feat: data-driven autopilot profitability tuning + edge profile panel
Analysis of 410 live closed trades found the edge is real but was being destroyed by execution: gross +$267 vs $245 fees; trades held <1h were net negative (the <15m bucket alone: -$48 on $66 fees) while 1h+ holds carried +$78; shorts lost $72 while longs made $94 — and both the prompt and the engine were manufacturing those losers. Changes, each tied to the data: - Prompt: removed the 'MUST open at least one long AND one short every cycle' mandate (forced weak-signal shorts); direction is now data-driven with 'never open just to balance the book'. Added fee-awareness (round trip ≈ 0.1% notional, require expected move ≥ 3x cost) and aligned the hold discipline with the backend throttle. - Forced book-balance opens now require |board z-score| ≥ 0.75 — the engine previously force-opened full-size 10x positions on near-neutral signals with hardcoded confidence 70. DirectionalCandidates now carries scores. - Min AI-managed hold raised 45m → 60m (the 15-60m bucket still bled after the earlier throttle landed). - Legacy prompt hygiene: vergex path drops long-only-era custom prompts and zh-era configs fall back wholesale to built-in English sections — fixes the two long-failing kernel prompt tests. - New Edge Profile dashboard panel: net after fees by hold-time bucket and side, computed from recent closed trades, with an automatic takeaway line — the fee/churn regression detector, always visible. Fixed the HistoricalPosition timestamp types (epoch ms, not strings).
This commit is contained in:
138
web/src/components/terminal/EdgeProfile.tsx
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138
web/src/components/terminal/EdgeProfile.tsx
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import { useMemo } from 'react'
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import type { HistoricalPosition } from '../../types'
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/**
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* EdgeProfile — where the money actually comes from. Aggregates recent closed
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* trades into hold-duration buckets plus a long/short split, each with net
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* PnL, fee load and win rate. This is the panel that made the fee-drag and
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* churn problems visible, kept on the dashboard so regressions show up
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* immediately.
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*/
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interface EdgeProfileProps {
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positions?: HistoricalPosition[]
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}
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interface BucketAgg {
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label: string
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n: number
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net: number
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fees: number
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wins: number
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}
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function newBucket(label: string): BucketAgg {
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return { label, n: 0, net: 0, fees: 0, wins: 0 }
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}
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function add(bucket: BucketAgg, pos: HistoricalPosition) {
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bucket.n += 1
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bucket.net += pos.realized_pnl || 0
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bucket.fees += pos.fee || 0
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if ((pos.realized_pnl || 0) > 0) bucket.wins += 1
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}
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function fmtUsd(n: number): string {
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const sign = n < 0 ? '-' : '+'
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return `${sign}$${Math.abs(n).toFixed(2)}`
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}
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/** Accepts epoch ms (the API's format) or a date string, returns epoch ms. */
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function toEpochMs(value: number | string): number {
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if (typeof value === 'number') return value
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const numeric = Number(value)
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if (Number.isFinite(numeric) && numeric > 0) return numeric
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return Date.parse(value)
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}
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export function EdgeProfile({ positions }: EdgeProfileProps) {
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const { holdBuckets, sideBuckets, sample } = useMemo(() => {
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const holds = [
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newBucket('<15m'),
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newBucket('15-60m'),
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newBucket('1-3h'),
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newBucket('>3h'),
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]
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const sides = [newBucket('long'), newBucket('short')]
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let counted = 0
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for (const pos of positions ?? []) {
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if ((pos.status || '').toUpperCase() !== 'CLOSED') continue
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const entry = toEpochMs(pos.entry_time)
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const exit = toEpochMs(pos.exit_time)
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if (!Number.isFinite(entry) || !Number.isFinite(exit) || exit <= entry) {
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continue
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}
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counted += 1
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const holdMin = (exit - entry) / 60000
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const holdBucket =
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holdMin < 15 ? holds[0] : holdMin < 60 ? holds[1] : holdMin < 180 ? holds[2] : holds[3]
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add(holdBucket, pos)
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const sideBucket =
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(pos.side || '').toLowerCase() === 'short' ? sides[1] : sides[0]
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add(sideBucket, pos)
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}
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return { holdBuckets: holds, sideBuckets: sides, sample: counted }
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}, [positions])
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if (sample === 0) {
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return <div className="tm-sc">No closed trades yet.</div>
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}
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const maxAbsNet = Math.max(0.01, ...holdBuckets.map((b) => Math.abs(b.net)))
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const row = (bucket: BucketAgg) => {
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const winPct = bucket.n > 0 ? (100 * bucket.wins) / bucket.n : 0
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const up = bucket.net >= 0
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return (
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<div key={bucket.label} style={{ marginBottom: 7 }}>
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<div className="tm-mono" style={{ display: 'flex', alignItems: 'baseline', fontSize: 11, marginBottom: 2 }}>
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<span style={{ fontWeight: 500, minWidth: 52 }}>{bucket.label}</span>
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<span className="tm-sc">
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{bucket.n} trades · {bucket.n > 0 ? `${winPct.toFixed(0)}% win` : '—'} · fees ${bucket.fees.toFixed(2)}
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</span>
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<span className={up ? 'tm-up' : 'tm-dn'} style={{ marginLeft: 'auto', fontWeight: 600 }}>
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{bucket.n > 0 ? fmtUsd(bucket.net) : '—'}
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</span>
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</div>
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{/* diverging net bar around a center axis */}
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<div style={{ display: 'flex', height: 4, background: 'var(--tm-hair)' }}>
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<div style={{ width: '50%', display: 'flex', justifyContent: 'flex-end' }}>
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{!up && (
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<div style={{ height: 4, width: `${(Math.abs(bucket.net) / maxAbsNet) * 100}%`, background: 'var(--tm-dn)' }} />
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)}
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</div>
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<div style={{ width: '50%' }}>
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{up && bucket.net > 0 && (
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<div style={{ height: 4, width: `${(bucket.net / maxAbsNet) * 100}%`, background: 'var(--tm-up)' }} />
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)}
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</div>
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</div>
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</div>
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)
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}
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// one-line takeaway: does patience pay on this book?
