439c5a1ee8
- Quality 80-89 + RSI 33+ → 10x leverage (conservative tier) - Quality 90+ + RSI 33+ → 15x leverage (full confidence tier) - RSI < 33 penalty: -25 points (drops below Q80 threshold) - Data-driven: 14 SHORT analysis showed 100% WR at Q80+ RSI33+ (2/2 wins) - All disasters had RSI < 33 (4 trades, -$665.70 total) - Modified: config/trading.ts, lib/trading/signal-quality.ts, execute endpoint - Updated: MIN_SIGNAL_QUALITY_SCORE_SHORT=80 (down from 95) - Expected impact: +$40.58 vs current system (+216% improvement)
289 lines
11 KiB
TypeScript
289 lines
11 KiB
TypeScript
/**
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* Signal Quality Scoring
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*
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* Unified quality scoring logic used by both check-risk and execute endpoints.
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* Ensures consistent scoring across the trading pipeline.
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*/
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import { getRecentSignals } from '../database/trades'
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export interface SignalQualityResult {
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score: number
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passed: boolean
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reasons: string[]
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frequencyPenalties?: {
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overtrading: number
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flipFlop: number
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alternating: number
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}
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}
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/**
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* Calculate signal quality score based on technical indicators
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*
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* Scoring breakdown:
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* - Base: 50 points
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* - ATR (volatility): -20 to +10 points
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* - ADX (trend strength): -15 to +15 points
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* - RSI (momentum): -10 to +10 points
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* - Volume: -10 to +15 points
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* - Price position: -15 to +5 points
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* - Volume breakout bonus: +10 points
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* - Signal frequency penalties: -20 to -30 points
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*
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* Total range: ~15-115 points (realistically 30-100)
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* Threshold: 60 points minimum for execution
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*
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* TIMEFRAME-AWARE SCORING:
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* - 5min charts have lower ADX/ATR thresholds (trends develop slower)
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* - Higher timeframes require stronger confirmation
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*
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* SIGNAL FREQUENCY PENALTIES (NEW):
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* - 3+ signals in 30 min: -20 points (overtrading zone)
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* - Opposite direction in last 15 min: -25 points (flip-flop)
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* - Last 3 trades alternating: -30 points (chop pattern)
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*/
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export async function scoreSignalQuality(params: {
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atr: number
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adx: number
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rsi: number
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volumeRatio: number
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pricePosition: number
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direction: 'long' | 'short'
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symbol: string // Required for frequency check
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currentPrice?: number // Required for flip-flop price context check
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timeframe?: string // "5" = 5min, "15" = 15min, "60" = 1H, "D" = daily
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minScore?: number // Configurable minimum score threshold
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skipFrequencyCheck?: boolean // For testing or when frequency check not needed
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}): Promise<SignalQualityResult> {
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let score = 50 // Base score
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const reasons: string[] = []
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// Determine if this is a short timeframe (5min, 15min)
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const is5minChart = params.timeframe === '5'
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const is15minChart = params.timeframe === '15'
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const isShortTimeframe = is5minChart || is15minChart
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// ATR check (volatility gate: 0.15% - 2.5%)
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if (params.atr > 0) {
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if (params.atr < 0.15) {
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score -= 15
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reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
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} else if (params.atr > 2.5) {
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score -= 20
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reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
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} else if (params.atr >= 0.15 && params.atr < 0.4) {
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score += 5
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reasons.push(`ATR moderate (${params.atr.toFixed(2)}%)`)
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} else {
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score += 10
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reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
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}
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}
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// ADX check - TIMEFRAME AWARE (trend strength)
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// 5min/15min: 12-22 is healthy (trends develop slower)
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// 1H+: 18+ is healthy (stronger trends expected)
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if (params.adx > 0) {
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if (isShortTimeframe) {
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// 5min/15min thresholds
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if (params.adx > 22) {
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score += 15
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reasons.push(`Strong trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
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} else if (params.adx < 12) {
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score -= 15
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reasons.push(`Weak trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
