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Improve signal quality scoring for breakdowns/breakouts

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- Allow shorts at range bottom (<5%) with volume >1.2x OR RSI <40
- Allow longs at range bottom with volume >1.2x OR RSI >60
- Reduce ADX penalty from -15 to -5 when strong volume (>1.2x) present
- Reduce price position penalties from -15 to -10 (less harsh)
- Volume compensation recognizes breakdowns start before ADX strengthens

Test case (blocked signal that would have profited):
- OLD: ATR 0.32, ADX 17.3, RSI 32.5, Vol 1.27x, Price 0.9% → Score 45 (blocked)
- NEW: Same metrics → Score 85 (executes)

Rationale: Breakdowns continue lower, volume confirms conviction, ADX lags price action
This commit is contained in:
mindesbunister
2025-11-07 10:58:47 +01:00
parent 0365560c5b
commit db907d8074
1 changed files with 36 additions and 9 deletions
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45
lib/trading/signal-quality.ts
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@@ -85,24 +85,41 @@ export function scoreSignalQuality(params: {
if (params.adx > 0) {
if (is5min) {
// 5min: ADX 15+ is actually trending, 20+ is strong
// High volume can compensate for lower ADX in breakouts/breakdowns
const hasStrongVolume = params.volumeRatio > 1.2
if (params.adx > 22) {
score += 15
reasons.push(`Strong 5min trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 12) {
score -= 15
reasons.push(`Weak 5min trend (ADX ${params.adx.toFixed(1)})`)
// Reduce penalty if strong volume present (breakdown/breakout in progress)
if (hasStrongVolume) {
score -= 5
reasons.push(`Lower 5min ADX (${params.adx.toFixed(1)}) but strong volume compensates`)
} else {
score -= 15
reasons.push(`Weak 5min trend (ADX ${params.adx.toFixed(1)})`)
}
} else {
score += 5
reasons.push(`Moderate 5min trend (ADX ${params.adx.toFixed(1)})`)
}
} else {
// Higher timeframes: stricter ADX requirements
const hasStrongVolume = params.volumeRatio > 1.2
if (params.adx > 25) {
score += 15
reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
} else if (params.adx < 18) {
score -= 15
reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
// Reduce penalty if strong volume present
if (hasStrongVolume) {
score -= 5
reasons.push(`Lower ADX (${params.adx.toFixed(1)}) but strong volume compensates`)
} else {
score -= 15
reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
}
} else {
score += 5
reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
@@ -145,7 +162,7 @@ export function scoreSignalQuality(params: {
}
}
// Price position check (avoid chasing vs breakout detection)
// Price position check (avoid chasing vs breakout/breakdown detection)
if (params.pricePosition > 0) {
if (params.direction === 'long' && params.pricePosition > 95) {
// High volume breakout at range top can be good
@@ -158,12 +175,22 @@ export function scoreSignalQuality(params: {
}
} else if (params.direction === 'short' && params.pricePosition < 5) {
// High volume breakdown at range bottom can be good
if (params.volumeRatio > 1.4) {
// Also allow if RSI is bearish (< 40) - breakdowns continue lower
if (params.volumeRatio > 1.2 || (params.rsi > 0 && params.rsi < 40)) {
score += 5
reasons.push(`Volume breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
reasons.push(`Valid breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x, RSI ${params.rsi.toFixed(1)})`)
} else {
score -= 15
reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
score -= 10
reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - reduced penalty for short`)
}
} else if (params.direction === 'long' && params.pricePosition < 5) {
// Longs at bottom with good volume = potential reversal
if (params.volumeRatio > 1.2 || (params.rsi > 0 && params.rsi > 60)) {
score += 5
reasons.push(`Potential reversal at bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x, RSI ${params.rsi.toFixed(1)})`)
} else {
score -= 10
reasons.push(`Price near bottom (${params.pricePosition.toFixed(0)}%) - reduced penalty for reversal long`)
}
} else {
score += 5