feat: v11.1 - RSI 60-70 filter for LONGs based on 7-trade analysis

Data-driven update from v11 analysis (Dec 15, 2025): - RSI 60-70 for LONG: 100% WR (+6.97 across 2 trades) - RSI <60 for LONG: 0% WR (-2.10 across 2 trades) - RSI 73.5 for LONG: Worst loss (-7.09 single trade) Changes: - rsiLongMin: 30 → 60 (filter weak momentum) - rsiLongMax: 70 (keep existing limit, RSI filter may have been disabled) - Added analysis doc: docs/V11_ANALYSIS_DEC15_2025.md Small sample (7 trades) but RSI pattern is clear. Need 15+ more trades to validate.
2025-12-15 12:37:15 +01:00
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+# v11 Indicator Analysis - December 15, 2025
+
+## Executive Summary
+
+**Overall Performance:** 7 trades, 57.1% win rate, -$1.80 total P&L
+**Sample Size:** TOO SMALL for definitive conclusions (need 20+ trades)
+**Data Quality:** Average quality score 88.6 (good filtering)
+
+---
+
+## 🚨 CRITICAL FINDINGS - IMMEDIATE ACTION REQUIRED
+
+### 1. **LONG TRADES ARE LOSING MONEY** (-$2.22 total, 40% WR)
+- **Problem:** LONGs at top of range (80-100%) are mixed results
+- **Worst Loser:** Quality 75, RSI 73.5 (overbought), Position 94.4% → **-$17.09 loss**
+- **Pattern:** Buying overbought conditions at range tops = disaster
+
+### 2. **SHORT TRADES ARE PERFECT** (+$0.42 total, 100% WR)
+- **2 trades, 2 wins** (Quality 85-105, ADX 22-34)
+- **Both:** RSI 38-44 (bearish zone), good momentum
+
+### 3. **QUALITY 95-99 FAILED** (-$4.72 on 1 trade)
+- **Single failure:** Q95, LONG at 63.5% position, RSI 59.5 → stopped out
+- **Contradicts:** Q100+ had 100% WR (+$24.01)
+- **Issue:** Quality 95 threshold may be too low, or 95-99 tier unlucky
+
+### 4. **RSI SWEET SPOT FOR LONGS: 60-70** (100% WR, +$26.97)
+- **Avoid:** RSI >70 (overbought) → -$17.09
+- **Avoid:** RSI 50-60 (weak bullish) → -$12.10
+- **Trade:** RSI 60-70 (strong but not overbought) → +$26.97
+
+---
+
+## Detailed Pattern Analysis
+
+### Direction Performance
+
+| Direction | Trades | Win Rate | Total P&L | Avg P&L |
+|-----------|--------|----------|-----------|---------|
+| **SHORT** | 2 | **100.0%** | **+$0.42** | +$0.21 |
+| **LONG** | 5 | **40.0%** | **-$2.22** | -$0.44 |
+
+**Conclusion:** v11 SHORTs are working, LONGs need filter improvements.
+
+---
+
+### Quality Score Tiers
+
+| Quality Tier | Trades | Win Rate | Total P&L | Avg P&L |
+|--------------|--------|----------|-----------|---------|
+| **100+** | 2 | **100.0%** | **+$24.01** | +$12.01 |
+| **95-99** | 1 | **0.0%** | -$4.72 | -$4.72 |
+| **85-89** | 2 | **100.0%** | +$3.37 | +$1.69 |
+| **<85** | 2 | **0.0%** | -$24.47 | -$12.23 |
+
+**Findings:**
+- ✅ Quality 100+ = perfect edge (2/2 wins)
+- ✅ Quality 85-89 = solid (2/2 wins)
+- ❌ Quality 95-99 = single failure (1/1 loss) - **SAMPLE SIZE TOO SMALL**
+- ❌ Quality <85 = disaster (0/2 wins)
+
+**Action:** Need 5+ more trades in 95-99 tier to validate if real problem or outlier.
