trading_bot_v4/docs/V11_ANALYSIS_DEC15_2025.md

v11 Indicator Analysis - December 15, 2025

Executive Summary

Overall Performance: 7 trades, 57.1% win rate, -$1.80 total P&L Sample Size: TOO SMALL for definitive conclusions (need 20+ trades) Data Quality: Average quality score 88.6 (good filtering)

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🚨 CRITICAL FINDINGS - IMMEDIATE ACTION REQUIRED

1. LONG TRADES ARE LOSING MONEY (-$2.22 total, 40% WR)

• Problem: LONGs at top of range (80-100%) are mixed results
• Worst Loser: Quality 75, RSI 73.5 (overbought), Position 94.4% → -$17.09 loss
• Pattern: Buying overbought conditions at range tops = disaster

2. SHORT TRADES ARE PERFECT (+$0.42 total, 100% WR)

• 2 trades, 2 wins (Quality 85-105, ADX 22-34)
• Both: RSI 38-44 (bearish zone), good momentum

3. QUALITY 95-99 FAILED (-$4.72 on 1 trade)

• Single failure: Q95, LONG at 63.5% position, RSI 59.5 → stopped out
• Contradicts: Q100+ had 100% WR (+$24.01)
• Issue: Quality 95 threshold may be too low, or 95-99 tier unlucky

4. RSI SWEET SPOT FOR LONGS: 60-70 (100% WR, +$26.97)

• Avoid: RSI >70 (overbought) → -$17.09
• Avoid: RSI 50-60 (weak bullish) → -$12.10
• Trade: RSI 60-70 (strong but not overbought) → +$26.97

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Detailed Pattern Analysis

Direction Performance

Direction	Trades	Win Rate	Total P&L	Avg P&L
SHORT	2	100.0%	+$0.42	+$0.21
LONG	5	40.0%	-$2.22	-$0.44

Conclusion: v11 SHORTs are working, LONGs need filter improvements.

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Quality Score Tiers

Quality Tier	Trades	Win Rate	Total P&L	Avg P&L
100+	2	100.0%	+$24.01	+$12.01
95-99	1	0.0%	-$4.72	-$4.72
85-89	2	100.0%	+$3.37	+$1.69
<85	2	0.0%	-$24.47	-$12.23

Findings:

• ✅ Quality 100+ = perfect edge (2/2 wins)
• ✅ Quality 85-89 = solid (2/2 wins)
• ❌ Quality 95-99 = single failure (1/1 loss) - SAMPLE SIZE TOO SMALL
• ❌ Quality <85 = disaster (0/2 wins)

Action: Need 5+ more trades in 95-99 tier to validate if real problem or outlier.

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ADX Strength Analysis

ADX Tier	Trades	Avg ADX	Win Rate	Total P&L
30+ Very Strong	1	34.2	100.0%	+$0.38
20-25 Moderate	4	23.6	50.0%	+$1.85
15-20 Weak	2	16.2	50.0%	-$4.04

Finding: Strong ADX (30+) only 1 trade but won. Moderate (20-25) is 50/50.

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Price Position Analysis (LONGs Only)

Price Zone	Trades	Avg Pos	Win Rate	Total P&L
80-100 Top	3	89.5%	66.7%	+$9.88
60-80 Upper	1	63.5%	0.0%	-$4.72
40-60 Middle	1	54.2%	0.0%	-$7.38

CRITICAL FINDING:

• ✅ LONGs at TOP of range (80-100%) = 66.7% WR, +$9.88
• ❌ LONGs at MIDDLE/UPPER (40-80%) = 0% WR, -$12.10

Explanation: This seems counterintuitive but:

1. Top of range (80-100%): Strong momentum breakouts, continuation plays
2. Middle/upper (40-80%): Weak momentum, often rejects or chops

BUT WARNING: Top winner (Q100, +$23.63) skews this. Need more data.

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RSI Analysis by Direction

LONG Trades RSI Performance

RSI Zone	Trades	Avg RSI	Win Rate	Total P&L
70+ Overbought	1	73.5	0.0%	-$17.09 ⚠️
60-70 Strong	2	63.2	100.0%	+$26.97 ✅
50-60 Bullish	2	57.3	0.0%	-$12.10

ACTIONABLE RULE FOR LONGs:

• ✅ ENTER: RSI 60-70 (strong but not overbought) = 100% WR
• ❌ BLOCK: RSI >70 (overbought) = biggest single loss (-$17.09)
• ❌ BLOCK: RSI <60 (weak momentum) = 0% WR

SHORT Trades RSI Performance

RSI Zone	Trades	Avg RSI	Win Rate	Total P&L
40-50 Bearish	1	44.0	100.0%	+$0.03
30-40 Weak	1	38.8	100.0%	+$0.38

Finding: Both SHORTs won with RSI 38-44 (bearish/weak zones) ✅

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Exit Reason Breakdown

Exit Reason	Count	Percentage	Avg P&L
SL	4	57.1%	-$1.39
TP1	2	28.6%	+$1.86
manual	1	14.3%	+$0.03

Finding: 57% of trades hit SL (stopped out). Only 29% hit TP1.

