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docs: Update Q95 section - mark as ARCHIVED, document 5-candle exit removal

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- Q95 strategy section marked as ARCHIVED (superseded by v11.2)
- 5-Candle Time Exit marked as REMOVED (commit 9036252)
- Updated 'Filters Applied' to note 5-candle removal
- Added references to v11.2 as current production system
- v11.2 backtest (+53.80% return, PF 2.617) did NOT include 5-candle rule
This commit is contained in:
mindesbunister
2025-12-27 21:39:59 +01:00
parent 90362526c4
commit d0323fddd7
1 changed files with 17 additions and 14 deletions
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.github/copilot-instructions.md vendored
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@@ -1191,14 +1191,14 @@ Frequency penalties (overtrading / flip-flop / alternating) now ignore 1-minute
- **Implementation:** lib/trading/smart-validation-queue.ts line 105
- **Status:** ✅ UPDATED Dec 10, 2025 15:00 CET (two-stage thresholds live)
## 🎯 Validated Profitable Strategy (Dec 18, 2025 - QUALITY >= 95 OPTIMIZATION)
## 🗄️ ARCHIVED: Q95 Strategy (Dec 18, 2025 - SUPERSEDED BY v11.2)
**⚠️ STATUS: DEPLOYED TO PRODUCTION (Dec 18, 2025 00:45 UTC)**
- Git Commit: `634738b`
- Container: Restarted and running with new thresholds
- Config Verified: `MIN_SIGNAL_QUALITY_SCORE_LONG=95`, `MIN_SIGNAL_QUALITY_SCORE_SHORT=95`
**⚠️ STATUS: ARCHIVED - Replaced by v11.2 Indicator Strategy (Dec 26, 2025)**
- This section preserved for historical reference only
- **Current Production System:** v11.2 Indicator with SCORE:100 bypass (see CURRENT ACTIVE SYSTEM section above)
- Q95 included 5-Candle Time Exit which was **REMOVED Dec 26, 2025** (commit 9036252) - did not align with v11.2 backtest methodology
**Context:** Despite achieving 66.7% win rate with HTF filter + 5-candle time exit, system was still losing money (-$252.12 on 24 trades). Root cause analysis revealed asymmetric risk/reward: average win $24.34 vs average loss -$91.65 (0.27 win/loss ratio = need 4 wins to recover 1 loss). Winners were 3.8× smaller than losers.
**Historical Context (Q95 Strategy):** Despite achieving 66.7% win rate with HTF filter + 5-candle time exit, system was still losing money (-$252.12 on 24 trades). Root cause analysis revealed asymmetric risk/reward: average win $24.34 vs average loss -$91.65 (0.27 win/loss ratio = need 4 wins to recover 1 loss). Winners were 3.8× smaller than losers.
**Optimization Methodology:**
- **Dataset:** 29 closed 5-minute SOL trades (Nov 19 - Dec 17, 2025) from Trade table
@@ -1237,13 +1237,14 @@ Frequency penalties (overtrading / flip-flop / alternating) now ignore 1-minute
- **Total saved:** $186.78 by blocking 2 instant failures
- **Result:** 12 trades → 11 trades, +$45.60 → +$178.91 (Profit Factor 3.88!) 🚀
4. **5-Candle Time Exit** (already implemented)
- **Rule:** If trade doesn't hit +$30 MFE within 25 minutes (5 candles × 5min), exit at 50% of peak profit
- **Keep:** This mechanism already in place and working
4. **5-Candle Time Exit** (REMOVED Dec 26, 2025 - not in v11.2)
- **Rule:** ~~If trade doesn't hit +$30 MFE within 25 minutes (5 candles × 5min), exit at 50% of peak profit~~
- **Status:** REMOVED - v11.2 backtest (+53.80% return) did not include this rule
**Final Combined Strategy Performance:**
**Filters Applied:** Q>=95 + HTF Alignment + Block Instant Reversals (<=1 candle SL) + 5-Candle Time Exit
**Filters Applied:** Q>=95 + HTF Alignment + Block Instant Reversals (<=1 candle SL)
*(Note: 5-Candle Time Exit was part of Q95 strategy but REMOVED Dec 26, 2025 for v11.2)*
**Results (11 trades, Nov 19 - Dec 17, 2025):**
- **Total P&L:** +$178.91 (+183.4% return on $97.55 starting capital)
@@ -1329,11 +1330,13 @@ Best trading windows for Q>=95 strategy:
// - Prefer Option A for consistency with other filters
```
**4. 5-Candle Time Exit (ALREADY IMPLEMENTED):**
- No changes needed (already tracking elapsed time in Position Manager)
- Confirmed logic: Exit after 25 minutes if MFE <$30, close at 50% of peak profit
**4. 5-Candle Time Exit (REMOVED Dec 26, 2025):**
- **Status:** ❌ REMOVED - Did not align with v11.2 backtest methodology
- **Removal Commit:** 9036252 "refactor: Remove 5-candle time exit rule (not in v11.2 backtest)"
- **Reason:** v11.2 30-day backtest achieved +53.80% return, PF 2.617 WITHOUT this rule
- **Old Rule (archived):** Exit after 25 minutes if MFE <$30, close at 50% of peak profit
**5. Keep All Existing Exit Mechanisms:**
**5. Keep All Existing Exit Mechanisms (v11.2 Production):**
- TP1 (ATR × 2.0, closes 60%)
- TP2 (ATR × 4.0, activates trailing stop)
- Runner SL (ADX-based: breakeven/−0.3%/−0.55%)