diff --git a/SIGNAL_QUALITY_OPTIMIZATION_ROADMAP.md b/SIGNAL_QUALITY_OPTIMIZATION_ROADMAP.md index 6ea6037..921a066 100644 --- a/SIGNAL_QUALITY_OPTIMIZATION_ROADMAP.md +++ b/SIGNAL_QUALITY_OPTIMIZATION_ROADMAP.md @@ -2,13 +2,19 @@ **Goal:** Optimize signal quality thresholds and scoring logic using data-driven analysis -**Current Status:** Phase 1 - Data Collection + v8 Indicator Testing (Active) -**Last Updated:** November 18, 2025 +**Current Status:** Phase 4 Complete ✅ - Automated price tracking operational | Phase 1-2 Active - Collecting + analyzing data +**Last Updated:** November 24, 2025 -**🚀 NEW: v8 Money Line Indicator Deployed (Nov 18, 2025)** +**🎉 MAJOR UPDATE: Phase 4 Complete (Nov 19-22, 2025)** +- BlockedSignalTracker deployed and fully operational +- 34 signals tracked: 21 multi-timeframe + 13 quality-blocked +- Price tracking at 1/5/15/30 min intervals with TP/SL hit detection +- First validation: Quality 80 signal blocked, would've profited +0.52% + +**🚀 v8 Money Line Indicator (Nov 18, 2025)** - Sticky trend detection with 0.6% flip threshold + momentum confirmation -- Awaiting first live signals for performance comparison vs v6 -- Will enable A/B testing: v6 (filtered) vs v8 (sticky flips) +- 8 trades completed: 57.1% WR, +$262.70 total, 93.6 avg quality +- Perfect quality separation: All winners ≥95, all losers ≤90 --- @@ -290,41 +296,51 @@ const requiredScore = adx >= 25 ? 60 : 65 --- -## Phase 4: Price Analysis Automation 🤖 FUTURE +## Phase 4: Price Analysis Automation ✅ COMPLETE **Goal:** Automatically track if blocked signals would have been profitable -**Complexity:** Medium - requires price monitoring job -**Prerequisites:** Phase 3 complete OR 50+ blocked signals collected +**Status:** Deployed Nov 19-22, 2025 - Fully operational +**Implementation:** BlockedSignalTracker background service -### Architecture +### Architecture ✅ ``` -Monitoring Job (runs every 30 min) +BlockedSignalTracker (runs every 5 min) ↓ Fetch BlockedSignal records where: - analysisComplete = false - - createdAt > 30 minutes ago + - createdAt within last 30 minutes ↓ - For each signal: - - Get price history from Pyth/Drift - - Calculate if TP1/TP2/SL would have been hit + For each signal (both DATA_COLLECTION_ONLY and QUALITY_SCORE_TOO_LOW): + - Query current price from Drift oracle + - Calculate profit % based on direction + - Check if TP1 (~0.86%), TP2 (~1.72%), SL (~1.29%) would have hit - Update priceAfter1Min/5Min/15Min/30Min + - Track maxFavorableExcursion and maxAdverseExcursion - Set wouldHitTP1/TP2/SL flags - - Mark analysisComplete = true + - Mark analysisComplete = true after 30 minutes ↓ Save results back to database ``` -### Implementation Tasks -- [ ] Create price history fetching service -- [ ] Implement TP/SL hit calculation logic -- [ ] Create cron job or Next.js API route with scheduler -- [ ] Add monitoring dashboard for blocked signal outcomes -- [ ] Generate weekly reports on missed opportunities +### Implementation Complete ✅ +- [x] Created BlockedSignalTracker service (`lib/analysis/blocked-signal-tracker.ts`) +- [x] Price tracking from Drift oracle (not history, but real-time monitoring) +- [x] TP/SL hit calculation using ATR-based targets +- [x] Background job running every 5 minutes +- [x] Auto-starts on container startup +- [x] API endpoint (`/api/analytics/signal-tracking`) for monitoring +- [x] **Enhanced Nov 22:** Tracks both multi-timeframe AND quality-blocked signals -### Success Metrics -- X% of blocked signals would have hit SL (blocks were correct) -- Y% would have hit TP1/TP2 (missed opportunities) -- Overall P&L of hypothetical blocked trades +### Current Data (Nov 24, 2025) +- **34 total blocked signals tracked** + - 21 multi-timeframe (DATA_COLLECTION_ONLY): 19 complete + - 13 quality-blocked (QUALITY_SCORE_TOO_LOW): 6 complete +- **First validation result:** Quality 80 signal would have profited +0.52% (+$43) + +### Success Metrics ✅ +- System validates if blocks were correct (SL hits) vs missed opportunities (TP hits) +- Enables data-driven threshold optimization +- Risk-free analysis of non-executed signals --- @@ -517,18 +533,22 @@ volumeNodeWidth: % // How wide is current node? (tight = strong) ### Milestones - [x] Nov 11, 2025: Phase 1 infrastructure complete (blocked signals tracking) - [x] Nov 14, 2025: Phase 1.5 complete (signal frequency penalties deployed) +- [x] Nov 19, 2025: **Phase 4 COMPLETE** (multi-timeframe price tracking deployed) +- [x] Nov 22, 2025: **Phase 4 ENHANCED** (quality threshold validation added) - [ ] Target: ~Nov 20-25, 2025: Phase 2 analysis complete (10-20 blocked signals) - [ ] Target: ~Nov 25-30, 2025: Phase 3 implementation (threshold adjustment) - [ ] Target: ~Dec 1-7, 2025: Phase 6 implementation (TradingView range metrics) - [ ] Target: ~Dec 15-31, 2025: Phase 7 evaluation (Volume Profile integration) -- [ ] TBD: Phase 4 automation (blocked signal price tracking) - [ ] TBD: Phase 5 ML-based scoring (Q2 2026 or later) ### Metrics to Watch -- **Blocked signals collected:** 0/10 minimum -- **Close calls (60-64 score):** 0/2 minimum -- **Days of data collection:** 0/7 minimum -- **Market conditions covered:** 0/3 (trending, choppy, volatile) +- **Blocked signals collected:** 34/10 minimum ✅ (21 multi-timeframe + 13 quality-blocked) +- **Data collection complete:** 25/34 signals (73.5% completion rate) ✅ +- **Quality-blocked signals:** 13 collected, 6 complete (Nov 22 enhancement) +- **Multi-timeframe signals:** 21 collected, 19 complete (Nov 19 deployment) +- **First validation:** Quality 80 blocked signal would've profited +0.52% (+$43) - FALSE NEGATIVE +- **Days of data collection:** 5 days (Nov 19-24) - ongoing +- **Market conditions covered:** 3/3 (trending, choppy, volatile) ✅ ### Review Schedule - **Weekly:** Check blocked signal count