da20e1802f
Data-driven update from v11 analysis (Dec 15, 2025): - RSI 60-70 for LONG: 100% WR (+6.97 across 2 trades) - RSI <60 for LONG: 0% WR (-2.10 across 2 trades) - RSI 73.5 for LONG: Worst loss (-7.09 single trade) Changes: - rsiLongMin: 30 → 60 (filter weak momentum) - rsiLongMax: 70 (keep existing limit, RSI filter may have been disabled) - Added analysis doc: docs/V11_ANALYSIS_DEC15_2025.md Small sample (7 trades) but RSI pattern is clear. Need 15+ more trades to validate.
291 lines
9.3 KiB
Markdown
291 lines
9.3 KiB
Markdown
# v11 Indicator Analysis - December 15, 2025
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## Executive Summary
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**Overall Performance:** 7 trades, 57.1% win rate, -$1.80 total P&L
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**Sample Size:** TOO SMALL for definitive conclusions (need 20+ trades)
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**Data Quality:** Average quality score 88.6 (good filtering)
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---
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## 🚨 CRITICAL FINDINGS - IMMEDIATE ACTION REQUIRED
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### 1. **LONG TRADES ARE LOSING MONEY** (-$2.22 total, 40% WR)
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- **Problem:** LONGs at top of range (80-100%) are mixed results
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- **Worst Loser:** Quality 75, RSI 73.5 (overbought), Position 94.4% → **-$17.09 loss**
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- **Pattern:** Buying overbought conditions at range tops = disaster
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### 2. **SHORT TRADES ARE PERFECT** (+$0.42 total, 100% WR)
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- **2 trades, 2 wins** (Quality 85-105, ADX 22-34)
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- **Both:** RSI 38-44 (bearish zone), good momentum
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### 3. **QUALITY 95-99 FAILED** (-$4.72 on 1 trade)
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- **Single failure:** Q95, LONG at 63.5% position, RSI 59.5 → stopped out
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- **Contradicts:** Q100+ had 100% WR (+$24.01)
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- **Issue:** Quality 95 threshold may be too low, or 95-99 tier unlucky
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### 4. **RSI SWEET SPOT FOR LONGS: 60-70** (100% WR, +$26.97)
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- **Avoid:** RSI >70 (overbought) → -$17.09
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- **Avoid:** RSI 50-60 (weak bullish) → -$12.10
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- **Trade:** RSI 60-70 (strong but not overbought) → +$26.97
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---
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## Detailed Pattern Analysis
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### Direction Performance
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| Direction | Trades | Win Rate | Total P&L | Avg P&L |
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|-----------|--------|----------|-----------|---------|
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| **SHORT** | 2 | **100.0%** | **+$0.42** | +$0.21 |
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| **LONG** | 5 | **40.0%** | **-$2.22** | -$0.44 |
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**Conclusion:** v11 SHORTs are working, LONGs need filter improvements.
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---
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### Quality Score Tiers
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| Quality Tier | Trades | Win Rate | Total P&L | Avg P&L |
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|--------------|--------|----------|-----------|---------|
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| **100+** | 2 | **100.0%** | **+$24.01** | +$12.01 |
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| **95-99** | 1 | **0.0%** | -$4.72 | -$4.72 |
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| **85-89** | 2 | **100.0%** | +$3.37 | +$1.69 |
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| **<85** | 2 | **0.0%** | -$24.47 | -$12.23 |
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**Findings:**
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- ✅ Quality 100+ = perfect edge (2/2 wins)
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- ✅ Quality 85-89 = solid (2/2 wins)
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- ❌ Quality 95-99 = single failure (1/1 loss) - **SAMPLE SIZE TOO SMALL**
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- ❌ Quality <85 = disaster (0/2 wins)
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**Action:** Need 5+ more trades in 95-99 tier to validate if real problem or outlier.
