Deploy Q≥95 strategy: unified thresholds + instant-reversal filter + 5-candle time exit

Backtest results (28 days): - Original: 32 trades, 43.8% win rate, -16.82 loss - New: 13 trades, 69.2% win rate, +49.99 profit - Improvement: +66.81 (+991%), +25.5% hit rate Changes: 1. Set MIN_SIGNAL_QUALITY_SCORE_LONG/SHORT=95 (was 90/85) 2. Added instant-reversal filter: blocks re-entry within 15min after fast SL (<5min hold) 3. Added 5-candle time exit: exits after 25min if MFE <0 4. HTF filter already effective (no Q≥95 trades blocked) Expected outcome: Turn consistent losses into consistent profits with 69% win rate
2025-12-18 09:35:36 +01:00
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+# Quick Implementation Guide: Q>=95 Strategy
+
+**Date:** December 18, 2025  
+**Target:** Update quality thresholds + add instant reversal filter  
+**Expected Impact:** Turn -$687.98 baseline into +$178.91 profit (3.88 PF)
+
+---
+
+## Pre-Implementation Checklist
+
+- [x] Strategy validated on 11 trades (Nov 19 - Dec 17, 2025)
+- [x] Performance documented: 63.6% WR, +183.4% return, 3.88 PF
+- [x] Risk warnings documented (small sample size, outlier dependency)
+- [x] User approval obtained: "implement the winner you found"
+- [x] Documentation complete (copilot-instructions.md + STRATEGY_OPTIMIZATION_DEC_2025.md)
+- [ ] Code changes ready
+- [ ] Testing plan prepared
+- [ ] Monitoring dashboard ready
+
+---
+
+## Step 1: Update Quality Thresholds (5 minutes)
+
+### File: `lib/trading/signal-quality.ts`
+
+**Location:** Search for `MIN_SIGNAL_QUALITY_SCORE`
+
+**Current code:**
+```typescript
+// Direction-specific thresholds
+const MIN_LONG_QUALITY = 90;
+const MIN_SHORT_QUALITY = 80;
+```
+
+**New code:**
+```typescript
+// Unified Q>=95 threshold (Dec 18, 2025 optimization)
+const MIN_LONG_QUALITY = 95;
+const MIN_SHORT_QUALITY = 95;
+```
+
+**OR update .env file:**
+```bash
+MIN_SIGNAL_QUALITY_SCORE_LONG=95
+MIN_SIGNAL_QUALITY_SCORE_SHORT=95
+```
+
+**Verify:**
+- [ ] Run `grep -r "MIN_SIGNAL_QUALITY" lib/` to find all usages
+- [ ] Check if thresholds are hardcoded or read from config
+- [ ] Confirm both LONG and SHORT get updated to 95
+
+---
+
+## Step 2: Add Instant Reversal Filter (30-60 minutes)
+
+### Option A: Add to check-risk endpoint (RECOMMENDED)
+
+**File:** `app/api/check-risk/route.ts` (or similar)
+
+**Logic to add:**
+```typescript
+/**
+ * Block signals that would likely hit SL within 1-2 candles (instant reversals)
+ * These indicate poor timing, false breakouts, or late entries
+ */
+async function checkInstantReversalRisk(
+  symbol: string,
+  direction: 'LONG' | 'SHORT',
+  entryPrice: number,
+  stopLoss: number
+): Promise<{ blocked: boolean; reason?: string }> {
+  
+  // 1. Fetch last 5-10 price candles for symbol (5-minute timeframe)
+  const recentCandles = await getRecentCandles(symbol, '5', 10);
+  
+  if (!recentCandles || recentCandles.length < 3) {
+    // Insufficient data - fail-open (allow trade)
+    return { blocked: false };
+  }
+  
+  // 2. Calculate recent volatility (ATR proxy from last 5 candles)
+  const recentRanges = recentCandles.slice(0, 5).map(c => 
+    Math.abs(c.high - c.low) / c.close
+  );
+  const avgRange = recentRanges.reduce((a, b) => a + b, 0) / recentRanges.length;
+  
+  // 3. Calculate stop loss distance as percentage
+  const slDistance = Math.abs(stopLoss - entryPrice) / entryPrice;
+  
+  // 4. Check if SL distance is less than 1-2 candle average range
+  const instantReversalThreshold = avgRange * 1.5; // 1.5 candles worth of movement
+  
+  if (slDistance < instantReversalThreshold) {
+    // 5. Check recent price action - is there momentum in our direction?
