Fix: Add timeframe-aware signal quality scoring for 5min charts

PROBLEM:
- Long signal (ADX 15.7, ATR 0.35%) blocked with score 45/100
- Missed major +3% runup, lost -2 on short that didn't flip
- Scoring logic treated all timeframes identically (daily chart thresholds)

ROOT CAUSE:
- ADX < 18 always scored -15 points regardless of timeframe
- 5min charts naturally have lower ADX (12-22 healthy range)
- copilot-instructions mentioned timeframe awareness but wasn't implemented

FIX:
- Add timeframe parameter to RiskCheckRequest interface
- Update scoreSignalQuality() with timeframe-aware ADX thresholds:
  * 5min/15min: ADX 12-22 healthy (+5), <12 weak (-15), >22 strong (+15)
  * Higher TF: ADX 18-25 healthy (+5), <18 weak (-15), >25 strong (+15)
- Pass timeframe from n8n workflow through check-risk and execute
- Update both Check Risk nodes in Money Machine workflow

IMPACT:
Your blocked signal (ADX 15.7 on 5min) now scores:
- Was: 50 + 5 - 15 + 0 + 0 + 5 = 45 (BLOCKED)
- Now: 50 + 5 + 5 + 0 + 0 + 5 = 65 (PASSES)

This 20-point improvement from timeframe awareness would have caught the runup.
This commit is contained in:
mindesbunister
2025-11-10 07:34:21 +01:00
parent 14cd1a85ba
commit 4b11186d16
4 changed files with 41 additions and 10 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" for 5min, "60" for 1H, "D" for daily
// Optional context metrics from TradingView
atr?: number
adx?: number
@@ -270,6 +271,7 @@ export async function POST(request: NextRequest): Promise<NextResponse<RiskCheck
volumeRatio: body.volumeRatio || 0,
pricePosition: body.pricePosition || 0,
direction: body.direction,
timeframe: body.timeframe, // Pass timeframe for context-aware scoring
minScore: 60 // Hardcoded threshold
})

View File

@@ -330,6 +330,7 @@ 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({
@@ -540,6 +541,7 @@ 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

@@ -25,6 +25,10 @@ export interface SignalQualityResult {
*
* Total range: ~15-115 points (realistically 30-100)
* Threshold: 60 points minimum for execution
*
* TIMEFRAME-AWARE SCORING:
* - 5min charts have lower ADX/ATR thresholds (trends develop slower)
* - Higher timeframes require stronger confirmation
*/
export function scoreSignalQuality(params: {
atr: number
@@ -33,11 +37,17 @@ export function scoreSignalQuality(params: {
volumeRatio: number
pricePosition: number
direction: 'long' | 'short'
timeframe?: string // "5" = 5min, "15" = 15min, "60" = 1H, "D" = daily
minScore?: number // Configurable minimum score threshold
}): SignalQualityResult {
let score = 50 // Base score
const reasons: string[] = []
// Determine if this is a short timeframe (5min, 15min)
const is5minChart = params.timeframe === '5'
const is15minChart = params.timeframe === '15'
const isShortTimeframe = is5minChart || is15minChart
// ATR check (volatility gate: 0.15% - 2.5%)
if (params.atr > 0) {
if (params.atr < 0.15) {
@@ -55,17 +65,34 @@ export function scoreSignalQuality(params: {
}
}
// ADX check (trend strength: want >18)
// ADX check - TIMEFRAME AWARE (trend strength)
// 5min/15min: 12-22 is healthy (trends develop slower)
// 1H+: 18+ is healthy (stronger trends expected)
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 (isShortTimeframe) {
// 5min/15min thresholds
if (params.adx > 22) {
score += 15
reasons.push(`Strong trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 12) {
score -= 15
reasons.push(`Weak trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
} else {
score += 5
reasons.push(`Moderate trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
}
} else {
score += 5
reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
// Higher timeframe thresholds (1H, 4H, D)
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)})`)
}
}
}

View File

@@ -463,7 +463,7 @@
},
"sendBody": true,
"specifyBody": "json",
"jsonBody": "={\n \"symbol\": \"{{ $json.symbol }}\",\n \"direction\": \"{{ $json.direction }}\",\n \"atr\": {{ $json.atr || 0 }},\n \"adx\": {{ $json.adx || 0 }},\n \"rsi\": {{ $json.rsi || 0 }},\n \"volumeRatio\": {{ $json.volumeRatio || 0 }},\n \"pricePosition\": {{ $json.pricePosition || 0 }}\n}",
"jsonBody": "={\n \"symbol\": \"{{ $json.symbol }}\",\n \"direction\": \"{{ $json.direction }}\",\n \"timeframe\": \"{{ $json.timeframe }}\",\n \"atr\": {{ $json.atr || 0 }},\n \"adx\": {{ $json.adx || 0 }},\n \"rsi\": {{ $json.rsi || 0 }},\n \"volumeRatio\": {{ $json.volumeRatio || 0 }},\n \"pricePosition\": {{ $json.pricePosition || 0 }}\n}",
"options": {}
},
"id": "55671044-c7c8-4566-b271-9369a1c43158",