dc674ec6d5
- Create moneyline_1min_price_feed.pinescript (70% smaller payload) - Remove ATR/ADX/RSI/VOL/POS from 1-minute alerts (not used for decisions) - Keep only price + symbol + timeframe for market data cache - Document rationale in docs/1MIN_SIMPLIFIED_FEED.md - Fix: 5-minute trading signals being dropped due to 1-minute flood (60/hour) - Impact: Preserve priority for actual trading signals
156 lines
4.8 KiB
Markdown
156 lines
4.8 KiB
Markdown
# Performance Analysis & Optimization Studies
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**Data-driven insights for trading system optimization.**
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This directory contains performance analyses, blocked signals tracking, profit projections, and diagnostic results. All files focus on measuring system performance and identifying optimization opportunities.
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---
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## 📊 Key Documents
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### **Performance Reviews**
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- `PROFIT_PROJECTION_NOV24_2025.md` - Monthly profit projections and compound growth analysis
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- `QUALITY_90_TP1_ONLY_ANALYSIS.md` - Analysis of quality 90+ signals with TP1-only exits
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- `SIGNAL_QUALITY_TEST_RESULTS.md` - Signal quality scoring validation results
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### **Blocked Signals Analysis**
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- `BLOCKED_SIGNALS_TRACKING.md` - System for tracking signals blocked by quality filters
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- `BLOCKED_SIGNAL_ANALYSIS_DEC2.md` - December 2 analysis of blocked signals
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- `BLOCKED_SIGNAL_CORRECTED_ANALYSIS_DEC2.md` - Corrected analysis after data quality fixes
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### **Adaptive Leverage**
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- `LONG_ADAPTIVE_LEVERAGE_VERIFICATION.md` - Verification of LONG direction adaptive leverage
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- `SHORT_ADAPTIVE_LEVERAGE_IMPLEMENTED.md` - SHORT direction adaptive leverage implementation
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### **System Health**
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- `DIAGNOSTIC_RESULTS_SUMMARY.md` - Comprehensive diagnostic test results
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- `SAFETY_ANALYSIS.md` - Risk management and safety parameter analysis
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- `RECOVERY_PLAN.md` - System recovery procedures after incidents
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- `ANALYTICS_STATUS_AND_NEXT_STEPS.md` - Analytics dashboard status and roadmap
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### **Strategic Planning**
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- `CLEANUP_PLAN.md` - Documentation reorganization strategy (precursor to this structure)
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---
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## 📈 Analysis Workflow
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**1. Data Collection:**
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- Trades executed with quality scores, ATR, ADX, RSI metrics
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- Blocked signals saved to BlockedSignal table for comparison
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- Position Manager tracks MAE (Max Adverse Excursion) and MFE (Max Favorable Excursion)
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**2. Analysis Queries:**
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```sql
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-- Win rate by quality tier
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SELECT
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CASE
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WHEN signalQualityScore >= 95 THEN '95-100'
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WHEN signalQualityScore >= 90 THEN '90-94'
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WHEN signalQualityScore >= 85 THEN '85-89'
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ELSE '60-84'
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END as tier,
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COUNT(*) as trades,
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ROUND(100.0 * SUM(CASE WHEN realizedPnL > 0 THEN 1 ELSE 0 END) / COUNT(*), 1) as win_rate,
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ROUND(SUM(realizedPnL), 2) as total_pnl
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FROM "Trade"
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WHERE exitReason IS NOT NULL
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GROUP BY tier
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ORDER BY MIN(signalQualityScore) DESC;
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```
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**3. Optimization:**
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- Compare blocked vs executed signal performance
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- Identify quality threshold sweet spots
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- Validate parameter changes with 50-100 trade samples
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- Document findings in this directory
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---
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## 🎯 Current Focus (Dec 2025)
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**Active Analyses:**
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- Quality threshold optimization (LONG 90, SHORT 95 under evaluation)
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- Adaptive leverage performance tracking (10x vs 5x tiers)
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- Blocked signal win rate comparison (would-be winners vs actual blocks)
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- Runner system effectiveness (40% runner with ATR trailing stop)
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**Upcoming:**
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- Multi-timeframe comparison (5min vs 15min vs 1H)
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- MA crossover pattern validation (ADX weak→strong hypothesis)
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- Smart Entry Validation Queue effectiveness tracking
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---
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## 📝 Adding New Analyses
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**Template Structure:**
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```markdown
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# [Analysis Title]
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**Date:** [YYYY-MM-DD]
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**Data Range:** [Date range or trade count]
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**Objective:** [What you're analyzing]
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## Executive Summary
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[2-3 sentence key findings]
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## Methodology
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[How data was collected, SQL queries, filters applied]
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## Results
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[Tables, charts, statistics]
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## Insights
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[What the data means, patterns discovered]
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## Recommendations
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[Specific actions, parameter changes, threshold adjustments]
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## Verification Required
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[How to test recommendations, sample sizes needed]
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```
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**Naming Convention:**
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- `[TOPIC]_ANALYSIS_[DATE].md` for dated analyses
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- `[FEATURE]_VERIFICATION.md` for feature validation
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- `[METRIC]_TRACKING.md` for ongoing measurement
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---
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## 🔍 Finding Specific Analyses
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**By Topic:**
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- Quality scores → `SIGNAL_QUALITY_*`, `QUALITY_90_*`
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- Leverage → `*_ADAPTIVE_LEVERAGE_*`
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- Blocked signals → `BLOCKED_SIGNAL_*`
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- System health → `DIAGNOSTIC_*`, `SAFETY_*`, `RECOVERY_*`
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**By Date:**
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- All files include creation dates in content
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- Most recent: December 2025 blocked signal analyses
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- Historical: CLEANUP_PLAN.md (documentation strategy)
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---
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## ⚠️ Important Notes
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**Data Integrity:**
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- Always filter out `signalSource='manual'` for indicator analysis
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- Use `WHERE timeframe='5'` for production signal analysis
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- Exclude `blockReason='DATA_COLLECTION_ONLY'` for execution analysis
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**Sample Sizes:**
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- Minimum 50 trades for statistical validity
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- Minimum 20 blocked signals for threshold analysis
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- 100+ trades preferred for major parameter changes
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**Real Money System:**
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- Every analysis affects financial outcomes
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- Always include "Expected Impact" section (dollar amounts)
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- Document both upside potential and downside risk
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- Require user approval for threshold changes >10 points
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---
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See `../README.md` for overall documentation structure. |