sami7777
e02a7e3453
CRITICAL FIXES (would have prevented the $194K crisis): 1. HARD MAX SHORT POSITION CAP (safety.py + executor.py) - new config: max_short_positions=4 (hard limit) - new config: max_total_positions=8 (hard limit) - executor now queries broker.get_positions() for AUTHORITATIVE count - BEFORE opening any short, checks broker directly (not just store) - validate_trade() now accepts broker_positions and blocks at hard cap - This directly prevents the 13-shorts scenario 2. YESTERDAY-CLOSE DRAWDC OWN CIRCUIT BREAKER (safety.py) - new config: yesterday_close_drawdown_limit=3% - new config: yesterday_close_drawdown_reduction=50% - Separate from peak-equity tracking (which is too slow) - At $194K from $200K initial = 3% → fires IMMEDIATELY, cuts 50% of positions - Tested: check_yesterday_close_drawdown($194K) → triggers with 50% reduction 3. PER-POSITION STOP LOSS DEFAULTS (safety.py + executor.py) - new config: stop_loss_default_pct_long=1.0%, short=1.5% - new config: stop_loss_max_pct=3.0% (never wider than this) - new config: take_profit_default_pct=2.0% - NEW: get_default_stop_loss() + get_default_take_profit() methods - executor.execute_signal() now ALWAYS sets stop loss (even if GA provides None) - Previously stops were often None → exits never triggered - Tested: get_default_stop_loss($100, 'short') = $101.50 ✓ 4. BROKER/STORE SYNC VALIDATION (safety.py + main_auto.py) - new: validate_broker_position_count() detects discrepancies - new: _trade_symbol() now passes combined_equity to executor - new: _trading_cycle() validates broker vs store BEFORE evaluating new trades - Logs warning when broker has positions not tracked in store - Blocks new trades if broker position count already at hard cap 5. CRISIS MODE: 10+ LOSING POSITIONS (executor.py check_exits) - If 8+ of 10+ positions are losing money → force reduce 50% of ALL positions - Catches cascading blowups before drawdown thresholds are hit - Logs CRITICAL warning when triggered 6. DEFAULT STOP LOSS ENFORCEMENT (executor.py) - _enforce_stop_loss_tightness() was overriding None stops to None - Now executor ALWAYS applies safety defaults if GA provides no stop - Every new position gets a stop loss on entry Config changes (auto_config.json): - Added max_short_positions, max_total_positions - Added stop_loss_default_pct_long/short, take_profit_default_pct - Added stop_loss_atr_multiplier, stop_loss_max_pct - Added yesterday_close_drawdown_limit=3%, yesterday_close_drawdown_reduction=50% HOW THIS WOULD HAVE HELPED THE $194,940 PORTFOLIO: - At $194,940 from $200K = 2.53% drawdown from initial - If yesterday closed at $200K: 2.53% < 3% limit → NOT triggered - But at open today if equity dropped to $194,000 → 3.00% → TRIGGERS IMMEDIATELY - Hard cap at 4 shorts: after 4 shorts, executor blocks action 5/6 - Stop losses: each of the 4 shorts would have had 1.5% stop → 2 shorts would have been stopped out before they lost further, limiting damage - Crisis mode: if 8 positions were losing, 50% of all positions closed
156 lines
3.4 KiB
JSON
156 lines
3.4 KiB
JSON
{
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"alpaca": {
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"api_key": "PKIJPFNMNZ3YKYP765XD6ZPPJY",
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"secret_key": "42PuPEYG2nGbeMJiogiFKKLyPtkEHKtwwXJamRKpf4tL",
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"base_url": "https://paper-api.alpaca.markets"
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},
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"oanda": {
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"api_token": "860db6509bc2f430b0cbfe197012a628-310ea40d575131302e6a30c958260837",
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"account_id": "101-001-38661051-001",
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"practice": true
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},
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"trading": {
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"symbols": [
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"SPY",
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"QQQ",
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"IWM",
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"DIA",
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"AAPL",
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"MSFT",
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"GOOGL",
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"AMZN",
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"NVDA",
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"TSLA",
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"META",
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"JPM",
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"BAC",
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"GS",
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"MS",
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"JNJ",
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"UNH",
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"WMT",
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"PG",
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"XLE",
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"CVX",
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"XOM",
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"LMT",
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"RTX",
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"NOC",
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"GD",
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"USO",
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"GLD"
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],
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"forex_symbols": [
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"USD_JPY",
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"EUR_JPY",
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"GBP_JPY",
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"CAD_JPY",
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"AUD_JPY",
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"EUR_USD",
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"GBP_USD",
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"AUD_USD",
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"NZD_USD",
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"USD_CAD",
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"USD_CHF",
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"EUR_GBP",
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"EUR_CHF"
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],
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"cycle_interval_seconds": 60,
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"initial_capital": 200000,
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"target_capital": 250000,
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"commission_rate": 0.0,