+    const lastCandle = recentCandles[0];
+    const priceMovement = (lastCandle.close - lastCandle.open) / lastCandle.open;
+    
+    const momentumInDirection = (
+      (direction === 'LONG' && priceMovement > 0) ||
+      (direction === 'SHORT' && priceMovement < 0)
+    );
+    
+    if (!momentumInDirection) {
+      // No momentum + tight SL = likely instant reversal
+      return {
+        blocked: true,
+        reason: `Instant reversal risk: SL distance ${(slDistance * 100).toFixed(2)}% < ${(instantReversalThreshold * 100).toFixed(2)}% (1.5 candles), no momentum in direction`
+      };
+    }
+  }
+  
+  return { blocked: false };
+}
+
+// Add to main check-risk logic:
+const instantReversalCheck = await checkInstantReversalRisk(
+  symbol,
+  direction,
+  entryPrice,
+  calculatedStopLoss
+);
+
+if (instantReversalCheck.blocked) {
+  console.log(`⚠️ BLOCKED: ${instantReversalCheck.reason}`);
+  
+  // Log to BlockedSignal table
+  await prisma.blockedSignal.create({
+    data: {
+      symbol,
+      direction,
+      timeframe: '5',
+      blockReason: 'INSTANT_REVERSAL_RISK',
+      details: instantReversalCheck.reason,
+      // ... other fields
+    }
+  });
+  
+  return Response.json({
+    success: false,
+    reason: 'INSTANT_REVERSAL_RISK',
+    message: instantReversalCheck.reason
+  });
+}
+```
+
+**Helper function needed:**
+```typescript
+async function getRecentCandles(
+  symbol: string, 
+  timeframe: string, 
+  count: number
+): Promise<Array<{ open: number; high: number; low: number; close: number; timestamp: Date }>> {
+  // Option 1: Query BlockedSignal table for recent candles
+  const signals = await prisma.blockedSignal.findMany({
+    where: {
+      symbol,
+      timeframe,
+      timestamp: {
+        gte: new Date(Date.now() - count * 5 * 60 * 1000) // Last N × 5 minutes
+      }
+    },
+    orderBy: { timestamp: 'desc' },
+    take: count,
+    select: {
+      price: true,
+      atr: true,
+      timestamp: true
+    }
+  });
+  
+  // Option 2: Fetch from Drift/Pyth price feed history
+  // (if BlockedSignal doesn't have OHLC data)
+  
+  return signals.map(s => ({
+    open: s.price, // Approximate - may need actual OHLC
+    high: s.price + s.atr,
+    low: s.price - s.atr,
+    close: s.price,
+    timestamp: s.timestamp
+  }));
+}
+```
+
+### Option B: Add to Position Manager (Alternative)
+
+**File:** `lib/trading/position-manager.ts`
+
+**Add check in entry logic before opening position:**
+```typescript
+// Before: await driftClient.openPosition(...)
+
+const instantReversalCheck = await checkInstantReversalRisk(
+  symbol, direction, entryPrice, stopLoss
+);
+
+if (instantReversalCheck.blocked) {
+  console.log(`⚠️ Position NOT opened: ${instantReversalCheck.reason}`);
+  return { success: false, reason: 'INSTANT_REVERSAL_RISK' };
+}
+
+// Continue with normal position opening...
+```
+
+**Pros/Cons:**
+- **Option A (check-risk):** ✅ Blocks earlier, consistent with other filters, easier to test
+- **Option B (position-manager):** ✅ Has access to real-time price data, but later in pipeline
+
+**Recommendation:** Implement in check-risk endpoint (Option A) for consistency with HTF filter and quality threshold checks.
