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docs: Document quality-blocked signal tracking discovery

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Updates to copilot-instructions.md:
- Multi-Timeframe Price Tracking System section enhanced
- BlockedSignalTracker purpose clarified: validates quality 91 threshold
- Current Status updated with Nov 22 enhancement details
- First false negative result documented (quality 80, +0.52% missed profit)

Signal Quality Scoring section:
- Added 'Threshold Validation In Progress' subsection
- User observation documented: 'green dots shot up'
- Data collection criteria defined (20-30 blocked signals)
- Decision framework added: Keep 91 vs lower to 85 vs adjust weights
- Possible outcomes listed for data-driven optimization

Next Steps:
- Continue collecting quality-blocked signal data (2-4 weeks)
- Target: 20-30 signals with complete price tracking
- SQL analysis: Compare blocked signal win rate vs executed trades
- Decision: Validate quality 91 threshold or adjust based on data

Purpose: Complete documentation of missed opportunity discovery and
validation plan for quality threshold optimization.
This commit is contained in:
mindesbunister
2025-11-22 16:15:18 +01:00
parent 9478c6d524
commit d71254a57e
1 changed files with 20 additions and 5 deletions
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@@ -475,11 +475,13 @@ docker system df
1. **BlockedSignalTracker** (`lib/analysis/blocked-signal-tracker.ts`) 1. **BlockedSignalTracker** (`lib/analysis/blocked-signal-tracker.ts`)
- Background job running every 5 minutes - Background job running every 5 minutes
- **Tracks BOTH quality-blocked AND data collection signals** (Nov 22, 2025 enhancement)
- Tracks price at 1min, 5min, 15min, 30min intervals - Tracks price at 1min, 5min, 15min, 30min intervals
- Detects if TP1/TP2/SL would have been hit using ATR-based targets - Detects if TP1/TP2/SL would have been hit using ATR-based targets
- Records max favorable/adverse excursion (MFE/MAE) - Records max favorable/adverse excursion (MFE/MAE)
- Auto-completes after 30 minutes (`analysisComplete=true`) - Auto-completes after 30 minutes (`analysisComplete=true`)
- Singleton pattern: Use `getBlockedSignalTracker()` or `startBlockedSignalTracking()` - Singleton pattern: Use `getBlockedSignalTracker()` or `startBlockedSignalTracking()`
- **Purpose:** Validate if quality 91 threshold filters winners or losers (data-driven optimization)
2. **Database Schema** (BlockedSignal table) 2. **Database Schema** (BlockedSignal table)
```sql ```sql
@@ -562,14 +564,16 @@ WHERE "blockReason" = 'QUALITY_SCORE_TOO_LOW'
- **Comprehensive:** Tracks best/worst case scenarios (MFE/MAE) - **Comprehensive:** Tracks best/worst case scenarios (MFE/MAE)
- **API accessible:** Check status anytime via `/api/analytics/signal-tracking` - **API accessible:** Check status anytime via `/api/analytics/signal-tracking`
**Current Status (Nov 19, 2025):** **Current Status (Nov 22, 2025):**
- ✅ System deployed and running in production - ✅ System deployed and running in production
- ✅ 2 signals tracked (15min and 1H collecting price data) - ✅ **Enhanced Nov 22:** Now tracks quality-blocked signals (QUALITY_SCORE_TOO_LOW) in addition to multi-timeframe data collection
- ✅ TradingView alerts configured for 15min and 1H - ✅ TradingView alerts configured for 15min and 1H
- ✅ Background tracker runs every 5 minutes autonomously - ✅ Background tracker runs every 5 minutes autonomously
- 📋 Next: Set up 4H and Daily alerts - 📊 **Data collection:** Multi-timeframe (50+ per timeframe) + quality-blocked (20-30 signals)
- 📊 Target: Collect 50+ signals per timeframe for cross-timeframe comparison - 🎯 **Dual goals:**
- 🎯 Goal: Determine which timeframe has best win rate, switch production accordingly 1. Determine which timeframe has best win rate
2. Validate if quality 91 threshold filters winners or losers
- 📈 **First result (Nov 21, 16:50):** Quality 80 signal blocked (weak ADX 16.6), would have profited +0.52% (+$43) within 1 minute - **FALSE NEGATIVE confirmed**
--- ---
@@ -701,6 +705,17 @@ scoreSignalQuality({
- Would have prevented all historical losses totaling -$624.90 - Would have prevented all historical losses totaling -$624.90
- Pattern validates that quality ≥95 signals are high-probability setups - Pattern validates that quality ≥95 signals are high-probability setups
**Threshold Validation In Progress (Nov 22, 2025):**
- **Discovery:** First quality-blocked signal (quality 80, ADX 16.6) would have profited +0.52% (+$43)
- **User observation:** "Green dots shot up" - visual confirmation of missed opportunity
- **System response:** BlockedSignalTracker now tracks quality-blocked signals (QUALITY_SCORE_TOO_LOW)
- **Data collection target:** 20-30 blocked signals over 2-4 weeks
- **Decision criteria:**
* If blocked signals show <40% win rate → Keep threshold at 91 (correct filtering)
* If blocked signals show 50%+ win rate → Lower to 85 (too restrictive)
* If quality 80-84 wins but 85-90 loses → Adjust to 85 threshold
- **Possible outcomes:** Keep 91, lower to 85, adjust ADX/RSI weights, add context filters
### 2. Position Manager (`lib/trading/position-manager.ts`) ### 2. Position Manager (`lib/trading/position-manager.ts`)
**Purpose:** Software-based monitoring loop that checks prices every 2 seconds and closes positions via market orders **Purpose:** Software-based monitoring loop that checks prices every 2 seconds and closes positions via market orders