+
+---
+
+### ADX Strength Analysis
+
+| ADX Tier | Trades | Avg ADX | Win Rate | Total P&L |
+|----------|--------|---------|----------|-----------|
+| **30+ Very Strong** | 1 | 34.2 | **100.0%** | +$0.38 |
+| **20-25 Moderate** | 4 | 23.6 | **50.0%** | +$1.85 |
+| **15-20 Weak** | 2 | 16.2 | **50.0%** | -$4.04 |
+
+**Finding:** Strong ADX (30+) only 1 trade but won. Moderate (20-25) is 50/50.
+
+---
+
+### Price Position Analysis (LONGs Only)
+
+| Price Zone | Trades | Avg Pos | Win Rate | Total P&L |
+|------------|--------|---------|----------|-----------|
+| **80-100 Top** | 3 | 89.5% | **66.7%** | **+$9.88** |
+| **60-80 Upper** | 1 | 63.5% | **0.0%** | -$4.72 |
+| **40-60 Middle** | 1 | 54.2% | **0.0%** | -$7.38 |
+
+**CRITICAL FINDING:**
+- ✅ LONGs at TOP of range (80-100%) = **66.7% WR, +$9.88**
+- ❌ LONGs at MIDDLE/UPPER (40-80%) = **0% WR, -$12.10**
+
+**Explanation:** This seems counterintuitive but:
+1. **Top of range (80-100%):** Strong momentum breakouts, continuation plays
+2. **Middle/upper (40-80%):** Weak momentum, often rejects or chops
+
+**BUT WARNING:** Top winner (Q100, +$23.63) skews this. Need more data.
+
+---
+
+### RSI Analysis by Direction
+
+#### LONG Trades RSI Performance
+
+| RSI Zone | Trades | Avg RSI | Win Rate | Total P&L |
+|----------|--------|---------|----------|-----------|
+| **70+ Overbought** | 1 | 73.5 | **0.0%** | **-$17.09** ⚠️ |
+| **60-70 Strong** | 2 | 63.2 | **100.0%** | **+$26.97** ✅ |
+| **50-60 Bullish** | 2 | 57.3 | **0.0%** | -$12.10 |
+
+**ACTIONABLE RULE FOR LONGs:**
+- ✅ **ENTER:** RSI 60-70 (strong but not overbought) = **100% WR**
+- ❌ **BLOCK:** RSI >70 (overbought) = biggest single loss (-$17.09)
+- ❌ **BLOCK:** RSI <60 (weak momentum) = 0% WR
+
+#### SHORT Trades RSI Performance
+
+| RSI Zone | Trades | Avg RSI | Win Rate | Total P&L |
+|----------|--------|---------|----------|-----------|
+| **40-50 Bearish** | 1 | 44.0 | 100.0% | +$0.03 |
+| **30-40 Weak** | 1 | 38.8 | 100.0% | +$0.38 |
+
+**Finding:** Both SHORTs won with RSI 38-44 (bearish/weak zones) ✅
+
+---
+
+### Exit Reason Breakdown
+
+| Exit Reason | Count | Percentage | Avg P&L |
+|-------------|-------|------------|---------|
+| **SL** | 4 | 57.1% | -$1.39 |
+| **TP1** | 2 | 28.6% | +$1.86 |
+| **manual** | 1 | 14.3% | +$0.03 |
+
+**Finding:** 57% of trades hit SL (stopped out). Only 29% hit TP1.
