d2fbd125a0
CRITICAL BUG FIX: - Settings page saved MIN_SIGNAL_QUALITY_SCORE to .env but check-risk had hardcoded value - Now reads from config.minSignalQualityScore (defaults to 65, editable via /settings) - Prevents settings changes from being ignored after restart ANTI-CHOP FILTER FIXES: - Fixed volume breakout bonus conflicting with anti-chop filter - Volume breakout now requires ADX > 18 (trending market) - Prevents high volume + low ADX from getting rewarded instead of penalized - Anti-chop filter now properly blocks whipsaw traps at score 60 TESTING INFRASTRUCTURE: - Added backtest script showing +17.1% P&L improvement (saved $242 in losses) - Added test-signals.sh for comprehensive signal quality validation - Added test-recent-signals.sh for analyzing actual trading session signals - All tests passing: timeframe awareness, anti-chop, score thresholds CHANGES: - config/trading.ts: Added minSignalQualityScore to interface and defaults - app/api/trading/check-risk/route.ts: Use config value instead of hardcoded 65 - lib/trading/signal-quality.ts: Fixed volume breakout bonus logic - .env: Added MIN_SIGNAL_QUALITY_SCORE=65 - scripts/: Added comprehensive testing tools BACKTEST RESULTS (Last 30 trades): - Old system (score ≥60): $1,412.79 P&L - New system (score ≥65 + anti-chop): $1,654.79 P&L - Improvement: +$242.00 (+17.1%) - Blocked 5 losing trades, missed 0 winners
302 lines
15 KiB
JavaScript
Executable File
302 lines
15 KiB
JavaScript
Executable File
#!/usr/bin/env node
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/**
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* Backtest: Anti-Chop Filter + Score 65
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*
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* Simulates how the last 30 trades would have performed with:
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* 1. New anti-chop filter (high volume + low ADX = -15 pts)
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* 2. Minimum score raised from 60 to 65
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*/
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// Simplified scoring function matching signal-quality.ts
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function scoreSignalQuality(params) {
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let score = 50
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const reasons = []
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const { atr, adx, rsi, volumeRatio, pricePosition, direction, timeframe } = params
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const is5minChart = timeframe === '5'
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const is15minChart = timeframe === '15'
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const isShortTimeframe = is5minChart || is15minChart
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// ATR check
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if (atr > 0) {
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if (atr < 0.15) {
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score -= 15
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reasons.push(`ATR too low (${atr.toFixed(2)}%)`)
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} else if (atr > 2.5) {
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score -= 20
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reasons.push(`ATR too high (${atr.toFixed(2)}%)`)
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} else if (atr >= 0.15 && atr < 0.4) {
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score += 5
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reasons.push(`ATR moderate (${atr.toFixed(2)}%)`)
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} else {
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score += 10
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reasons.push(`ATR healthy (${atr.toFixed(2)}%)`)
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}
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}
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// ADX check - timeframe aware
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if (adx > 0) {
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if (isShortTimeframe) {
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if (adx > 22) {
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score += 15
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reasons.push(`Strong trend for ${timeframe}min (ADX ${adx.toFixed(1)})`)
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} else if (adx < 12) {
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score -= 15
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reasons.push(`Weak trend for ${timeframe}min (ADX ${adx.toFixed(1)})`)
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} else {
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score += 5
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reasons.push(`Moderate trend for ${timeframe}min (ADX ${adx.toFixed(1)})`)
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}
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} else {
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if (adx > 25) {
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score += 15
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reasons.push(`Strong trend (ADX ${adx.toFixed(1)})`)
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} else if (adx < 18) {
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score -= 15
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reasons.push(`Weak trend (ADX ${adx.toFixed(1)})`)
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} else {
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score += 5
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reasons.push(`Moderate trend (ADX ${adx.toFixed(1)})`)
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}
