Add 5-tier LLM SELL profit thresholds, allow loss sells, fix PnL sign display

- Replace 3-tier LLM SELL thresholds with 5-tier descending confidence
  (1-2%→0.7, 2-3%→0.6, 3-5%→0.5, ≥5%→0.4), min profit 1%
- Allow LLM SELL on losing positions (trust LLM signal for cut-loss)
- Fix +-1.90% sign bug: use pnl_pct instead of pnl amount for sign

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

config.py

@@ -44,8 +44,22 @@ MIN_ORDER_AMOUNT = {
     "tLINK:UST": 0.2, "tXRPUST": 4.0, "tSHIB:UST": 141010.0,
     "tDOGE:UST": 22.0, "tATOUST": 0.02, "tXLMUST": 4.0,
 }
-STOP_LOSS_PCT = 0.03
+# ATR-based dynamic stop-loss
+ATR_SL_MULTIPLIER = 3.0       # stop = entry - ATR × multiplier
+ATR_SL_MIN_PCT = 0.03         # 下限：不低於 3%（低波動期等同現行）
+ATR_SL_MAX_PCT = 0.08         # 上限：不超過 8%
+STOP_LOSS_PCT = 0.08           # 安全網用上限值（防止交易所 stop 失敗時過早觸發）
 TAKE_PROFIT_PCT = 0.15
+
+# LLM SELL profit-tiered thresholds (5 層遞減)
+LLM_SELL_MIN_PROFIT_PCT = 0.01    # < 1% 不賣
+LLM_SELL_TIERS = [
+    # (獲利上限, 最低信心)
+    (0.02, 0.7),   # 1-2%  需信心 ≥ 0.7
+    (0.03, 0.6),   # 2-3%  需信心 ≥ 0.6
+    (0.05, 0.5),   # 3-5%  需信心 ≥ 0.5
+    (None,  0.4),  # ≥ 5%  需信心 ≥ 0.4
+]
 MAX_POSITION_PCT = 0.30       # Max 30% of portfolio per coin
 MAX_TOTAL_EXPOSURE_PCT = 1.00  # No cap — use full balance
 

risk_manager.py

@@ -101,7 +101,7 @@ def adjust_size_by_volatility(amount_usdt: float, atr: float, price: float) -> f
     return amount_usdt
 
 
-def validate_trade(signal: dict, portfolio: dict, indicators_df=None) -> tuple[dict | None, str]:
+def validate_trade(signal: dict, portfolio: dict, indicators_df=None, current_prices: dict | None = None) -> tuple[dict | None, str]:
     """Run all risk checks. Returns (signal, "") on success or (None, reason) on rejection."""
     action = signal.get("action", "HOLD")
     if action == "HOLD":
@@ -170,6 +170,28 @@ def validate_trade(signal: dict, portfolio: dict, indicators_df=None) -> tuple[d
         if pos.get("amount", 0) <= 0:
             logger.info("No position to sell for %s", symbol)
             return None, "無持倉，跳過"
+
+        # Profit-tiered LLM SELL filter (止盈/止損由 risk_manager 和交易所處理，這裡只管 LLM 信號)
+        entry = pos.get("entry_price", 0)
+        current = (current_prices or {}).get(symbol, 0)
+        if entry > 0 and current > 0:
+            pnl_pct = (current - entry) / entry
+            confidence = signal.get("confidence", 0)
+            if 0 <= pnl_pct < config.LLM_SELL_MIN_PROFIT_PCT:
+                return None, f"獲利不足 {pnl_pct:+.2%}，不執行 LLM SELL"
+            if pnl_pct < 0:
+                logger.info("LLM SELL %s: 虧損中 (P&L %+.2f%%)，信任 LLM 信號", symbol, pnl_pct * 100)
+            else:
+                required_conf = config.LLM_SELL_TIERS[-1][1]  # default to loosest
+                for upper, min_conf in config.LLM_SELL_TIERS:
+                    if upper is None or pnl_pct < upper:
+                        required_conf = min_conf
+                        break
+                if confidence < required_conf:
+                    return None, f"獲利 {pnl_pct:+.2%} 需信心 ≥ {required_conf}，目前 {confidence}"
+                logger.info("LLM SELL %s: 通過 (P&L %+.2f%%, conf %.2f ≥ %.2f)",
+                            symbol, pnl_pct * 100, confidence, required_conf)
+
         # SELL: 一律全部賣出
         pos_value = pos.get("value_usdt", 0)
         if pos_value <= 0:

slack_notifier.py

@@ -71,8 +71,10 @@ def send_cycle_report(
             amount_usdt = tp.get("amount_usdt", 0)
             pnl_str = ""
             if tp.get("realized_pnl") is not None:
-                sign = "+" if tp["realized_pnl"] >= 0 else ""
-                pnl_str = f"，收益 {sign}{tp['realized_pnl']:.2f} USDT ({sign}{tp['realized_pnl_pct']:.2f}%)"
+                pnl_val = tp["realized_pnl"]
+                pnl_pct_val = tp["realized_pnl_pct"]
+                sign = "+" if pnl_pct_val > 0 else ""
+                pnl_str = f"，收益 {sign}{pnl_val:.2f} USDT ({sign}{pnl_pct_val:.2f}%)"
             lines.append(f"  🔴 SELL {name} — {pnl}，平倉 {amount_usdt:.1f} USDT{pnl_str}")
         lines.append("")
 
@@ -116,8 +118,10 @@ def send_cycle_report(
             if action == "BUY" and t.get("stop_price"):
                 extra = f" — 止損掛 {t['stop_price']:.6g}"
             elif action == "SELL" and t.get("realized_pnl") is not None:
-                sign = "+" if t["realized_pnl"] >= 0 else ""
-                extra = f" — 收益 {sign}{t['realized_pnl']:.2f} USDT ({sign}{t['realized_pnl_pct']:.2f}%)"
+                pnl = t["realized_pnl"]
+                pnl_pct = t["realized_pnl_pct"]
+                sign = "+" if pnl_pct > 0 else ""
+                extra = f" — 收益 {sign}{pnl:.2f} USDT ({sign}{pnl_pct:.2f}%)"
             tag = " [止損觸發]" if t.get("is_stop_loss") else ""
             lines.append(f"  {emoji} {name} — {detail}{extra}{tag}")
         lines.append("")