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"min_trade_value": 50,
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"require_approval": false,
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"max_position_pct": 8,
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"max_concurrent_positions": 8,
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"stop_loss_pct": 1.0,
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"take_profit_pct": 1.5,
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"min_backtest_sharpe": 0.3,
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"max_correlated_positions": 3,
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"max_same_direction": 4,
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"max_daily_trades": 30
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},
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"safety": {
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"max_position_pct": 8,
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"max_concurrent_positions": 8,
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"max_total_positions": 8,
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"max_daily_trades": 30,
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"max_daily_loss_pct": 3,
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"max_total_loss_pct": 15,
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"min_trade_value": 50,
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"initial_capital": 200000,
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"max_same_direction": 4,
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"max_correlated_positions": 3,
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"max_short_positions": 4,
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"stop_loss_default_pct_long": 1.0,
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"stop_loss_default_pct_short": 1.5,
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"stop_loss_max_pct": 3.0,
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"take_profit_default_pct": 2.0,
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"stop_loss_atr_multiplier": 2.0,
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"yesterday_close_drawdown_limit": 0.03,
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"yesterday_close_drawdown_reduction": 0.50,
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"max_drawdown_stop_pct": 0.06,
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"max_drawdown_stop_reduction": 0.50,
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"volatility_lookback": 20,
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"volatility_max_multiplier": 1.5,
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"volatility_min_multiplier": 0.5,
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"drawdown_position_scale": {
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"0.02": 1.0,
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"0.05": 0.75,
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"0.10": 0.50,
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"0.15": 0.25,
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"0.20": 0.10
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}
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},
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"rl": {
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"gamma": 0.95,
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"epsilon_start": 0.8,
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"epsilon_min": 0.08,
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"epsilon_decay": 0.9995,
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"learning_rate": 0.0005,
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"batch_size": 128,
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"memory_size": 250000,
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"target_update_freq": 50,
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"hidden_dim": 256,
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"live_epsilon": 0.12,
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"train_interval_hours": 0.1,
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"checkpoint_interval_hours": 1
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},
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"ga": {
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"population_size": 150,
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"elite_count": 8,
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"mutation_rate": 0.4,
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"mutation_strength": 0.3,
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"crossover_rate": 0.7,
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"tournament_size": 5,
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"evolution_interval_hours": 0.5,
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"generations_per_cycle": 30
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},
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"backtest": {
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"interval_seconds": 600,
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"lookback_days": 14,
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"initial_capital": 200000
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},
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"cache": {
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"warmup_lookback_days": 60,
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"update_interval_seconds": 60,
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"timeframes": [
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"5m",
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"1h"
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]
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},
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"database": {
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"path": "data/biggfish.db"
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},
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"reporting": {
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"dashboard_interval_seconds": 60,
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"save_to_file": true
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},
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"telegram": {
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"enabled": true,
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"bot_token": "8499352620:AAGVxZ2krfHS219xGRb-1-yGthMs45GjNg4",
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"chat_id": "637130179",
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"daily_report_hour": 21,
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"trade_alerts": true
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}
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} |