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}
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}
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// RSI check
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if (rsi > 0) {
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if (direction === 'long') {
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if (rsi > 50 && rsi < 70) {
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score += 10
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reasons.push(`RSI supports long (${rsi.toFixed(1)})`)
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} else if (rsi > 70) {
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score -= 10
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reasons.push(`RSI overbought (${rsi.toFixed(1)})`)
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}
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} else {
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if (rsi < 50 && rsi > 30) {
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score += 10
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reasons.push(`RSI supports short (${rsi.toFixed(1)})`)
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} else if (rsi < 30) {
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score -= 10
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reasons.push(`RSI oversold (${rsi.toFixed(1)})`)
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}
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}
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}
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// Volume check + ANTI-CHOP FILTER
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if (volumeRatio > 0) {
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const isChoppy = adx > 0 && adx < 16
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const hasHighVolume = volumeRatio > 1.5
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if (isChoppy && hasHighVolume) {
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// NEW: Anti-chop filter
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score -= 15
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reasons.push(`⚠️ Whipsaw trap: High vol (${volumeRatio.toFixed(2)}x) + choppy (ADX ${adx.toFixed(1)})`)
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} else if (volumeRatio > 1.5) {
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score += 15
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reasons.push(`Very strong volume (${volumeRatio.toFixed(2)}x)`)
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} else if (volumeRatio > 1.2) {
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score += 10
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reasons.push(`Strong volume (${volumeRatio.toFixed(2)}x)`)
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} else if (volumeRatio < 0.8) {
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score -= 10
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reasons.push(`Weak volume (${volumeRatio.toFixed(2)}x)`)
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}
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}
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// Price position check
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if (pricePosition > 0) {
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if (direction === 'long' && pricePosition > 95) {
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if (volumeRatio > 1.4) {
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score += 5
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reasons.push(`Volume breakout at top (${pricePosition.toFixed(0)}%)`)
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} else {
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score -= 15
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reasons.push(`Chasing highs (${pricePosition.toFixed(0)}%)`)
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}
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} else if (direction === 'short' && pricePosition < 5) {
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if (volumeRatio > 1.4) {
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score += 5
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reasons.push(`Volume breakdown at bottom (${pricePosition.toFixed(0)}%)`)
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} else {
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score -= 15
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reasons.push(`Chasing lows (${pricePosition.toFixed(0)}%)`)
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}
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} else if (pricePosition > 90 && direction === 'long') {
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score -= 10
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reasons.push(`High in range (${pricePosition.toFixed(0)}%)`)
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} else if (pricePosition < 10 && direction === 'short') {
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score -= 10
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reasons.push(`Low in range (${pricePosition.toFixed(0)}%)`)
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}
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}
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return { score, reasons, passed: score >= 65 }
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}
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// Trade data from database query
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const trades = [
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{ id: 'cmhsds9390000t107mc7zyizw', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.33, adx: 14.8, rsi: 37.1, volume: 2.29, pricePos: 12, timeframe: '5', oldScore: 80, date: '2025-11-10 00:05' },
