dennisthiessenandClaude Opus 4.8
9789e3d762
The UI told a swing-trade story (entry -> target -> stop) while the engine runs a momentum portfolio (buy strength, trail out, re-rank). The selection was honest; everything around it was borrowed from a strategy we don't run. The target is never an exit under `atr_trailing`: `_atr_trailing_close()` does not even take it as a parameter. It exists only to compute the R:R and touch odds that admit a setup through the activation gate. Backtested exit reasons for the production strategy: 144 initial stop, 98 trailing stop, 78 max hold — target 0. See docs/research/sr-levels-and-exits.md. What changed: - New ExitPlanPanel on every setup card states the rules that actually close the trade: initial stop (1R), the price at which the 3x ATR trail takes over from it, the trail width in R, and the max hold. Derived in lib/exitPlan.ts from the live exit policy, so it follows Admin rather than hardcoding the default. - New BaseRatesPanel replaces per-target "probability" as the answer to "what usually happens": win rate, average hold, best/worst R, and how trades actually ended — measured under the real exit, from the backtest report. - "Target"/"target probability" relabelled to "level"/"touch odds" and grouped as gate metrics, with the R:R. On the dashboard focus card, residual momentum (the actual signal) takes the headline stat those two used to occupy. - The take-trade dialog no longer offers a target dropdown whose value the exit ignores; it states the trailing plan instead. The picker returns only when the live policy is mode='target', where the choice is real. The stored target is now the setup's own, not whichever row was last clicked while exploring. - "Played out" is gone. A setup was declared dead once price reached the target — backwards under a trailing exit, where reaching a level is the good case and the trade keeps running. Only the stop invalidates a setup now; running past the entry is an "extended" warning, measured in R (you'd be chasing). The levels ladder, the price rail and the chart overlay all stay fully explorable — clicking a level still drives them. It is framed as overhead structure, which is what it is, rather than a menu of exits. Adds a parity guard: the UI recovers ATR as |entry - stop| / 1.5, so the test fails if the scanner's stop width ever moves. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
82 lines
2.5 KiB
TypeScript
82 lines
2.5 KiB
TypeScript
/**
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* Base rates for the strategy as it actually runs.
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*
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* The per-target `probability` on a setup answers "will price touch this S/R
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* level?" — a question about a level we never exit at. These numbers answer the
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* question the user is really asking ("what tends to happen when I take one of
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* these?") and they are measured under the *real* exit policy, from the same
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* backtest report the Track Record page already consumes.
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*/
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interface MonitorRun {
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strategy?: string;
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lookback?: string;
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is_production?: boolean;
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sharpe?: number | null;
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cagr_pct?: number | null;
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max_drawdown_pct?: number | null;
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trades?: number | null;
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win_rate?: number | null;
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avg_hold_days?: number | null;
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best_trade_r?: number | null;
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worst_trade_r?: number | null;
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exit_reasons?: Record<string, number> | null;
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}
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export interface BaseRates {
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lookbackLabel: string;
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trades: number;
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winRate: number;
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avgHoldDays: number | null;
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bestR: number | null;
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worstR: number | null;
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sharpe: number | null;
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/** How trades actually ended, as shares of the total (0-1). */
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exits: { reason: string; label: string; count: number; share: number }[];
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}
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const EXIT_LABELS: Record<string, string> = {
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stop: 'initial stop',
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trailing_stop: 'trailing stop',
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time: 'max hold',
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target: 'target',
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};
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/**
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* Pull the production strategy's full-history row out of a backtest report.
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* Returns null when the report hasn't run or has no production row.
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*/
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export function productionBaseRates(report: unknown): BaseRates | null {
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const monitor = (report as { portfolio_monitor?: { production_strategy?: string; runs?: MonitorRun[] } })
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?.portfolio_monitor;
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if (!monitor?.runs?.length) return null;
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const strategy = monitor.production_strategy;
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const row =
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monitor.runs.find((r) => r.strategy === strategy && r.lookback === 'all') ??
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monitor.runs.find((r) => r.is_production && r.lookback === 'all');
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if (!row || !row.trades) return null;
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const reasons = row.exit_reasons ?? {};
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const total = Object.values(reasons).reduce((a, b) => a + b, 0);
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const exits = Object.entries(reasons)
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.map(([reason, count]) => ({
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reason,
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label: EXIT_LABELS[reason] ?? reason,
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count,
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share: total > 0 ? count / total : 0,
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}))
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.sort((a, b) => b.count - a.count);
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return {
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lookbackLabel: 'all history',
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trades: row.trades,
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winRate: row.win_rate ?? 0,
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avgHoldDays: row.avg_hold_days ?? null,
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bestR: row.best_trade_r ?? null,
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worstR: row.worst_trade_r ?? null,
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sharpe: row.sharpe ?? null,
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exits,
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};
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}
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