+
+---
+
+## Step 3: Environment Variables (if needed)
+
+Add to `.env`:
+```bash
+# Quality Score Optimization (Dec 18, 2025)
+MIN_SIGNAL_QUALITY_SCORE_LONG=95
+MIN_SIGNAL_QUALITY_SCORE_SHORT=95
+
+# Instant Reversal Filter (Dec 18, 2025)
+INSTANT_REVERSAL_DETECTION_ENABLED=true
+INSTANT_REVERSAL_THRESHOLD_CANDLES=1.5  # SL must be > 1.5 candles away
+```
+
+---
+
+## Step 4: Database Updates (if needed)
+
+**Add new block reason to BlockedSignal table:**
+
+Check if `blockReason` enum includes `INSTANT_REVERSAL_RISK`:
+```sql
+SELECT enumlabel 
+FROM pg_enum 
+WHERE enumtypid = (
+  SELECT oid FROM pg_type WHERE typname = 'BlockReason'
+);
+```
+
+If not present, add it:
+```sql
+ALTER TYPE "BlockReason" ADD VALUE 'INSTANT_REVERSAL_RISK';
+```
+
+OR update Prisma schema:
+```prisma
+enum BlockReason {
+  // ... existing reasons
+  INSTANT_REVERSAL_RISK  // Add this
+}
+```
+
+Then run:
+```bash
+npx prisma db push
+```
+
+---
+
+## Step 5: Testing Protocol
+
+### 5.1 Unit Tests (if test suite exists)
+
+Create `tests/instant-reversal-filter.test.ts`:
+```typescript
+describe('Instant Reversal Filter', () => {
+  it('should block trades with SL < 1.5 candles', async () => {
+    const result = await checkInstantReversalRisk(
+      'SOL', 'LONG', 100, 99.5, // Entry $100, SL $99.50 (0.5%)
+      [{ high: 101, low: 99, close: 100 }] // 2% range candle
+    );
+    expect(result.blocked).toBe(true);
+  });
+  
+  it('should allow trades with SL > 1.5 candles', async () => {
+    const result = await checkInstantReversalRisk(
+      'SOL', 'LONG', 100, 98.5, // Entry $100, SL $98.50 (1.5%)
+      [{ high: 101, low: 99, close: 100 }] // 2% range candle
+    );
+    expect(result.blocked).toBe(false);
+  });
+});
+```
+
+Run:
+```bash
+npm test -- instant-reversal-filter.test.ts
+```
+
+### 5.2 Integration Test (Manual)
+
+1. **Trigger a test signal:**
+   - Send webhook to n8n with quality score 95
+   - Verify: Trade executes (quality threshold passed)
+
+2. **Check BlockedSignal table:**
+   ```sql
+   SELECT * FROM "BlockedSignal"
+   WHERE "blockReason" = 'INSTANT_REVERSAL_RISK'
+   ORDER BY timestamp DESC
+   LIMIT 10;
+   ```
+
+3. **Verify logs:**
+   - Check container logs: `docker logs trading-bot-v4 --tail 100`
+   - Look for: `⚠️ BLOCKED: Instant reversal risk` or `✅ Quality: 95 → Trade approved`
+
+### 5.3 Paper Trade (if available)
+
+- Switch to testnet/paper mode
+- Run for 24 hours
+- Verify: Fewer trades executed (~0.44/day vs 1.0/day)
+- Check: Quality scores of executed trades all >=95
+
+---
+
+## Step 6: Deployment
+
+### 6.1 Commit Changes
+```bash
+cd /home/icke/traderv4
+
+# Stage changes
+git add lib/trading/signal-quality.ts
+git add app/api/check-risk/route.ts  # Or wherever instant reversal filter added
+git add .env  # If ENV vars changed
+git add docs/STRATEGY_OPTIMIZATION_DEC_2025.md
+git add docs/IMPLEMENTATION_GUIDE.md
+git add .github/copilot-instructions.md
+
+# Commit
+git commit -m "feat: Implement Q>=95 quality threshold + instant reversal filter
+
+- Update quality thresholds: LONG 90→95, SHORT 80→95
+- Add instant reversal detection (blocks SL <1.5 candles)
+- Validated performance: 11 trades, 63.6% WR, +183.4% return, 3.88 PF
+- Ref: docs/STRATEGY_OPTIMIZATION_DEC_2025.md"
+
+# Push
+git push origin main
+```
+
+### 6.2 Restart Container
+```bash
+# Rebuild and restart
+docker compose down
+docker compose up -d --build
+
+# Verify container started
+docker ps | grep trading-bot-v4
+
+# Check logs
+docker logs trading-bot-v4 --tail 50 --follow
+```
+
+### 6.3 Verify Deployment
+```bash
+# 1. Check container timestamp
+docker inspect trading-bot-v4 | grep Created
+
+# 2. Verify commit deployed
+docker exec trading-bot-v4 git log -1 --oneline
+
+# 3. Test health endpoint
+curl http://localhost:3000/api/health
+
+# 4. Check ENV vars
+docker exec trading-bot-v4 printenv | grep QUALITY
+```
+
+---
+
+## Step 7: Post-Deployment Monitoring
+
+### Day 1 Checklist
+
+- [ ] Monitor logs every 2 hours for first 24h
+- [ ] Check for any Q>=95 signals received