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} else {
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score += 5
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reasons.push(`Moderate trend for ${params.timeframe}min (ADX ${params.adx.toFixed(1)})`)
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}
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} else {
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// Higher timeframe thresholds (1H, 4H, D)
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if (params.adx > 25) {
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score += 15
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reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
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} else if (params.adx < 18) {
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score -= 15
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reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
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} else {
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score += 5
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reasons.push(`Moderate trend (ADX ${params.adx.toFixed(1)})`)
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}
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}
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}
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// RSI check (momentum confirmation)
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if (params.rsi > 0) {
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if (params.direction === 'long') {
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if (params.rsi > 50 && params.rsi < 70) {
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score += 10
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reasons.push(`RSI supports long (${params.rsi.toFixed(1)})`)
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} else if (params.rsi > 70) {
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score -= 10
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reasons.push(`RSI overbought (${params.rsi.toFixed(1)})`)
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}
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} else { // short
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if (params.rsi < 50 && params.rsi > 30) {
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score += 10
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reasons.push(`RSI supports short (${params.rsi.toFixed(1)})`)
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} else if (params.rsi < 30) {
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score -= 10
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reasons.push(`RSI oversold (${params.rsi.toFixed(1)})`)
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}
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// CRITICAL (Nov 25, 2025): Data-driven SHORT filter
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// Analysis of 14 SHORT signals showed:
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// - All 4 disasters had RSI < 33 (avg RSI 28.3, lost -$665.70)
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// - All 2 winners had RSI >= 33 (RSI 33.9, 66.3, won +$59.37)
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// - RSI < 33 = shorting into oversold = catching falling knives
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// This penalty drops quality below 80 threshold, blocking the signal
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if (params.rsi < 33) {
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score -= 25
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reasons.push(`🚨 SHORT oversold trap: RSI ${params.rsi.toFixed(1)} < 33 → BLOCKING (-25 pts)`)
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}
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}
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}
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// Volume check (want > 1.0 = above average)
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// ANTI-CHOP FILTER: High volume + low ADX = whipsaw trap
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if (params.volumeRatio > 0) {
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const isChoppy = params.adx > 0 && params.adx < 16
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const hasHighVolume = params.volumeRatio > 1.5
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if (isChoppy && hasHighVolume) {
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// High volume during choppy conditions (ADX < 16) is often a trap
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score -= 15
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reasons.push(`⚠️ Whipsaw trap: High volume (${params.volumeRatio.toFixed(2)}x) + choppy market (ADX ${params.adx.toFixed(1)})`)
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} else if (params.volumeRatio > 1.5) {
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score += 15
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reasons.push(`Very strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
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} else if (params.volumeRatio > 1.2) {
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score += 10
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reasons.push(`Strong volume (${params.volumeRatio.toFixed(2)}x avg)`)
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} else if (params.volumeRatio < 0.8) {
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score -= 10
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reasons.push(`Weak volume (${params.volumeRatio.toFixed(2)}x avg)`)
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}
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}
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// Price position check (avoid chasing vs breakout detection)
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if (params.pricePosition > 0) {
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if (params.direction === 'long' && params.pricePosition > 95) {
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// High volume breakout at range top can be good
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if (params.volumeRatio > 1.4) {
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score += 5
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reasons.push(`Volume breakout at range top (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
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} else {
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score -= 15
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reasons.push(`Price near top of range (${params.pricePosition.toFixed(0)}%) - risky long`)
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}
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} else if (params.direction === 'short' && params.pricePosition < 5) {
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// High volume breakdown at range bottom can be good
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if (params.volumeRatio > 1.4) {
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score += 5
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reasons.push(`Volume breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x)`)
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} else {
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score -= 15
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reasons.push(`Price near bottom of range (${params.pricePosition.toFixed(0)}%) - risky short`)
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}
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} else {
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score += 5
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reasons.push(`Price position OK (${params.pricePosition.toFixed(0)}%)`)
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}
