feat(qav3): add configuration section for protections

Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>

diff --git a/README.md b/README.md
index cce3d88ca9456bbb95cf6860b5b4addd20bb6df1..65ac4b2cd11fb9f106b643fcb50213f0235c8ebf 100644 (file)
--- a/README.md
+++ b/README.md
@@ -38,7 +38,13 @@ docker compose up -d --build
 | Path                                                 | Default           | Type / Range                                                                                                                     | Description                                                                                                                                                                                                                                                                                         |
 | ---------------------------------------------------- | ----------------- | -------------------------------------------------------------------------------------------------------------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
 | _Protections_                                        |                   |                                                                                                                                  |                                                                                                                                                                                                                                                                                                     |
-| estimated_trade_duration_candles                     | 48                | int >= 1                                                                                                                         | Heuristic for StoplossGuard tuning.                                                                                                                                                                                                                                                                 |
+| custom_protections.trade_duration_candles            | 72                | int >= 1                                                                                                                         | Estimated trade duration in candles. Scales protections stop duration candles and trade limit.                                                                                                                                                                                                      |
+| custom_protections.lookback_period_fraction          | 0.5               | float (0,1]                                                                                                                      | Fraction of fit_live_predictions_candles used to calculate lookback_period_candles for MaxDrawdown and StoplossGuard protections.                                                                                                                                                                   |
+| custom_protections.cooldown.enabled                  | true              | bool                                                                                                                             | Enable/disable CooldownPeriod protection.                                                                                                                                                                                                                                                           |
+| custom_protections.cooldown.stop_duration_candles    | 4                 | int >= 1                                                                                                                         | Number of candles to wait before allowing new trades after a trade is closed.                                                                                                                                                                                                                       |
+| custom_protections.drawdown.enabled                  | true              | bool                                                                                                                             | Enable/disable MaxDrawdown protection.                                                                                                                                                                                                                                                              |
+| custom_protections.drawdown.max_allowed_drawdown     | 0.2               | float (0,1)                                                                                                                      | Maximum allowed drawdown.                                                                                                                                                                                                                                                                           |
+| custom_protections.stoploss.enabled                  | true              | bool                                                                                                                             | Enable/disable StoplossGuard protection.                                                                                                                                                                                                                                                            |
 | _Leverage_                                           |                   |                                                                                                                                  |                                                                                                                                                                                                                                                                                                     |
 | leverage                                             | proposed_leverage | float [1.0, max_leverage]                                                                                                        | Leverage. Fallback to proposed_leverage for the pair.                                                                                                                                                                                                                                               |
 | _Exit pricing_                                       |                   |                                                                                                                                  |                                                                                                                                                                                                                                                                                                     |
@@ -46,7 +52,7 @@ docker compose up -d --build
 | exit_pricing.thresholds_calibration.decline_quantile | 0.90              | float (0,1)                                                                                                                      | PnL decline quantile threshold.                                                                                                                                                                                                                                                                     |
 | _Reversal confirmation_                              |                   |                                                                                                                                  |                                                                                                                                                                                                                                                                                                     |
 | reversal_confirmation.lookback_period                | 0                 | int >= 0                                                                                                                         | Prior confirming candles; 0 = none.                                                                                                                                                                                                                                                                 |
-| reversal_confirmation.decay_ratio                    | 0.5               | float (0,1]                                                                                                                      | Geometric per-candle relaxation factor.                                                                                                                                                                                                                                                             |
+| reversal_confirmation.decay_ratio                    | 0.5               | float (0,1]                                                                                                                      | Geometric per-candle volatility adjusted reversal threshold relaxation factor.                                                                                                                                                                                                                      |
 | reversal_confirmation.min_natr_ratio_percent         | 0.01              | float [0,1]                                                                                                                      | Lower bound fraction for volatility adjusted reversal threshold.                                                                                                                                                                                                                                    |
 | reversal_confirmation.max_natr_ratio_percent         | 0.1               | float [0,1]                                                                                                                      | Upper bound fraction (>= lower bound) for volatility adjusted reversal threshold.                                                                                                                                                                                                                   |
 | _Regressor model_                                    |                   |                                                                                                                                  |                                                                                                                                                                                                                                                                                                     |

