trading_bot_v4/lib/trading/signal-quality.ts

/**
 * Signal Quality Scoring
 * 
 * Unified quality scoring logic used by both check-risk and execute endpoints.
 * Ensures consistent scoring across the trading pipeline.
 */

import { getRecentSignals } from '../database/trades'

export interface SignalQualityResult {
  score: number
  passed: boolean
  reasons: string[]
  frequencyPenalties?: {
    overtrading: number
    flipFlop: number
    alternating: number
  }
}

/**
 * Calculate signal quality score based on technical indicators
 * 
 * Scoring breakdown:
 * - Base: 50 points
 * - ATR (volatility): -20 to +10 points
 * - ADX (trend strength): -15 to +15 points
 * - RSI (momentum): -10 to +10 points
 * - Volume: -10 to +15 points
 * - Price position: -15 to +5 points
 * - Volume breakout bonus: +10 points
 * - Signal frequency penalties: -20 to -30 points
 * 
 * Total range: ~15-115 points (realistically 30-100)
 * Threshold: 60 points minimum for execution
 * 
 * TIMEFRAME-AWARE SCORING:
 * - 5min charts have lower ADX/ATR thresholds (trends develop slower)
 * - Higher timeframes require stronger confirmation
 * 
 * SIGNAL FREQUENCY PENALTIES (NEW):
 * - 3+ signals in 30 min: -20 points (overtrading zone)
 * - Opposite direction in last 15 min: -25 points (flip-flop)
 * - Last 3 trades alternating: -30 points (chop pattern)
 */
export async function scoreSignalQuality(params: {
  atr: number
  adx: number
  rsi: number
  volumeRatio: number
  pricePosition: number
  direction: 'long' | 'short'
  symbol: string // Required for frequency check
  timeframe?: string // "5" = 5min, "15" = 15min, "60" = 1H, "D" = daily
  minScore?: number // Configurable minimum score threshold
  skipFrequencyCheck?: boolean // For testing or when frequency check not needed
}): Promise<SignalQualityResult> {
  let score = 50 // Base score
  const reasons: string[] = []

  // Determine if this is a short timeframe (5min, 15min)
  const is5minChart = params.timeframe === '5'
  const is15minChart = params.timeframe === '15'
  const isShortTimeframe = is5minChart || is15minChart

  // ATR check (volatility gate: 0.15% - 2.5%)
  if (params.atr > 0) {
    if (params.atr < 0.15) {
      score -= 15
      reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
    } else if (params.atr > 2.5) {
      score -= 20
      reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
    } else if (params.atr >= 0.15 && params.atr < 0.4) {
      score += 5
      reasons.push(`ATR moderate (${params.atr.toFixed(2)}%)`)
    } else {
      score += 10
      reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
    }
  }

  // ADX check - TIMEFRAME AWARE (trend strength)
  // 5min/15min: 12-22 is healthy (trends develop slower)
  // 1H+: 18+ is healthy (stronger trends expected)
  if (params.adx > 0) {
    if (isShortTimeframe) {
      // 5min/15min thresholds
      if (params.adx > 22) {
        score += 15
        reasons.push(`Strong trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
      } else if (params.adx < 12) {
        score -= 15
        reasons.push(`Weak trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
      } else {
        score += 5
        reasons.push(`Moderate trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
      }
    } else {
      // Higher timeframe thresholds (1H, 4H, D)
      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)})`)
      } else {
        score += 5
        reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
      }
    }
  }

  // RSI check (momentum confirmation)
  if (params.rsi > 0) {
    if (params.direction === 'long') {
      if (params.rsi > 50 && params.rsi < 70) {
        score += 10
        reasons.push(`RSI supports long (${params.rsi.toFixed(1)})`)
      } else if (params.rsi > 70) {
        score -= 10
        reasons.push(`RSI overbought (${params.rsi.toFixed(1)})`)
      }
    } else { // short
      if (params.rsi < 50 && params.rsi > 30) {
        score += 10
        reasons.push(`RSI supports short (${params.rsi.toFixed(1)})`)
      } else if (params.rsi < 30) {
        score -= 10
        reasons.push(`RSI oversold (${params.rsi.toFixed(1)})`)
      }
    }
  }