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{ id: 'cmhrui8wh0001lq075axmexal', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 117.63, exitReason: 'TP2', atr: 0.52, adx: 22.7, rsi: 53.1, volume: 0.88, pricePos: 37.9, timeframe: '5', oldScore: 80, date: '2025-11-09 15:05' },
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{ id: 'cmhrubi3l0000lq07ucg8u4r7', symbol: 'SOL-PERP', direction: 'short', realizedPnL: -5.78, exitReason: 'manual', atr: 0.52, adx: 24, rsi: 48.8, volume: 1.04, pricePos: 24.6, timeframe: '5', oldScore: 80, date: '2025-11-09 15:00' },
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{ id: 'cmhrlxaai000bp907aax5y2b1', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 152.19, exitReason: 'TP2', atr: 0.3, adx: 26.1, rsi: 61.5, volume: 1.45, pricePos: 74.5, timeframe: '5', oldScore: 95, date: '2025-11-09 11:05' },
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{ id: 'cmhrjf9ny000ap907wu3n38w5', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 22.50, exitReason: 'SL', atr: 0.28, adx: 19.8, rsi: 38.1, volume: 1.26, pricePos: 3.5, timeframe: '5', oldScore: 65, date: '2025-11-09 09:55' },
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{ id: 'cmhr8papg0009p907jczfgdxn', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 953.12, exitReason: 'TP2', atr: 0.26, adx: 22.1, rsi: 57.3, volume: 0.43, pricePos: 81.4, timeframe: '5', oldScore: 65, date: '2025-11-09 04:55' },
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{ id: 'cmhr7zr460008p9078mhtx0v0', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.29, adx: 26.7, rsi: 57, volume: 0.62, pricePos: 78.8, timeframe: '5', oldScore: 65, date: '2025-11-09 04:35' },
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{ id: 'cmhr7g9hu0007p907ao3unxti', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -3.63, exitReason: 'manual', atr: 0.32, adx: 28, rsi: 62.4, volume: 1.23, pricePos: 88.9, timeframe: '5', oldScore: 95, date: '2025-11-09 04:20' },
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{ id: 'cmhr3j1fs0006p907lwyoh4ao', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 328.18, exitReason: 'TP2', atr: 0.27, adx: 15.2, rsi: 44.5, volume: 1.26, pricePos: 43.9, timeframe: '5', oldScore: 65, date: '2025-11-09 02:30' },
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{ id: 'cmhr361xl0005p9078ty96n42', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -7.44, exitReason: 'manual', atr: 0.25, adx: 16, rsi: 54.7, volume: 1.65, pricePos: 76.1, timeframe: '5', oldScore: 70, date: '2025-11-09 02:20' },
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{ id: 'cmhr2u1vl0004p907jxgss988', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 44.13, exitReason: 'TP1', atr: 0.25, adx: 18.2, rsi: 52.7, volume: 1.25, pricePos: 69.4, timeframe: '5', oldScore: 75, date: '2025-11-09 02:10' },
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{ id: 'cmhr23s400003p9072o984c6w', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -1.27, exitReason: 'manual', atr: 0.25, adx: 19.9, rsi: 58.2, volume: 2.11, pricePos: 87.7, timeframe: '5', oldScore: 100, date: '2025-11-09 01:50' },
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{ id: 'cmhqycwhx0002p907rhz4zt4g', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.17, adx: 12.9, rsi: 42.6, volume: 1.7, pricePos: 22.2, timeframe: '5', oldScore: 70, date: '2025-11-09 00:05' },
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{ id: 'cmhqvnw7t0001p907s5pkyb6w', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -3.13, exitReason: 'manual', atr: 0.18, adx: 9.2, rsi: 56.1, volume: 1.23, pricePos: 72.7, timeframe: '5', oldScore: 65, date: '2025-11-08 22:50' },
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{ id: 'cmhqhcdwk0000p907zo9hwjwd', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.45, adx: 32, rsi: 42, volume: 1.25, pricePos: 45, timeframe: 'manual', oldScore: 100, date: '2025-11-08 16:09' },
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{ id: 'cmhqex45o0001qz07xkeahoo8', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 102.71, exitReason: 'TP2', atr: 0.45, adx: 32, rsi: 42, volume: 1.25, pricePos: 45, timeframe: 'manual', oldScore: 100, date: '2025-11-08 15:01' },
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{ id: 'cmhqd0qgr0000qz075qs97y5s', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 35.83, exitReason: 'TP2', atr: 0.45, adx: 32, rsi: 42, volume: 1.25, pricePos: 45, timeframe: 'manual', oldScore: 100, date: '2025-11-08 14:08' },
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{ id: 'cmhq3sz5u000crn07akzysxyi', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.26, adx: 15.4, rsi: 47.3, volume: 1.49, pricePos: 52.9, timeframe: '5', oldScore: 85, date: '2025-11-08 09:50' },
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{ id: 'cmhq2qi2m000brn077sbgop44', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -4.32, exitReason: 'manual', atr: 0.27, adx: 14.3, rsi: 58.9, volume: 1.37, pricePos: 87.6, timeframe: '5', oldScore: 85, date: '2025-11-08 09:20' },
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{ id: 'cmhpm4bgp000arn0704n40t5q', symbol: 'SOL-PERP', direction: 'short', realizedPnL: -238.87, exitReason: 'SL', atr: 0.38, adx: 19.6, rsi: 47.5, volume: 0.6, pricePos: 60.4, timeframe: '5', oldScore: 70, date: '2025-11-08 01:35' },
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{ id: 'cmhpllfvq0009rn07mtysadz7', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 0, exitReason: 'SL', atr: 0.41, adx: 23.3, rsi: 51.6, volume: 0.92, pricePos: 79.7, timeframe: '5', oldScore: 90, date: '2025-11-08 01:20' },
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{ id: 'cmhplexpc0008rn07wkv88y3m', symbol: 'SOL-PERP', direction: 'short', realizedPnL: -6.53, exitReason: 'manual', atr: 0.42, adx: 25, rsi: 47.9, volume: 1.12, pricePos: 59.4, timeframe: '5', oldScore: 90, date: '2025-11-08 01:15' },
