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fix: improve signal quality scoring for volume breakouts

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- Lower ATR threshold from 0.6% to 0.15% (allows low volatility breakouts)
- Increase volume bonus: +15 for very strong volume (1.5x+), was +10 for 1.2x+
- Add volume breakout logic: High volume (1.4x+) at 95%+ range gets +5 instead of -15 penalty
- Add volume compensation: +10 bonus when volume >1.8x and ATR <0.6%
- Example: SOL signal with 0.18% ATR, 1.74x volume at 95.6% range now scores 70/100 (PASS) instead of 25/100 (BLOCK)
- This signal moved +0.97% and would have hit TP1 (+1.5%) - proves quality scoring was too conservative
- Changes apply globally to all symbols (SOL, ETH, BTC) using same scoring algorithm
This commit is contained in:
mindesbunister
2025-11-02 09:10:03 +01:00
parent 466c0c8001
commit 32e88c3823
2 changed files with 957 additions and 10 deletions
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44
app/api/trading/check-risk/route.ts
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@@ -235,14 +235,17 @@ function scoreSignalQuality(params: {
let score = 50 // Base score
const reasons: string[] = []
// ATR check (volatility gate: 0.6% - 2.5%)
// ATR check (volatility gate: 0.15% - 2.5%)
if (params.atr > 0) {
if (params.atr < 0.6) {
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)}%)`)
@@ -286,7 +289,10 @@ function scoreSignalQuality(params: {
// Volume check (want > 1.0 = above average)
if (params.volumeRatio > 0) {
if (params.volumeRatio > 1.2) {
if (params.volumeRatio > 1.5) {
score += 15
reasons.push(`Very strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
} else if (params.volumeRatio > 1.2) {
score += 10
reasons.push(`Strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
} else if (params.volumeRatio < 0.8) {
@@ -295,20 +301,38 @@ function scoreSignalQuality(params: {
}
}
// Price position check (avoid chasing)
// Price position check (avoid chasing vs breakout detection)
if (params.pricePosition > 0) {
if (params.direction === 'long' && params.pricePosition > 90) {
score -= 15
reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
} else if (params.direction === 'short' && params.pricePosition < 10) {
score -= 15
reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
if (params.direction === 'long' && params.pricePosition > 95) {
// High volume breakout at range top can be good
if (params.volumeRatio > 1.4) {
score += 5
reasons.push(`Volume breakout at range top (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
} else {
score -= 15
reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
}
} else if (params.direction === 'short' && params.pricePosition < 5) {
// High volume breakdown at range bottom can be good
if (params.volumeRatio > 1.4) {
score += 5
reasons.push(`Volume breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
} else {
score -= 15
reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
}
} else {
score += 5
reasons.push(`Price position OK (${params.pricePosition.toFixed(0)}%)`)
}
}
// Volume breakout bonus (high volume can override other weaknesses)
if (params.volumeRatio > 1.8 && params.atr < 0.6) {
score += 10
reasons.push(`Volume breakout compensates for low ATR`)
}
const minScore = params.minScore ?? 60 // Use config value or default to 60
return {
passed: score >= minScore,