feat: implement blocked signals tracking system

- Add BlockedSignal table with 25 fields for comprehensive signal analysis
- Track all blocked signals with metrics (ATR, ADX, RSI, volume, price position)
- Store quality scores, block reasons, and detailed breakdowns
- Include future fields for automated price analysis (priceAfter1/5/15/30Min)
- Restore signalQualityVersion field to Trade table

Database changes:
- New table: BlockedSignal with indexes on symbol, createdAt, score, blockReason
- Fixed schema drift from manual changes

API changes:
- Modified check-risk endpoint to save blocked signals automatically
- Fixed hasContextMetrics variable scope (moved to line 209)
- Save blocks for: quality score too low, cooldown period, hourly limit
- Use config.minSignalQualityScore instead of hardcoded 60

Database helpers:
- Added createBlockedSignal() function with try/catch safety
- Added getRecentBlockedSignals(limit) for queries
- Added getBlockedSignalsForAnalysis(olderThanMinutes) for automation

Documentation:
- Created BLOCKED_SIGNALS_TRACKING.md with SQL queries and analysis workflow
- Created SIGNAL_QUALITY_OPTIMIZATION_ROADMAP.md with 5-phase plan
- Documented data-first approach: collect 10-20 signals before optimization

Rationale:
Only 2 historical trades scored 60-64 (insufficient sample size for threshold decision).
Building data collection infrastructure before making premature optimizations.

Phase 1 (current): Collect blocked signals for 1-2 weeks
Phase 2 (next): Analyze patterns and make data-driven threshold decision
Phase 3-5 (future): Automation and ML optimization
This commit is contained in:
mindesbunister
2025-11-11 11:49:21 +01:00
parent ee89d15b8b
commit ba13c20c60
5 changed files with 785 additions and 4 deletions

View File

@@ -77,6 +77,7 @@ model Trade {
volumeAtEntry Float? // Volume relative to MA
pricePositionAtEntry Float? // Price position in range (0-100%)
signalQualityScore Int? // Calculated quality score (0-100)
signalQualityVersion String? @default("v1") // Tracks which scoring logic was used
fundingRateAtEntry Float? // Perp funding rate at entry
basisAtEntry Float? // Perp-spot basis at entry
@@ -151,6 +152,52 @@ model SystemEvent {
@@index([createdAt])
}
// Blocked signals for analysis (signals that didn't pass quality checks)
model BlockedSignal {
id String @id @default(cuid())
createdAt DateTime @default(now())
// Signal identification
symbol String // e.g., "SOL-PERP"
direction String // "long" or "short"
timeframe String? // "5", "15", "60"
// Price at signal time
signalPrice Float // Price when signal was generated
// Market metrics at signal time
atr Float? // ATR% at signal
adx Float? // ADX trend strength
rsi Float? // RSI momentum
volumeRatio Float? // Volume relative to average
pricePosition Float? // Position in range (0-100%)
// Quality scoring
signalQualityScore Int // 0-100 score
signalQualityVersion String? // Which scoring version
scoreBreakdown Json? // Detailed breakdown of score components
minScoreRequired Int // What threshold was used (e.g., 65)
// Block reason
blockReason String // "QUALITY_SCORE_TOO_LOW", "DUPLICATE", "COOLDOWN", etc.
blockDetails String? // Human-readable details
// For later analysis: track if it would have been profitable
priceAfter1Min Float? // Price 1 minute after (filled by monitoring job)
priceAfter5Min Float? // Price 5 minutes after
priceAfter15Min Float? // Price 15 minutes after
priceAfter30Min Float? // Price 30 minutes after
wouldHitTP1 Boolean? // Would TP1 have been hit?
wouldHitTP2 Boolean? // Would TP2 have been hit?
wouldHitSL Boolean? // Would SL have been hit?
analysisComplete Boolean @default(false) // Has post-analysis been done?
@@index([symbol])
@@index([createdAt])
@@index([signalQualityScore])
@@index([blockReason])
}
// Performance analytics (daily aggregates)
model DailyStats {
id String @id @default(cuid())