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

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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.
This commit is contained in:
mindesbunister
2025-12-15 12:37:15 +01:00
parent 45cf192d98
commit da20e1802f
2 changed files with 292 additions and 2 deletions
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4
workflows/trading/moneyline_v11_all_filters.pinescript
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@@ -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).")