diff --git a/quickadapter/user_data/strategies/QuickAdapterV3.py b/quickadapter/user_data/strategies/QuickAdapterV3.py
index 671d26108230bc0d52dd7a5e77670cc8c21c997d..24b95e78329c70fba58a51c5fd4093b970e3a976 100644 (file)
--- a/quickadapter/user_data/strategies/QuickAdapterV3.py
+++ b/quickadapter/user_data/strategies/QuickAdapterV3.py
@@ -194,54 +194,71 @@ class QuickAdapterV3(IStrategy):
         fit_live_predictions_candles = int(
             self.config.get("freqai", {}).get("fit_live_predictions_candles", 100)
         )
-        estimated_trade_duration_candles = int(
-            self.config.get("estimated_trade_duration_candles", 60)
+        protections = self.config.get("custom_protections", {})
+        trade_duration_candles = int(protections.get("trade_duration_candles", 72))
+        lookback_period_fraction = float(
+            protections.get("lookback_period_fraction", 0.5)
         )
 
-        lookback_period_candles = max(1, int(round(fit_live_predictions_candles * 0.5)))
-        cooldown_stop_duration_candles = 4
+        lookback_period_candles = max(
+            1, int(round(fit_live_predictions_candles * lookback_period_fraction))
+        )
+
+        cooldown = protections.get("cooldown", {})
+        cooldown_stop_duration_candles = int(cooldown.get("stop_duration_candles", 4))
         stoploss_stop_duration_candles = max(
-            cooldown_stop_duration_candles, estimated_trade_duration_candles
+            cooldown_stop_duration_candles, trade_duration_candles
         )
         drawdown_stop_duration_candles = max(
-            fit_live_predictions_candles,
-            estimated_trade_duration_candles * 2,
             stoploss_stop_duration_candles,
+            fit_live_predictions_candles,
         )
         max_open_trades = int(self.config.get("max_open_trades", 0))
         stoploss_trade_limit = min(
             max(
-                1,
-                int(
-                    round(
-                        lookback_period_candles
-                        / max(1, estimated_trade_duration_candles)
-                    )
-                ),
+                2,
+                int(round(lookback_period_candles / max(1, trade_duration_candles))),
             ),
-            max(1, int(round(max_open_trades * 0.5))),
+            max(2, int(round(max_open_trades * 0.75))),
         )
 
-        return [
-            {
-                "method": "CooldownPeriod",
-                "stop_duration_candles": cooldown_stop_duration_candles,
-            },
-            {
-                "method": "MaxDrawdown",
-                "lookback_period_candles": lookback_period_candles,
-                "trade_limit": int(round(1.5 * max_open_trades)),
-                "stop_duration_candles": drawdown_stop_duration_candles,
-                "max_allowed_drawdown": 0.2,
-            },
-            {
-                "method": "StoplossGuard",
-                "lookback_period_candles": lookback_period_candles,
-                "trade_limit": stoploss_trade_limit,
-                "stop_duration_candles": stoploss_stop_duration_candles,
-                "only_per_pair": True,
-            },
-        ]
+        protections_list = []
+
+        if cooldown.get("enabled", True):
+            protections_list.append(
+                {
+                    "method": "CooldownPeriod",
+                    "stop_duration_candles": cooldown_stop_duration_candles,
+                }
+            )
+
+        drawdown = protections.get("drawdown", {})
+        if drawdown.get("enabled", True):
+            protections_list.append(
+                {
+                    "method": "MaxDrawdown",
+                    "lookback_period_candles": lookback_period_candles,
+                    "trade_limit": 2 * max_open_trades,
+                    "stop_duration_candles": drawdown_stop_duration_candles,
+                    "max_allowed_drawdown": float(
+                        drawdown.get("max_allowed_drawdown", 0.2)
+                    ),
+                }
+            )
+
+        stoploss = protections.get("stoploss", {})
+        if stoploss.get("enabled", True):
+            protections_list.append(
+                {
+                    "method": "StoplossGuard",
+                    "lookback_period_candles": lookback_period_candles,
+                    "trade_limit": stoploss_trade_limit,
+                    "stop_duration_candles": stoploss_stop_duration_candles,
+                    "only_per_pair": True,
+                }
+            )
+
+        return protections_list
 
     use_exit_signal = True