+
+---
+
+## Winner vs Loser Comparison
+
+### Top Winner: Quality 100 LONG (+$23.63)
+- **Time:** 12-10 19:35
+- **Metrics:** ADX 24.8, RSI 63.0, Position 93.8%, Vol 1.30
+- **Exit:** SL (but made profit somehow - check this)
+- **Pattern:** Top of range (93.8%), RSI sweet spot (63.0), good volume
+
+### Worst Loser: Quality 75 LONG (-$17.09)
+- **Time:** 12-15 02:19
+- **Metrics:** ADX 23.4, RSI 73.5, Position 94.4%, Vol 1.41
+- **Exit:** SL
+- **Pattern:** **Overbought RSI (73.5)** at top of range
+
+**Key Difference:** Winner at RSI 63, loser at RSI 73.5 → **RSI 70+ is death zone**
+
+---
+
+## 📊 OPTIMIZATION RECOMMENDATIONS
+
+### Immediate Filters (High Confidence)
+
+#### 1. **BLOCK OVERBOUGHT LONGs** (RSI >70)
+```typescript
+if (direction === 'long' && rsi > 70) {
+  score -= 50  // Major penalty
+  blockReason = 'OVERBOUGHT_RSI_LONG'
+}
+```
+**Impact:** Would have blocked -$17.09 loss (worst trade)
+
+#### 2. **REQUIRE RSI 60-70 FOR LONGs**
+```typescript
+if (direction === 'long' && (rsi < 60 || rsi > 70)) {
+  score -= 30  // Significant penalty
+}
+```
+**Impact:** Would have blocked 3 losers (-$29.19 total)
+
+#### 3. **KEEP SHORT ENTRY LOGIC AS-IS**
+- SHORTs are 100% WR (2/2) with current filters
+- RSI 30-50 range is working
+- Don't change what's not broken
+
+---
+
+### Medium Confidence Filters (Need More Data)
+
+#### 4. **CONSIDER BLOCKING LOW ADX (<20)**
+- ADX 15-20 had 50% WR (-$4.04)
+- But only 2 trades - need 5+ more
+- **Wait for more data**
+
+#### 5. **VALIDATE QUALITY 95-99 TIER**
+- Single failure at Q95 (-$4.72)
+- Could be outlier
+- Need 5+ trades in this tier before adjusting threshold
+
+---
+
+### Research Questions (Collect More Data)
+
+1. **Price Position Paradox:** Why do LONGs at top (80-100%) win more than middle (40-80%)?
+   - Hypothesis: Top = breakout momentum, middle = chop/rejection
+   - Need 10+ more trades to validate
+
+2. **Quality 95-99 Anomaly:** Is Q95-99 actually worse than Q85-89?
+   - Current: Q85-89 = 100% WR, Q95-99 = 0% WR
+   - Need 5+ more trades at Q95-99
+
+3. **Volume Impact:** Vol 1.30-1.42 on winners, 0.95-1.41 on losers
+   - Insufficient sample to determine threshold
+   - Need 20+ trades
+
+---
+
+## Data Quality Assessment
+
+### Sample Size Status
+- **Total Trades:** 7 (❌ Need 20+ minimum)
+- **LONG Trades:** 5 (⚠️ Need 10+ minimum)
+- **SHORT Trades:** 2 (❌ Need 10+ minimum)
+- **Quality Tiers:** 1-2 per tier (❌ Need 5+ per tier)
+- **ADX Tiers:** 1-4 per tier (⚠️ Borderline)
+- **RSI Zones:** 1-2 per zone (❌ Need 5+ per zone)
+
+**Confidence Level:** LOW - Most patterns need more data for validation
+
+**Exception:** RSI >70 LONG disaster is strong signal (single worst trade, clear overbought condition)
+
+---
+
+## Action Plan
+
+### Phase 1: Immediate (Today)
+1. ✅ **Add RSI >70 penalty for LONGs** (-50 points)
+2. ✅ **Add RSI <60 penalty for LONGs** (-30 points)
+3. 📊 **Monitor next 10-15 trades** to validate pattern
+
+### Phase 2: Data Collection (Next 7 Days)
+1. Collect 15+ more v11 trades (target: 20+ total)
+2. Validate RSI 60-70 sweet spot holds
+3. Check if quality 95-99 failure was outlier
+4. Analyze price position paradox with more data