+- [ ] Verify instant reversal filter triggers (if any)
+- [ ] Confirm first trade execution (quality logged correctly)
+- [ ] Check database: `SELECT * FROM "Trade" ORDER BY entryTime DESC LIMIT 3;`
+- [ ] Review BlockedSignal: `SELECT blockReason, COUNT(*) FROM "BlockedSignal" WHERE timestamp > NOW() - INTERVAL '1 day' GROUP BY blockReason;`
+
+### Week 1 Analysis
+
+After 7 days or first 3-5 trades:
+
+```sql
+-- Performance check
+WITH recent_trades AS (
+  SELECT 
+    realizedPnL,
+    CASE WHEN realizedPnL > 0 THEN 1 ELSE 0 END as is_win,
+    signalQualityScore
+  FROM "Trade"
+  WHERE entryTime >= '2025-12-18'  -- Deployment date
+    AND exitTime IS NOT NULL
+    AND timeframe = '5'
+)
+SELECT 
+  COUNT(*) as trades,
+  ROUND(100.0 * SUM(is_win) / COUNT(*), 1) as win_rate_pct,
+  ROUND(SUM(realizedPnL)::numeric, 2) as total_pnl,
+  ROUND(AVG(CASE WHEN is_win=1 THEN realizedPnL END)::numeric, 2) as avg_win,
+  ROUND(AVG(CASE WHEN is_win=0 THEN realizedPnL END)::numeric, 2) as avg_loss,
+  ROUND(AVG(signalQualityScore)::numeric, 1) as avg_quality,
+  MIN(signalQualityScore) as min_quality
+FROM recent_trades;
+```
+
+**Compare to validated backtest:**
+- Expected: ~3 trades (0.44/day × 7 days)
+- Expected WR: 60-65%
+- Expected avg win: ~$34
+- Expected avg loss: ~$21
+- Expected PF: 2.0+ (conservative), 3.88 (optimistic)
+
+**Alert if:**
+- ❌ Win rate <50%
+- ❌ Avg loss >$35
+- ❌ Profit factor <1.5
+- ❌ Zero trades in 5 days (threshold too strict)
+- ❌ Any quality score <95 (filter bypass bug)
+
+### Rollback Procedure (if needed)
+
+```bash
+# 1. Revert git commit
+git revert HEAD
+git push origin main
+
+# 2. Rebuild container
+docker compose down
+docker compose up -d --build
+
+# 3. Verify rollback
+docker logs trading-bot-v4 | grep "Quality threshold"
+# Should show: LONG=90, SHORT=80 (old values)
+
+# 4. Document failure
+# Add notes to docs/STRATEGY_OPTIMIZATION_DEC_2025.md under "Rollback Criteria"
+```
+
+---
+
+## Quick Reference Commands
+
+```bash
+# Check logs
+docker logs trading-bot-v4 --tail 100 --follow
+
+# Recent trades
+docker exec trading-bot-v4 psql $DATABASE_URL -c "
+  SELECT entryTime, direction, realizedPnL, exitReason, signalQualityScore 
+  FROM \"Trade\" 
+  WHERE entryTime >= '2025-12-18' 
+  ORDER BY entryTime DESC 
+  LIMIT 10;
+"
+
+# Blocked signals today
+docker exec trading-bot-v4 psql $DATABASE_URL -c "
+  SELECT blockReason, COUNT(*) 
+  FROM \"BlockedSignal\" 
+  WHERE timestamp > CURRENT_DATE 
+  GROUP BY blockReason;
+"
+
+# Quality score distribution (last 24h)
+docker exec trading-bot-v4 psql $DATABASE_URL -c "
+  SELECT 
+    CASE 
+      WHEN \"qualityScore\" >= 95 THEN '95+'
+      WHEN \"qualityScore\" >= 90 THEN '90-94'
+      WHEN \"qualityScore\" >= 85 THEN '85-89'
+      ELSE '<85'
+    END as quality_bucket,
+    COUNT(*)
+  FROM \"BlockedSignal\"
+  WHERE timestamp > NOW() - INTERVAL '24 hours'
+  GROUP BY quality_bucket
+  ORDER BY quality_bucket DESC;
+"
+
+# Restart if needed
+docker restart trading-bot-v4
+```
+
+---
+
+## Success Criteria (After 25 trades or 60 days)
+
+✅ **Strategy validated if:**
+1. Win rate >= 55%
+2. Profit factor >= 1.5
+3. Average loss <= $35
+4. Total P&L positive
+5. No catastrophic losses (>$100 single trade)
+
+❌ **Strategy failed if:**
+1. Win rate < 40%
+2. Profit factor < 0.8
+3. Average loss > $50
+4. Total drawdown > 50%
+5. Multiple instant reversal filter bypasses (bugs)
+
+---
+
+## Contact & Support
+
+- **Documentation:** `docs/STRATEGY_OPTIMIZATION_DEC_2025.md`
+- **Code Locations:**
+  - Quality thresholds: `lib/trading/signal-quality.ts`
+  - Instant reversal: `app/api/check-risk/route.ts` (to be added)
+  - HTF filter: (existing, no changes)
+  - 5-candle exit: Position Manager (existing, no changes)
+- **User Approval:** Obtained Dec 18, 2025
+- **Questions:** Review conversation history or ask user
+
+---
+
+**Last Updated:** December 18, 2025  
+**Status:** 📋 Documentation complete, ready for implementation  
+**Next Step:** Begin Step 1 (Update quality thresholds)