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docs: Document direction-specific quality thresholds in copilot instructions

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Architecture Overview Updates:
- Updated Signal Quality System section with direction-specific thresholds
- Added detailed subsection explaining Nov 23, 2025 implementation
- Data-driven rationale: 227 trades analysis showed $778.52 P&L gap
- Configuration: LONG=90 (71.4% WR), SHORT=95 (28.6% WR toxic)
- Helper function, fallback logic, and expected impact documented
- Reference to complete analysis in docs/DIRECTION_SPECIFIC_QUALITY_THRESHOLDS.md

Context for Future AI Agents:
- Why different thresholds: historical data shows clear directional bias
- Quality 90-94 longs profitable (+$44.77 on 7 trades)
- Quality 90-94 shorts toxic (-$553.76 on 7 trades)
- System now captures profitable longs while blocking toxic shorts
This commit is contained in:
mindesbunister
2025-11-23 15:10:34 +01:00
parent 9580c109b2
commit 4f6a4b76cf
1 changed files with 11 additions and 1 deletions
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.github/copilot-instructions.md vendored
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@@ -78,7 +78,17 @@
- BTC and other symbols fall back to global settings (`MAX_POSITION_SIZE_USD`, `LEVERAGE`)
- **Priority:** Per-symbol ENV → Market config → Global ENV → Defaults
**Signal Quality System:** Filters trades based on 5 metrics (ATR, ADX, RSI, volumeRatio, pricePosition) scored 0-100. Only trades scoring 91+ are executed (raised from 81 on Nov 21, 2025 after trade #7: ADX 19.0 weak-trend loss at quality 90). v8 averaging 93.6 quality with 57.1% win rate - threshold raised to filter borderline ADX entries. Scores stored in database for future optimization.
**Signal Quality System:** Filters trades based on 5 metrics (ATR, ADX, RSI, volumeRatio, pricePosition) scored 0-100. **Direction-specific thresholds (Nov 23, 2025):** LONG signals require 90+ (71.4% WR at 90-94), SHORT signals require 95+ (28.6% WR at 90-94 = toxic). Data from 227 trades showed $778.52 P&L difference favoring longs. Scores stored in database for future optimization.
**Direction-Specific Quality Thresholds (Nov 23, 2025 - DATA-DRIVEN):**
- **LONG threshold:** 90 (captures profitable quality 90-94 signals: 71.4% WR, +$44.77 on 7 trades)
- **SHORT threshold:** 95 (blocks toxic quality 90-94 signals: 28.6% WR, -$553.76 on 7 trades)
- **Configuration:** `MIN_SIGNAL_QUALITY_SCORE_LONG=90`, `MIN_SIGNAL_QUALITY_SCORE_SHORT=95` in .env
- **Fallback logic:** Direction-specific ENV → Global ENV (91) → Default (60)
- **Helper function:** `getMinQualityScoreForDirection(direction, config)` in config/trading.ts
- **Implementation:** check-risk endpoint uses direction-specific thresholds before execution
- **Expected impact:** ~3.1% more trades (quality 90-94 longs), +$44.77 potential profit, prevent -$553.76 losses
- **See:** `docs/DIRECTION_SPECIFIC_QUALITY_THRESHOLDS.md` for complete analysis and SQL queries
**Timeframe-Aware Scoring:** Signal quality thresholds adjust based on timeframe (5min vs daily):
- 5min: ADX 12+ trending (vs 18+ for daily), ATR 0.2-0.7% healthy (vs 0.4%+ for daily)