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const shortHolds = holdBuckets[0].net + holdBuckets[1].net
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const longHolds = holdBuckets[2].net + holdBuckets[3].net
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const takeaway =
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longHolds > shortHolds
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? `edge concentrates in holds ≥ 1h (${fmtUsd(longHolds)} vs ${fmtUsd(shortHolds)} under 1h)`
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: `short holds outperform on this sample (${fmtUsd(shortHolds)} vs ${fmtUsd(longHolds)} ≥ 1h)`
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return (
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<div>
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{holdBuckets.map(row)}
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<div style={{ borderTop: '1px solid var(--tm-hair)', margin: '8px 0 7px' }} />
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{sideBuckets.map(row)}
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<div className="tm-sc" style={{ marginTop: 6, fontSize: 9 }}>
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last {sample} closed · {takeaway}
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</div>
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</div>
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)
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}
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export default EdgeProfile
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@@ -17,6 +17,7 @@ import { KlineChart } from './KlineChart'
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import { ExecutionLog } from './ExecutionLog'
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import { SignalMatrix } from './SignalMatrix'
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import { RiskRadar } from './RiskRadar'
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import { EdgeProfile } from './EdgeProfile'
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import { useDemoEngine } from '../../lib/demo/useDemoEngine'
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// crypto majors trade on the Hyperliquid main dex (no hip3 cost/liq heatmap);
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@@ -540,8 +541,8 @@ export function TerminalDashboard({
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</div>
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<div className="tm-rule" />
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{/* market net inflow (Vergex) · by-symbol history — balanced two-column footer */}
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<div style={{ display: 'grid', gridTemplateColumns: 'minmax(0,1.5fr) minmax(0,1fr)' }}>
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{/* market net inflow (Vergex) · by-symbol history · edge profile — footer */}
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<div style={{ display: 'grid', gridTemplateColumns: 'minmax(0,1.2fr) minmax(0,0.9fr) minmax(0,0.9fr)' }}>
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<div style={{ ...sc, borderRight: cellBorder }}>
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<div style={{ display: 'flex', alignItems: 'baseline', gap: 10, marginBottom: 8 }}>
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<span className="tm-px" style={{ fontSize: 12 }}>Market net inflow</span>
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@@ -550,7 +551,7 @@ export function TerminalDashboard({
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</div>
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<FlowMarkets items={flowItems} window={flow?.data?.window} />
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</div>
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<div style={sc}>
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<div style={{ ...sc, borderRight: cellBorder }}>
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<div style={{ display: 'flex', alignItems: 'baseline', gap: 8, marginBottom: 8 }}>
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<span className="tm-px" style={{ fontSize: 11 }}>By symbol</span>
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<span className="tm-sc">By-symbol history · trades/win/pnl</span>
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@@ -568,6 +569,13 @@ export function TerminalDashboard({
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</div>
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)) : <div className="tm-sc">No symbol history.</div>}
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</div>
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<div style={sc}>
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<div style={{ display: 'flex', alignItems: 'baseline', gap: 8, marginBottom: 8 }}>
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<span className="tm-px" style={{ fontSize: 11 }}>Edge profile</span>
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<span className="tm-sc">Net by hold time & side · after fees</span>
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</div>
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<EdgeProfile positions={history?.positions} />
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</div>
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</div>
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</div>
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</div>
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@@ -36,9 +36,9 @@ function formatDuration(minutes: number): string {
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}
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// Format date
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function formatDate(dateStr: string): string {
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if (!dateStr) return '-'
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const date = new Date(dateStr)
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function formatDate(value: number | string): string {
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if (!value) return '-'
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const date = new Date(value)
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if (isNaN(date.getTime())) return '-'
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return date.toLocaleDateString('zh-CN', {
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month: '2-digit',
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@@ -186,10 +186,12 @@ export interface HistoricalPosition {
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entry_quantity: number
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entry_price: number
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entry_order_id: string
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entry_time: string
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/** Epoch milliseconds. */
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entry_time: number
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exit_price: number
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exit_order_id: string
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exit_time: string
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/** Epoch milliseconds. */
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exit_time: number
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realized_pnl: number
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fee: number
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leverage: number
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