+
+### Phase 3: Refinement (After 20+ Trades)
+1. Optimize ADX thresholds if pattern emerges
+2. Adjust quality score tiers based on larger sample
+3. Consider volume multiplier if correlation found
+4. Review position sizing based on RSI zones
+
+---
+
+## Technical Notes
+
+- **Database:** All queries from `Trade` table with `indicatorVersion = 'v11'`
+- **Column Names:** `adxAtEntry`, `rsiAtEntry`, `pricePositionAtEntry`, `volumeAtEntry`
+- **P&L:** `realizedPnL` field (post-exit calculated values)
+- **Date Range:** Dec 10-15, 2025 (5 days of trading)
+
+---
+
+## Appendix: All v11 Trades
+
+### Sorted by P&L (Best to Worst)
+
+| Date | Symbol | Dir | Quality | ADX | RSI | Pos | Vol | Exit | P&L |
+|------|--------|-----|---------|-----|-----|-----|-----|------|-----|
+| 12-10 19:35 | SOL | LONG | 100 | 24.8 | 63.0 | 93.8 | 1.30 | SL | +$23.63 |
+| 12-11 19:12 | SOL | LONG | 85 | 15.4 | 63.3 | 80.3 | 1.31 | TP1 | +$3.34 |
+| 12-14 10:37 | SOL | SHORT | 105 | 34.2 | 38.8 | - | - | TP1 | +$0.38 |
+| 12-10 22:37 | SOL | SHORT | 85 | 22.4 | 44.0 | - | - | manual | +$0.03 |
+| 12-10 04:55 | SOL | LONG | 95 | 23.9 | 59.5 | 63.5 | 1.42 | SL | -$4.72 |
+| 12-12 13:07 | SOL | LONG | 75 | 17.0 | 55.0 | 54.2 | 0.95 | SL | -$7.38 |
+| 12-15 02:19 | SOL | LONG | 75 | 23.4 | 73.5 | 94.4 | 1.41 | SL | -$17.09 |
+
+**Total:** -$1.80 (57.1% WR, 4 wins, 3 losses)
+
+---
+
+## Conclusion
+
+**v11 has potential but needs RSI filter refinement for LONGs.**
+
+**Clear Signal:** RSI >70 for LONGs = disaster zone (-$17.09 worst trade)
+
+**Winning Pattern:** RSI 60-70 for LONGs = 100% WR (+$26.97)
+
+**SHORTs:** Working perfectly (2/2 wins), don't change
+
+**Next Steps:**
+1. Add RSI 60-70 requirement for LONGs
+2. Block RSI >70 LONGs entirely
+3. Collect 15+ more trades to validate patterns
+4. Re-analyze after reaching 20+ trade sample size
--- a/workflows/trading/moneyline_v11_all_filters.pinescript
+++ b/workflows/trading/moneyline_v11_all_filters.pinescript
@@ -62,8 +62,8 @@ volMin = input.float(0.1, "Volume min ratio", minval=0.0, step=0.1, group=groupV
 volMax = input.float(3.5, "Volume max ratio", minval=0.5, step=0.5, group=groupV6Filters, tooltip="Maximum volume relative to 20-bar MA.")

 useRsiFilter = input.bool(true, "Use RSI momentum filter", group=groupV6Filters, tooltip="Ensure momentum confirms direction.")
-rsiLongMin = input.float(30, "RSI long minimum", minval=0, maxval=100, group=groupV6Filters, tooltip="V11 OPTIMIZED: 30 (from exhaustive sweep).")
-rsiLongMax = input.float(70, "RSI long maximum", minval=0, maxval=100, group=groupV6Filters)
+rsiLongMin = input.float(60, "RSI long minimum", minval=0, maxval=100, group=groupV6Filters, tooltip="V11.1 DATA-DRIVEN: 60 (7-trade analysis shows RSI 60-70 = 100% WR, <60 = 0% WR).")
+rsiLongMax = input.float(70, "RSI long maximum", minval=0, maxval=100, group=groupV6Filters, tooltip="V11.1 DATA-DRIVEN: Keep 70 max (RSI 73.5 was -$17 worst loss).")
 rsiShortMin = input.float(30, "RSI short minimum", minval=0, maxval=100, group=groupV6Filters)
 rsiShortMax = input.float(80, "RSI short maximum", minval=0, maxval=100, group=groupV6Filters, tooltip="V11 OPTIMIZED: 80 (from exhaustive sweep).")