3c9da22a8a
- Shorts/longs at < 15% range require ADX > 18 AND volume > 1.2x - OR RSI < 35 for shorts, RSI > 60 for longs - Increased penalty from -10 to -15 when conditions not met - Changed threshold from < 5% to < 15% to catch more edge cases Test results: - Big loser (01:35): ADX 16.1, price 9.3% → Score 60 (was 90) → BLOCKED - Today's signal (10:05): ADX 17.3, price 0.9% → Score 55 (was 85) → BLOCKED Rationale: False breakdowns in choppy ranges (ADX < 18) cause losses. Tradeoff: May block some profitable breakdowns, but prevents chop losses.
233 lines
8.4 KiB
TypeScript
233 lines
8.4 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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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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}
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/**
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* Calculate signal quality score based on technical indicators
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*
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* TIMEFRAME-AWARE SCORING:
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* 5min charts naturally have lower ADX/ATR than higher timeframes
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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 (5min: 0.25-0.7% is healthy)
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* - ADX (trend strength): -15 to +15 points (5min: 15+ is trending)
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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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* - Anti-chop filter: -20 points (5min only, extreme chop)
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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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export 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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minScore?: number // Configurable minimum score threshold
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timeframe?: string // e.g., '5', '15', '60', '1D'
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}): SignalQualityResult {
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let score = 50 // Base score
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const reasons: string[] = []
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// Detect 5-minute timeframe
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const is5min = params.timeframe === '5' || params.timeframe === 'manual'
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// ATR check - TIMEFRAME AWARE
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if (params.atr > 0) {
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if (is5min) {
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// 5min: lower thresholds, more lenient
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if (params.atr < 0.2) {
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score -= 15
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reasons.push(`ATR too low (${params.atr.toFixed(2)}% - dead market)`)
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} else if (params.atr > 1.5) {
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score -= 20
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reasons.push(`ATR too high (${params.atr.toFixed(2)}% - too volatile)`)
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} else if (params.atr >= 0.2 && params.atr < 0.35) {
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score += 5
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reasons.push(`ATR acceptable (${params.atr.toFixed(2)}%)`)
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} else {
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score += 10
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reasons.push(`ATR healthy (${params.atr.toFixed(2)}%)`)
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}
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} else {
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// Higher timeframes: stricter requirements
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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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}
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// ADX check - TIMEFRAME AWARE
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if (params.adx > 0) {
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if (is5min) {
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// 5min: ADX 15+ is actually trending, 20+ is strong
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// High volume can compensate for lower ADX in breakouts/breakdowns
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const hasStrongVolume = params.volumeRatio > 1.2
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if (params.adx > 22) {
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score += 15
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reasons.push(`Strong 5min trend (ADX ${params.adx.toFixed(1)})`)
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} else if (params.adx < 12) {
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// Reduce penalty if strong volume present (breakdown/breakout in progress)
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if (hasStrongVolume) {
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score -= 5
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reasons.push(`Lower 5min ADX (${params.adx.toFixed(1)}) but strong volume compensates`)
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} else {
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score -= 15
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reasons.push(`Weak 5min trend (ADX ${params.adx.toFixed(1)})`)
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}
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} else {
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score += 5
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reasons.push(`Moderate 5min trend (ADX ${params.adx.toFixed(1)})`)
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}
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} else {
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// Higher timeframes: stricter ADX requirements
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const hasStrongVolume = params.volumeRatio > 1.2
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if (params.adx > 25) {
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score += 15
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reasons.push(`Strong trend (ADX ${params.adx.toFixed(1)})`)
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} else if (params.adx < 18) {
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// Reduce penalty if strong volume present
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if (hasStrongVolume) {
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score -= 5
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reasons.push(`Lower ADX (${params.adx.toFixed(1)}) but strong volume compensates`)
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} else {
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score -= 15
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reasons.push(`Weak trend (ADX ${params.adx.toFixed(1)})`)
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}
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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 (${params.rsi.toFixed(1)})`)
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}
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}
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}
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// Volume check (want > 1.0 = above average)
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if (params.volumeRatio > 0) {
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if (params.volumeRatio > 1.5) {
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score += 15
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reasons.push(`Very strong volume (${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/breakdown 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 < 15) {
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// Shorts near range bottom (< 15%) require strong confirmation
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// Require STRONG trend (ADX > 18) to avoid false breakdowns in choppy ranges
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// OR very bearish RSI (< 35) indicating strong momentum continuation
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const hasStrongTrend = params.adx > 18
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const isVeryBearish = params.rsi > 0 && params.rsi < 35
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const hasGoodVolume = params.volumeRatio > 1.2
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if ((hasGoodVolume && hasStrongTrend) || isVeryBearish) {
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score += 5
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reasons.push(`Valid breakdown at range bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x, ADX ${params.adx.toFixed(1)}, RSI ${params.rsi.toFixed(1)})`)
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} else {
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score -= 15
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reasons.push(`Price near bottom (${params.pricePosition.toFixed(0)}%) - need ADX > 18 or RSI < 35 for breakdown`)
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}
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} else if (params.direction === 'long' && params.pricePosition < 15) {
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// Longs near range bottom (< 15%) require strong reversal confirmation
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// Require STRONG trend (ADX > 18) to avoid catching falling knives
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// OR very bullish RSI (> 60) after bounce showing momentum shift
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const hasStrongTrend = params.adx > 18
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const isVeryBullish = params.rsi > 0 && params.rsi > 60
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const hasGoodVolume = params.volumeRatio > 1.2
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if ((hasGoodVolume && hasStrongTrend) || isVeryBullish) {
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score += 5
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reasons.push(`Potential reversal at bottom (${params.pricePosition.toFixed(0)}%, vol ${params.volumeRatio.toFixed(2)}x, ADX ${params.adx.toFixed(1)}, RSI ${params.rsi.toFixed(1)})`)
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} else {
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score -= 15
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reasons.push(`Price near bottom (${params.pricePosition.toFixed(0)}%) - need ADX > 18 or RSI > 60 for reversal`)
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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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// ANTI-CHOP FILTER for 5min (extreme penalty for sideways chop)
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if (is5min && params.adx < 10 && params.atr < 0.25 && params.volumeRatio < 0.9) {
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score -= 20
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reasons.push(`⛔ Extreme chop detected (ADX ${params.adx.toFixed(1)}, ATR ${params.atr.toFixed(2)}%, Vol ${params.volumeRatio.toFixed(2)}x)`)
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}
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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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}
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}
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