Add timeframe-aware signal quality scoring for 5min charts

- Lower ADX/ATR thresholds for 5min timeframe (ADX 12-22, ATR 0.2-0.7%)
- Add anti-chop filter: -20 points for extreme sideways (ADX<10, ATR<0.25, Vol<0.9)
- Pass timeframe parameter through check-risk and execute endpoints
- Fixes flip-flop losses from overly strict 5min filters
- Higher timeframes unchanged (still use ADX 18+, ATR 0.4+)

5min scoring now:
- ADX 12-15: moderate trend (+5)
- ADX 22+: strong trend (+15)
- ATR 0.2-0.35: acceptable (+5)
- ATR 0.35+: healthy (+10)
- Extreme chop penalty prevents whipsaw trades
This commit is contained in:
mindesbunister
2025-11-07 08:56:19 +01:00
parent b52a980138
commit 0365560c5b
3 changed files with 76 additions and 24 deletions

View File

@@ -15,6 +15,7 @@ import { scoreSignalQuality, SignalQualityResult } from '@/lib/trading/signal-qu
export interface RiskCheckRequest {
symbol: string
direction: 'long' | 'short'
timeframe?: string // e.g., '5', '15', '60', '1D'
// Optional context metrics from TradingView
atr?: number
adx?: number
@@ -57,6 +58,7 @@ function shouldAllowScaling(
pricePosition: newSignal.pricePosition,
direction: newSignal.direction,
minScore: config.minScaleQualityScore,
timeframe: newSignal.timeframe,
})
// 2. Check quality score (higher bar than initial entry)
@@ -271,7 +273,8 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
volumeRatio: body.volumeRatio || 0,
pricePosition: body.pricePosition || 0,
direction: body.direction,
minScore: 60 // Hardcoded threshold
minScore: 60, // Hardcoded threshold
timeframe: body.timeframe,
})
if (!qualityScore.passed) {

View File

@@ -322,6 +322,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
volumeRatio: body.volumeRatio || 0,
pricePosition: body.pricePosition || 0,
direction: body.direction,
timeframe: body.timeframe,
})
await createTrade({
@@ -550,6 +551,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<ExecuteTr
volumeRatio: body.volumeRatio || 0,
pricePosition: body.pricePosition || 0,
direction: body.direction,
timeframe: body.timeframe,
})
await createTrade({

View File

@@ -14,14 +14,18 @@ export interface SignalQualityResult {
/**
* Calculate signal quality score based on technical indicators
*
* TIMEFRAME-AWARE SCORING:
* 5min charts naturally have lower ADX/ATR than higher timeframes
*
* Scoring breakdown:
* - Base: 50 points
* - ATR (volatility): -20 to +10 points
* - ADX (trend strength): -15 to +15 points
* - ATR (volatility): -20 to +10 points (5min: 0.25-0.7% is healthy)
* - ADX (trend strength): -15 to +15 points (5min: 15+ is trending)
* - RSI (momentum): -10 to +10 points
* - Volume: -10 to +15 points
* - Price position: -15 to +5 points
* - Volume breakout bonus: +10 points
* - Anti-chop filter: -20 points (5min only, extreme chop)
*
* Total range: ~15-115 points (realistically 30-100)
* Threshold: 60 points minimum for execution
@@ -34,38 +38,75 @@ export function scoreSignalQuality(params: {
pricePosition: number
direction: 'long' | 'short'
minScore?: number // Configurable minimum score threshold
timeframe?: string // e.g., '5', '15', '60', '1D'
}): SignalQualityResult {
let score = 50 // Base score
const reasons: string[] = []
// Detect 5-minute timeframe
const is5min = params.timeframe === '5' || params.timeframe === 'manual'
// ATR check (volatility gate: 0.15% - 2.5%)
// ATR check - TIMEFRAME AWARE
if (params.atr > 0) {
if (params.atr < 0.15) {
score -= 15
reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
} else if (params.atr > 2.5) {
score -= 20
reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
} else if (params.atr >= 0.15 && params.atr < 0.4) {
score += 5
reasons.push(`ATR moderate (${params.atr.toFixed(2)}%)`)
if (is5min) {
// 5min: lower thresholds, more lenient
if (params.atr < 0.2) {
score -= 15
reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
} else if (params.atr > 1.5) {
score -= 20
reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
} else if (params.atr >= 0.2 && params.atr < 0.35) {
score += 5
reasons.push(`ATR acceptable (${params.atr.toFixed(2)}%)`)
} else {
score += 10
reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
}
} else {
score += 10
reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
// Higher timeframes: stricter requirements
if (params.atr < 0.15) {
score -= 15
reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
} else if (params.atr > 2.5) {
score -= 20
reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
} else if (params.atr >= 0.15 && params.atr < 0.4) {
score += 5
reasons.push(`ATR moderate (${params.atr.toFixed(2)}%)`)
} else {
score += 10
reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
}
}
}
// ADX check (trend strength: want >18)
// ADX check - TIMEFRAME AWARE
if (params.adx > 0) {
if (params.adx > 25) {
score += 15
reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 18) {
score -= 15
reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
if (is5min) {
// 5min: ADX 15+ is actually trending, 20+ is strong
if (params.adx > 22) {
score += 15
reasons.push(`Strong 5min trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 12) {
score -= 15
reasons.push(`Weak 5min trend (ADX ${params.adx.toFixed(1)})`)
} else {
score += 5
reasons.push(`Moderate 5min trend (ADX ${params.adx.toFixed(1)})`)
}
} else {
score += 5
reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
// Higher timeframes: stricter ADX requirements
if (params.adx > 25) {
score += 15
reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 18) {
score -= 15
reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
} else {
score += 5
reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
}
}
}
@@ -135,6 +176,12 @@ export function scoreSignalQuality(params: {
score += 10
reasons.push(`Volume breakout compensates for low ATR`)
}
// ANTI-CHOP FILTER for 5min (extreme penalty for sideways chop)
if (is5min && params.adx < 10 && params.atr < 0.25 && params.volumeRatio < 0.9) {
score -= 20
reasons.push(`⛔ Extreme chop detected (ADX ${params.adx.toFixed(1)}, ATR ${params.atr.toFixed(2)}%, Vol ${params.volumeRatio.toFixed(2)}x)`)
}
const minScore = params.minScore || 60
const passed = score >= minScore