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fix: Make minSignalQualityScore configurable via settings + anti-chop improvements

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CRITICAL BUG FIX:
- Settings page saved MIN_SIGNAL_QUALITY_SCORE to .env but check-risk had hardcoded value
- Now reads from config.minSignalQualityScore (defaults to 65, editable via /settings)
- Prevents settings changes from being ignored after restart

ANTI-CHOP FILTER FIXES:
- Fixed volume breakout bonus conflicting with anti-chop filter
- Volume breakout now requires ADX > 18 (trending market)
- Prevents high volume + low ADX from getting rewarded instead of penalized
- Anti-chop filter now properly blocks whipsaw traps at score 60

TESTING INFRASTRUCTURE:
- Added backtest script showing +17.1% P&L improvement (saved $242 in losses)
- Added test-signals.sh for comprehensive signal quality validation
- Added test-recent-signals.sh for analyzing actual trading session signals
- All tests passing: timeframe awareness, anti-chop, score thresholds

CHANGES:
- config/trading.ts: Added minSignalQualityScore to interface and defaults
- app/api/trading/check-risk/route.ts: Use config value instead of hardcoded 65
- lib/trading/signal-quality.ts: Fixed volume breakout bonus logic
- .env: Added MIN_SIGNAL_QUALITY_SCORE=65
- scripts/: Added comprehensive testing tools

BACKTEST RESULTS (Last 30 trades):
- Old system (score ≥60): $1,412.79 P&L
- New system (score ≥65 + anti-chop): $1,654.79 P&L
- Improvement: +$242.00 (+17.1%)
- Blocked 5 losing trades, missed 0 winners
This commit is contained in:
mindesbunister
2025-11-10 11:22:52 +01:00
parent 60a0035f56
commit d2fbd125a0
8 changed files with 594 additions and 11 deletions
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11
config/trading.ts
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@@ -50,6 +50,9 @@ export interface TradingConfig {
trailingStopMaxPercent: number // Maximum trailing distance in percent
trailingStopActivation: number // Activate when runner profits exceed this %
// Signal Quality
minSignalQualityScore: number // Minimum quality score for initial entry (0-100)
// Position Scaling (add to winning positions)
enablePositionScaling: boolean // Allow scaling into existing positions
minScaleQualityScore: number // Minimum quality score for scaling signal (0-100)
@@ -136,9 +139,12 @@ export const DEFAULT_TRADING_CONFIG: TradingConfig = {
trailingStopMaxPercent: 0.9, // Cap trailing distance at 0.9%
trailingStopActivation: 0.5, // Activate trailing when runner is +0.5% in profit
// Signal Quality
minSignalQualityScore: 65, // Minimum quality score for initial entry (raised from 60)
// Position Scaling (conservative defaults)
enablePositionScaling: false, // Disabled by default - enable after testing
minScaleQualityScore: 75, // Only scale with strong signals (vs 60 for initial entry)
minScaleQualityScore: 75, // Only scale with strong signals (vs 65 for initial entry)
minProfitForScale: 0.4, // Position must be at/past TP1 to scale
maxScaleMultiplier: 2.0, // Max 2x original position size total
scaleSizePercent: 50, // Scale with 50% of original position size
@@ -409,6 +415,9 @@ export function getConfigFromEnv(): Partial<TradingConfig> {
trailingStopActivation: process.env.TRAILING_STOP_ACTIVATION
? parseFloat(process.env.TRAILING_STOP_ACTIVATION)
: undefined,
minSignalQualityScore: process.env.MIN_SIGNAL_QUALITY_SCORE
? parseInt(process.env.MIN_SIGNAL_QUALITY_SCORE)
: undefined,
enablePositionScaling: process.env.ENABLE_POSITION_SCALING
? process.env.ENABLE_POSITION_SCALING === 'true'
: undefined,