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{ id: 'cmhpl81le0007rn07qj91dm0k', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -2.57, exitReason: 'manual', atr: 0.43, adx: 26.3, rsi: 49, volume: 2.52, pricePos: 65.8, timeframe: '5', oldScore: 105, date: '2025-11-08 01:10' },
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{ id: 'cmhpkp4o50006rn07wduu7ujp', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.4, adx: 29.9, rsi: 45.2, volume: 1.31, pricePos: 45.4, timeframe: '5', oldScore: 100, date: '2025-11-08 00:55' },
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{ id: 'cmhpkicqo0005rn073ie5n8h1', symbol: 'SOL-PERP', direction: 'long', realizedPnL: -6.63, exitReason: 'manual', atr: 0.38, adx: 31.9, rsi: 53.3, volume: 1.17, pricePos: 73.1, timeframe: '5', oldScore: 90, date: '2025-11-08 00:50' },
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{ id: 'cmhpj9jqi0004rn07utncy8d0', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 81.06, exitReason: 'TP1', atr: 0.31, adx: 34.9, rsi: 42, volume: 1.25, pricePos: 31, timeframe: '5', oldScore: 85, date: '2025-11-08 00:15' },
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{ id: 'cmhpijmv80003rn07ko6ixr6z', symbol: 'SOL-PERP', direction: 'short', realizedPnL: -5.85, exitReason: 'manual', atr: 0.31, adx: 31, rsi: 36.4, volume: 1.08, pricePos: 11.3, timeframe: '5', oldScore: 65, date: '2025-11-07 23:55' },
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{ id: 'cmhp6y0yi0002rn07qqikioz7', symbol: 'SOL-PERP', direction: 'long', realizedPnL: 0, exitReason: 'SOFT_SL', atr: 0, adx: 0, rsi: 0, volume: 0, pricePos: 0, timeframe: '5', oldScore: 30, date: '2025-11-07 18:30' },
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{ id: 'cmhp6t54m0001rn07lw4lajdl', symbol: 'SOL-PERP', direction: 'short', realizedPnL: -10.24, exitReason: 'manual', atr: 0.45, adx: 32, rsi: 42, volume: 1.25, pricePos: 45, timeframe: 'manual', oldScore: 100, date: '2025-11-07 18:26' },
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{ id: 'cmhp6nf4g0000rn07ayhyec3y', symbol: 'SOL-PERP', direction: 'short', realizedPnL: 0, exitReason: 'SL', atr: 0.45, adx: 32, rsi: 42, volume: 1.25, pricePos: 45, timeframe: 'manual', oldScore: 100, date: '2025-11-07 18:22' },
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]
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console.log('='.repeat(80))
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console.log('BACKTEST: Anti-Chop Filter + Score 65 Threshold')
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console.log('='.repeat(80))
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console.log()
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let totalPnLOld = 0
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let totalPnLNew = 0
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let tradesBlockedOld = 0
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let tradesBlockedNew = 0
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let winnersBlockedNew = 0
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let losersBlockedNew = 0
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let blockedWinPnL = 0
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let blockedLossPnL = 0
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const results = []
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trades.forEach(trade => {
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// Skip manual trades and trades with missing data
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if (trade.timeframe === 'manual' || trade.atr === 0) {
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return
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}
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const newScore = scoreSignalQuality({
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atr: trade.atr,
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adx: trade.adx,
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rsi: trade.rsi,
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volumeRatio: trade.volume,
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pricePosition: trade.pricePos,
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direction: trade.direction,
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timeframe: trade.timeframe
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})
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const wouldPassOld = trade.oldScore >= 60
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const wouldPassNew = newScore.score >= 65
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// Old system (score 60)
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if (wouldPassOld) {
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totalPnLOld += trade.realizedPnL
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} else {
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tradesBlockedOld++
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}
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// New system (score 65 + anti-chop)
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if (wouldPassNew) {
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totalPnLNew += trade.realizedPnL
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} else {
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tradesBlockedNew++
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if (trade.realizedPnL > 0) {
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winnersBlockedNew++
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blockedWinPnL += trade.realizedPnL
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} else {
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losersBlockedNew++
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blockedLossPnL += trade.realizedPnL
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}
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}
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const statusChange = wouldPassOld !== wouldPassNew ?