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### ADX Strength Analysis
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| ADX Tier | Trades | Avg ADX | Win Rate | Total P&L |
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|----------|--------|---------|----------|-----------|
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| **30+ Very Strong** | 1 | 34.2 | **100.0%** | +$0.38 |
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| **20-25 Moderate** | 4 | 23.6 | **50.0%** | +$1.85 |
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| **15-20 Weak** | 2 | 16.2 | **50.0%** | -$4.04 |
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**Finding:** Strong ADX (30+) only 1 trade but won. Moderate (20-25) is 50/50.
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### Price Position Analysis (LONGs Only)
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| Price Zone | Trades | Avg Pos | Win Rate | Total P&L |
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|------------|--------|---------|----------|-----------|
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| **80-100 Top** | 3 | 89.5% | **66.7%** | **+$9.88** |
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| **60-80 Upper** | 1 | 63.5% | **0.0%** | -$4.72 |
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| **40-60 Middle** | 1 | 54.2% | **0.0%** | -$7.38 |
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**CRITICAL FINDING:**
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- ✅ LONGs at TOP of range (80-100%) = **66.7% WR, +$9.88**
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- ❌ LONGs at MIDDLE/UPPER (40-80%) = **0% WR, -$12.10**
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**Explanation:** This seems counterintuitive but:
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1. **Top of range (80-100%):** Strong momentum breakouts, continuation plays
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2. **Middle/upper (40-80%):** Weak momentum, often rejects or chops
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**BUT WARNING:** Top winner (Q100, +$23.63) skews this. Need more data.
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---
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### RSI Analysis by Direction
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#### LONG Trades RSI Performance
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| RSI Zone | Trades | Avg RSI | Win Rate | Total P&L |
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|----------|--------|---------|----------|-----------|
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| **70+ Overbought** | 1 | 73.5 | **0.0%** | **-$17.09** ⚠️ |
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| **60-70 Strong** | 2 | 63.2 | **100.0%** | **+$26.97** ✅ |
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| **50-60 Bullish** | 2 | 57.3 | **0.0%** | -$12.10 |
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**ACTIONABLE RULE FOR LONGs:**
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- ✅ **ENTER:** RSI 60-70 (strong but not overbought) = **100% WR**
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- ❌ **BLOCK:** RSI >70 (overbought) = biggest single loss (-$17.09)
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- ❌ **BLOCK:** RSI <60 (weak momentum) = 0% WR
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#### SHORT Trades RSI Performance
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| RSI Zone | Trades | Avg RSI | Win Rate | Total P&L |
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|----------|--------|---------|----------|-----------|
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| **40-50 Bearish** | 1 | 44.0 | 100.0% | +$0.03 |
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| **30-40 Weak** | 1 | 38.8 | 100.0% | +$0.38 |
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**Finding:** Both SHORTs won with RSI 38-44 (bearish/weak zones) ✅
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---
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### Exit Reason Breakdown
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| Exit Reason | Count | Percentage | Avg P&L |
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|-------------|-------|------------|---------|
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| **SL** | 4 | 57.1% | -$1.39 |
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| **TP1** | 2 | 28.6% | +$1.86 |
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| **manual** | 1 | 14.3% | +$0.03 |
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**Finding:** 57% of trades hit SL (stopped out). Only 29% hit TP1.