  // Volume check (want > 1.0 = above average)
  // ANTI-CHOP FILTER: High volume + low ADX = whipsaw trap
  if (params.volumeRatio > 0) {
    const isChoppy = params.adx > 0 && params.adx < 16
    const hasHighVolume = params.volumeRatio > 1.5
    
    if (isChoppy && hasHighVolume) {
      // High volume during choppy conditions (ADX < 16) is often a trap
      score -= 15
      reasons.push(`⚠️ Whipsaw trap: High volume (${params.volumeRatio.toFixed(2)}x) + choppy market (ADX ${params.adx.toFixed(1)})`)
    } else if (params.volumeRatio > 1.5) {
      score += 15
      reasons.push(`Very strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
    } else if (params.volumeRatio > 1.2) {
      score += 10
      reasons.push(`Strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
    } else if (params.volumeRatio < 0.8) {
      score -= 10
      reasons.push(`Weak volume (${params.volumeRatio.toFixed(2)}x avg)`)
    }
  }

  // Price position check (avoid chasing vs breakout detection)
  if (params.pricePosition > 0) {
    if (params.direction === 'long' && params.pricePosition > 95) {
      // High volume breakout at range top can be good
      if (params.volumeRatio > 1.4) {
        score += 5
        reasons.push(`Volume breakout at range top (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
      } else {
        score -= 15
        reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
      }
    } else if (params.direction === 'short' && params.pricePosition < 5) {
      // High volume breakdown at range bottom can be good
      if (params.volumeRatio > 1.4) {
        score += 5
        reasons.push(`Volume breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
      } else {
        score -= 15
        reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
      }
    } else {
      score += 5
      reasons.push(`Price position OK (${params.pricePosition.toFixed(0)}%)`)
    }
  }

  // Volume breakout bonus (high volume can override other weaknesses)
  if (params.volumeRatio > 1.8 && params.atr < 0.6) {
    score += 10
    reasons.push(`Volume breakout compensates for low ATR`)
  }

  // Signal frequency penalties (check database for recent signals)
  const frequencyPenalties = {
    overtrading: 0,
    flipFlop: 0,
    alternating: 0,
  }

  if (!params.skipFrequencyCheck) {
    try {
      const recentSignals = await getRecentSignals({
        symbol: params.symbol,
        direction: params.direction,
        timeWindowMinutes: 30,
      })

      // Penalty 1: Overtrading (3+ signals in 30 minutes)
      if (recentSignals.totalSignals >= 3) {
        frequencyPenalties.overtrading = -20
        score -= 20
        reasons.push(`⚠️ Overtrading zone: ${recentSignals.totalSignals} signals in 30min (-20 pts)`)
      }

      // Penalty 2: Flip-flop (opposite direction in last 15 minutes)
      if (recentSignals.oppositeDirectionInWindow) {
        frequencyPenalties.flipFlop = -25
        score -= 25
        reasons.push(`⚠️ Flip-flop detected: opposite direction ${recentSignals.oppositeDirectionMinutesAgo}min ago (-25 pts)`)
      }

      // Penalty 3: Alternating pattern (last 3 trades flip directions)
      if (recentSignals.isAlternatingPattern) {
        frequencyPenalties.alternating = -30
        score -= 30
        const pattern = recentSignals.last3Trades.map(t => t.direction).join(' → ')
        reasons.push(`⚠️ Chop pattern: last 3 trades alternating (${pattern}) (-30 pts)`)
      }
    } catch (error) {
      // Don't fail the whole score if frequency check fails
      console.error('❌ Signal frequency check failed:', error)
      reasons.push('⚠️ Frequency check unavailable (no penalty applied)')
    }
  }

  const minScore = params.minScore || 60
  const passed = score >= minScore

  return {
    score,
    passed,
    reasons,
    frequencyPenalties,
  }
}