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(wouldPassNew ? '✅ NOW PASSES' : '❌ NOW BLOCKED') : ''
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results.push({
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date: trade.date,
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direction: trade.direction.toUpperCase(),
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oldScore: trade.oldScore,
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newScore: newScore.score,
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pnl: trade.realizedPnL,
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exitReason: trade.exitReason,
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passedOld: wouldPassOld,
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passedNew: wouldPassNew,
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statusChange,
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adx: trade.adx,
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volume: trade.volume,
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atr: trade.atr
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})
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})
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// Sort by date (newest first)
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results.reverse()
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// Print results
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console.log('Trade Analysis:')
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console.log('-'.repeat(80))
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results.forEach(r => {
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const pnlStr = r.pnl >= 0 ? `+$${r.pnl.toFixed(2)}` : `-$${Math.abs(r.pnl).toFixed(2)}`
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const oldPass = r.passedOld ? '✓' : '✗'
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const newPass = r.passedNew ? '✓' : '✗'
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console.log(`${r.date} ${r.direction.padEnd(5)} | Old:${oldPass} ${r.oldScore.toString().padStart(3)} | New:${newPass} ${r.newScore.toString().padStart(3)} | ${pnlStr.padStart(10)} ${r.exitReason.padEnd(8)} ${r.statusChange}`)
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if (r.statusChange.includes('BLOCKED')) {
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console.log(` └─ ADX ${r.adx.toFixed(1)}, VOL ${r.volume.toFixed(2)}x, ATR ${r.atr.toFixed(2)}%`)
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}
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})
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console.log()
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console.log('='.repeat(80))
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console.log('SUMMARY')
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console.log('='.repeat(80))
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console.log()
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console.log('OLD SYSTEM (Score ≥60):')
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console.log(` Trades taken: ${results.length - tradesBlockedOld}`)
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console.log(` Trades blocked: ${tradesBlockedOld}`)
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console.log(` Total P&L: $${totalPnLOld.toFixed(2)}`)
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console.log()
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console.log('NEW SYSTEM (Score ≥65 + Anti-Chop):')
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console.log(` Trades taken: ${results.length - tradesBlockedNew}`)
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console.log(` Trades blocked: ${tradesBlockedNew}`)
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console.log(` ├─ Winners blocked: ${winnersBlockedNew} (missed $${blockedWinPnL.toFixed(2)})`)
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console.log(` └─ Losers blocked: ${losersBlockedNew} (saved $${Math.abs(blockedLossPnL).toFixed(2)})`)
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console.log(` Total P&L: $${totalPnLNew.toFixed(2)}`)
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console.log()
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const improvement = totalPnLNew - totalPnLOld
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const improvementPct = totalPnLOld !== 0 ? ((improvement / Math.abs(totalPnLOld)) * 100) : 0
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console.log('IMPACT:')
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console.log(` P&L Change: ${improvement >= 0 ? '+' : ''}$${improvement.toFixed(2)} (${improvementPct >= 0 ? '+' : ''}${improvementPct.toFixed(1)}%)`)
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console.log(` Net effect: ${tradesBlockedNew - tradesBlockedOld} more trades blocked`)
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console.log(` Blocked impact: -$${blockedWinPnL.toFixed(2)} missed + $${Math.abs(blockedLossPnL).toFixed(2)} saved = ${(blockedLossPnL + blockedWinPnL) >= 0 ? '+' : ''}$${(Math.abs(blockedLossPnL) - blockedWinPnL).toFixed(2)} net`)
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console.log()
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if (improvement > 0) {
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console.log('✅ NEW SYSTEM PERFORMS BETTER')
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} else if (improvement < 0) {
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console.log('⚠️ OLD SYSTEM HAD BETTER P&L')
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} else {
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console.log('⚖️ SYSTEMS TIED')
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}
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console.log()
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