upd

config.default.ini

@@ -19,16 +19,16 @@ order_expiration_time = 8
 max_order_breach = 3
 stop_loss_threshold = 0.5
 risk_factor = 0.618
-tp_factor = 2.236
-sl_factor = 1.618
-be_factor = 0.618
+tp_factor = 3.786
+sl_factor = 2.382
+trl_factor = 0.786
 depth = 80
 
 [portfolio]
-risk_per_trade = 0.0001
+risk_per_trade = 0.0005
 account_size = 1000
 cagr_threshold = 0.01
-sharpe_ratio_threshold = 0.1
+sharpe_ratio_threshold = 0.2
 total_trades_threshold = 8
 
 [system]
@@ -39,12 +39,12 @@ leverage = 1
 reevaluate_timeout = 3600
 
 [generator]
-n_samples = 8
+n_samples = 13
 blacklist = [USDCUSDT]
 timeframes = [1m]
 
 [optimization]
-max_generations = 3
+max_generations = 5
 elite_count = 3
 mutation_rate = 0.0236
 crossover_rate = 0.8

position/risk/break_even.py

@@ -34,7 +34,7 @@ def next(
         tp_threshold = atr[-1] * self.config["tp_factor"]
         sl_threshold = atr[-1] * self.config["sl_factor"]
 
-        dist = abs(entry_price - take_profit_price) * self.config["be_factor"]
+        dist = abs(entry_price - take_profit_price) * self.config["tsl_factor"]
         curr_dist = abs(entry_price - price)
 
         high = min(ohlcvs[-lookback:], key=lambda x: abs(x.high - price)).high

position/risk/volatility.py

@@ -22,15 +22,15 @@ def next(
         ohlcvs: List[Tuple[OHLCV]],
     ) -> float:
         ohlcvs = ohlcvs[:]
-        lookback = 1
+        lookback = 3
 
         if len(ohlcvs) < lookback + 3:
             return stop_loss_price, take_profit_price
 
         atr = self._atr(ohlcvs, lookback)
         price = self._price(ohlcvs)
 
-        distance = atr[-1] * self.config["be_factor"]
+        distance = atr[-1] * self.config["trl_factor"]
         tp_threshold = atr[-1] * self.config["tp_factor"]
         sl_threshold = atr[-1] * self.config["sl_factor"]
 
@@ -41,19 +41,19 @@ def next(
         if side == PositionSide.LONG:
             next_take_profit = max(entry_price + tp_threshold, take_profit_price - tsl)
 
-            if price > tsl:
+            if price > tsl and price > entry_price:
                 next_stop_loss = max(entry_price - sl_threshold, stop_loss_price + tsl)
 
         elif side == PositionSide.SHORT:
             next_take_profit = max(entry_price - tp_threshold, take_profit_price + tsl)
 
-            if price > tsl:
+            if price > tsl and price < entry_price:
                 next_stop_loss = min(entry_price + sl_threshold, stop_loss_price - tsl)
 
         return next_stop_loss, next_take_profit
 
     @staticmethod
-    def _atr(ohlcvs: List[OHLCV], period: int) -> float:
+    def _atr(ohlcvs: List[OHLCV], period: int) -> List[float]:
         highs, lows, closes = (
             np.array([ohlcv.high for ohlcv in ohlcvs]),
             np.array([ohlcv.low for ohlcv in ohlcvs]),
@@ -72,8 +72,8 @@ def _atr(ohlcvs: List[OHLCV], period: int) -> float:
         for i in range(period, len(true_ranges)):
             atr[i] = np.divide((atr[i - 1] * (period - 1) + true_ranges[i]), period)
 
-        return atr
+        return list(atr)
 
     @staticmethod
     def _price(ohlcvs: List[OHLCV]) -> float:
-        return (ohlcvs[-1].high + ohlcvs[-1].low + ohlcvs[-1].close) / 3.0
+        return (ohlcvs[-1].high + ohlcvs[-1].low + 2 * ohlcvs[-1].close) / 4.0