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Winner vs Loser Comparison

Top Winner: Quality 100 LONG (+$23.63)

• Time: 12-10 19:35
• Metrics: ADX 24.8, RSI 63.0, Position 93.8%, Vol 1.30
• Exit: SL (but made profit somehow - check this)
• Pattern: Top of range (93.8%), RSI sweet spot (63.0), good volume

Worst Loser: Quality 75 LONG (-$17.09)

• Time: 12-15 02:19
• Metrics: ADX 23.4, RSI 73.5, Position 94.4%, Vol 1.41
• Exit: SL
• Pattern: Overbought RSI (73.5) at top of range

Key Difference: Winner at RSI 63, loser at RSI 73.5 → RSI 70+ is death zone

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📊 OPTIMIZATION RECOMMENDATIONS

Immediate Filters (High Confidence)

1. BLOCK OVERBOUGHT LONGs (RSI >70)

if (direction === 'long' && rsi > 70) {
  score -= 50  // Major penalty
  blockReason = 'OVERBOUGHT_RSI_LONG'
}

Impact: Would have blocked -$17.09 loss (worst trade)

2. REQUIRE RSI 60-70 FOR LONGs

if (direction === 'long' && (rsi < 60 || rsi > 70)) {
  score -= 30  // Significant penalty
}

Impact: Would have blocked 3 losers (-$29.19 total)

3. KEEP SHORT ENTRY LOGIC AS-IS

• SHORTs are 100% WR (2/2) with current filters
• RSI 30-50 range is working
• Don't change what's not broken

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Medium Confidence Filters (Need More Data)

4. CONSIDER BLOCKING LOW ADX (<20)

• ADX 15-20 had 50% WR (-$4.04)
• But only 2 trades - need 5+ more
• Wait for more data

5. VALIDATE QUALITY 95-99 TIER

• Single failure at Q95 (-$4.72)
• Could be outlier
• Need 5+ trades in this tier before adjusting threshold

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Research Questions (Collect More Data)

1. Price Position Paradox: Why do LONGs at top (80-100%) win more than middle (40-80%)?

   • Hypothesis: Top = breakout momentum, middle = chop/rejection
   • Need 10+ more trades to validate

2. Quality 95-99 Anomaly: Is Q95-99 actually worse than Q85-89?

   • Current: Q85-89 = 100% WR, Q95-99 = 0% WR
   • Need 5+ more trades at Q95-99

3. Volume Impact: Vol 1.30-1.42 on winners, 0.95-1.41 on losers

   • Insufficient sample to determine threshold
   • Need 20+ trades

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Data Quality Assessment

Sample Size Status

• Total Trades: 7 (❌ Need 20+ minimum)
• LONG Trades: 5 (⚠️ Need 10+ minimum)
• SHORT Trades: 2 (❌ Need 10+ minimum)
• Quality Tiers: 1-2 per tier (❌ Need 5+ per tier)
• ADX Tiers: 1-4 per tier (⚠️ Borderline)
• RSI Zones: 1-2 per zone (❌ Need 5+ per zone)

Confidence Level: LOW - Most patterns need more data for validation

Exception: RSI >70 LONG disaster is strong signal (single worst trade, clear overbought condition)

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Action Plan

Phase 1: Immediate (Today)

1. ✅ Add RSI >70 penalty for LONGs (-50 points)
2. ✅ Add RSI <60 penalty for LONGs (-30 points)
3. 📊 Monitor next 10-15 trades to validate pattern

Phase 2: Data Collection (Next 7 Days)

1. Collect 15+ more v11 trades (target: 20+ total)
2. Validate RSI 60-70 sweet spot holds
3. Check if quality 95-99 failure was outlier
4. Analyze price position paradox with more data

Phase 3: Refinement (After 20+ Trades)

1. Optimize ADX thresholds if pattern emerges
2. Adjust quality score tiers based on larger sample
3. Consider volume multiplier if correlation found
4. Review position sizing based on RSI zones

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Technical Notes

• Database: All queries from Trade table with indicatorVersion = 'v11'
• Column Names: adxAtEntry, rsiAtEntry, pricePositionAtEntry, volumeAtEntry
• P&L: realizedPnL field (post-exit calculated values)
• Date Range: Dec 10-15, 2025 (5 days of trading)

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Appendix: All v11 Trades

Sorted by P&L (Best to Worst)

Date	Symbol	Dir	Quality	ADX	RSI	Pos	Vol	Exit	P&L
12-10 19:35	SOL	LONG	100	24.8	63.0	93.8	1.30	SL	+$23.63
12-11 19:12	SOL	LONG	85	15.4	63.3	80.3	1.31	TP1	+$3.34
12-14 10:37	SOL	SHORT	105	34.2	38.8	-	-	TP1	+$0.38
12-10 22:37	SOL	SHORT	85	22.4	44.0	-	-	manual	+$0.03
12-10 04:55	SOL	LONG	95	23.9	59.5	63.5	1.42	SL	-$4.72
12-12 13:07	SOL	LONG	75	17.0	55.0	54.2	0.95	SL	-$7.38
12-15 02:19	SOL	LONG	75	23.4	73.5	94.4	1.41	SL	-$17.09

Total: -$1.80 (57.1% WR, 4 wins, 3 losses)

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Conclusion

v11 has potential but needs RSI filter refinement for LONGs.

Clear Signal: RSI >70 for LONGs = disaster zone (-$17.09 worst trade)

Winning Pattern: RSI 60-70 for LONGs = 100% WR (+$26.97)

SHORTs: Working perfectly (2/2 wins), don't change

Next Steps:

1. Add RSI 60-70 requirement for LONGs
2. Block RSI >70 LONGs entirely
3. Collect 15+ more trades to validate patterns
4. Re-analyze after reaching 20+ trade sample size