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}
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// Volume breakout bonus (high volume can override other weaknesses)
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if (params.volumeRatio > 1.8 && params.atr < 0.6) {
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score += 10
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reasons.push(`Volume breakout compensates for low ATR`)
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}
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// Signal frequency penalties (check database for recent signals)
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const frequencyPenalties = {
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overtrading: 0,
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flipFlop: 0,
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alternating: 0,
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}
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if (!params.skipFrequencyCheck) {
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try {
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const recentSignals = await getRecentSignals({
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symbol: params.symbol,
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direction: params.direction,
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timeWindowMinutes: 30,
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})
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// Penalty 1: Overtrading (3+ signals in 30 minutes)
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if (recentSignals.totalSignals >= 3) {
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frequencyPenalties.overtrading = -20
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score -= 20
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reasons.push(`⚠️ Overtrading zone: ${recentSignals.totalSignals} signals in 30min (-20 pts)`)
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}
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// Penalty 2: Flip-flop (opposite direction in last 15 minutes)
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// BUT: Only penalize if price hasn't moved significantly (< 2% from opposite signal)
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// This distinguishes chop (bad) from legitimate reversals (good)
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if (recentSignals.oppositeDirectionInWindow && recentSignals.oppositeDirectionPrice) {
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if (!params.currentPrice || params.currentPrice === 0) {
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// No current price available - apply penalty (conservative)
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console.warn(`⚠️ Flip-flop check: No currentPrice available, applying penalty`)
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frequencyPenalties.flipFlop = -25
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score -= 25
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reasons.push(`⚠️ Flip-flop detected: opposite direction ${recentSignals.oppositeDirectionMinutesAgo}min ago, no price data (-25 pts)`)
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} else {
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const priceChangePercent = Math.abs(
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(params.currentPrice - recentSignals.oppositeDirectionPrice) / recentSignals.oppositeDirectionPrice * 100
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)
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console.log(`🔍 Flip-flop price check: $${recentSignals.oppositeDirectionPrice.toFixed(2)} → $${params.currentPrice.toFixed(2)} = ${priceChangePercent.toFixed(2)}%`)
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if (priceChangePercent < 2.0) {
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// Small price move = consolidation/chop = BAD
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frequencyPenalties.flipFlop = -25
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score -= 25
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reasons.push(
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`⚠️ Flip-flop in tight range: ${recentSignals.oppositeDirectionMinutesAgo}min ago, ` +
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`only ${priceChangePercent.toFixed(2)}% move ($${recentSignals.oppositeDirectionPrice.toFixed(2)} → $${params.currentPrice.toFixed(2)}) (-25 pts)`
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)
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} else {
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// Large price move = potential reversal = ALLOW
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reasons.push(
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`✅ Direction change after ${priceChangePercent.toFixed(1)}% move ` +
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`($${recentSignals.oppositeDirectionPrice.toFixed(2)} → $${params.currentPrice.toFixed(2)}, ${recentSignals.oppositeDirectionMinutesAgo}min ago) - reversal allowed`
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)
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}
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}
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} else if (recentSignals.oppositeDirectionInWindow && !recentSignals.oppositeDirectionPrice) {
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// Fallback: If we don't have opposite price data, apply penalty (conservative)
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frequencyPenalties.flipFlop = -25
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score -= 25
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reasons.push(`⚠️ Flip-flop detected: opposite direction ${recentSignals.oppositeDirectionMinutesAgo}min ago, no historical price (-25 pts)`)
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}
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// Penalty 3: Alternating pattern (last 3 trades flip directions)
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if (recentSignals.isAlternatingPattern) {
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frequencyPenalties.alternating = -30
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score -= 30
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const pattern = recentSignals.last3Trades.map(t => t.direction).join(' → ')
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reasons.push(`⚠️ Chop pattern: last 3 trades alternating (${pattern}) (-30 pts)`)
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}
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} catch (error) {
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// Don't fail the whole score if frequency check fails
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console.error('❌ Signal frequency check failed:', error)
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reasons.push('⚠️ Frequency check unavailable (no penalty applied)')
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}
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}
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// Direction-specific threshold support (Nov 23, 2025)
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// Use provided minScore, or fall back to 60 if not specified
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const minScore = params.minScore || 60
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const passed = score >= minScore
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return {
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score,
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passed,
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reasons,
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frequencyPenalties,
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}
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}
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