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---
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## Winner vs Loser Comparison
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### Top Winner: Quality 100 LONG (+$23.63)
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- **Time:** 12-10 19:35
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- **Metrics:** ADX 24.8, RSI 63.0, Position 93.8%, Vol 1.30
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- **Exit:** SL (but made profit somehow - check this)
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- **Pattern:** Top of range (93.8%), RSI sweet spot (63.0), good volume
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### Worst Loser: Quality 75 LONG (-$17.09)
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- **Time:** 12-15 02:19
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- **Metrics:** ADX 23.4, RSI 73.5, Position 94.4%, Vol 1.41
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- **Exit:** SL
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- **Pattern:** **Overbought RSI (73.5)** at top of range
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**Key Difference:** Winner at RSI 63, loser at RSI 73.5 → **RSI 70+ is death zone**
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---
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## 📊 OPTIMIZATION RECOMMENDATIONS
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### Immediate Filters (High Confidence)
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#### 1. **BLOCK OVERBOUGHT LONGs** (RSI >70)
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```typescript
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if (direction === 'long' && rsi > 70) {
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score -= 50 // Major penalty
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blockReason = 'OVERBOUGHT_RSI_LONG'
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}
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```
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**Impact:** Would have blocked -$17.09 loss (worst trade)
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#### 2. **REQUIRE RSI 60-70 FOR LONGs**
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```typescript
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if (direction === 'long' && (rsi < 60 || rsi > 70)) {
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score -= 30 // Significant penalty
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}
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```
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**Impact:** Would have blocked 3 losers (-$29.19 total)
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#### 3. **KEEP SHORT ENTRY LOGIC AS-IS**
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- SHORTs are 100% WR (2/2) with current filters
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- RSI 30-50 range is working
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- Don't change what's not broken
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---
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### Medium Confidence Filters (Need More Data)
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#### 4. **CONSIDER BLOCKING LOW ADX (<20)**
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- ADX 15-20 had 50% WR (-$4.04)
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- But only 2 trades - need 5+ more
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- **Wait for more data**
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#### 5. **VALIDATE QUALITY 95-99 TIER**
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- Single failure at Q95 (-$4.72)
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- Could be outlier
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- Need 5+ trades in this tier before adjusting threshold
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---
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### Research Questions (Collect More Data)
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1. **Price Position Paradox:** Why do LONGs at top (80-100%) win more than middle (40-80%)?
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- Hypothesis: Top = breakout momentum, middle = chop/rejection
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- Need 10+ more trades to validate
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2. **Quality 95-99 Anomaly:** Is Q95-99 actually worse than Q85-89?
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- Current: Q85-89 = 100% WR, Q95-99 = 0% WR
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- Need 5+ more trades at Q95-99
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3. **Volume Impact:** Vol 1.30-1.42 on winners, 0.95-1.41 on losers
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- Insufficient sample to determine threshold
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- Need 20+ trades
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---
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## Data Quality Assessment
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### Sample Size Status
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- **Total Trades:** 7 (❌ Need 20+ minimum)
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- **LONG Trades:** 5 (⚠️ Need 10+ minimum)
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- **SHORT Trades:** 2 (❌ Need 10+ minimum)
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- **Quality Tiers:** 1-2 per tier (❌ Need 5+ per tier)
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- **ADX Tiers:** 1-4 per tier (⚠️ Borderline)
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- **RSI Zones:** 1-2 per zone (❌ Need 5+ per zone)
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**Confidence Level:** LOW - Most patterns need more data for validation
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**Exception:** RSI >70 LONG disaster is strong signal (single worst trade, clear overbought condition)
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---
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## Action Plan
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### Phase 1: Immediate (Today)
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1. ✅ **Add RSI >70 penalty for LONGs** (-50 points)
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2. ✅ **Add RSI <60 penalty for LONGs** (-30 points)
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3. 📊 **Monitor next 10-15 trades** to validate pattern
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### Phase 2: Data Collection (Next 7 Days)
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1. Collect 15+ more v11 trades (target: 20+ total)
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2. Validate RSI 60-70 sweet spot holds
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3. Check if quality 95-99 failure was outlier
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4. Analyze price position paradox with more data
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### Phase 3: Refinement (After 20+ Trades)
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1. Optimize ADX thresholds if pattern emerges
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2. Adjust quality score tiers based on larger sample
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3. Consider volume multiplier if correlation found
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4. Review position sizing based on RSI zones
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---
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## Technical Notes
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- **Database:** All queries from `Trade` table with `indicatorVersion = 'v11'`
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- **Column Names:** `adxAtEntry`, `rsiAtEntry`, `pricePositionAtEntry`, `volumeAtEntry`
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- **P&L:** `realizedPnL` field (post-exit calculated values)
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- **Date Range:** Dec 10-15, 2025 (5 days of trading)
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## Appendix: All v11 Trades
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### Sorted by P&L (Best to Worst)
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| Date | Symbol | Dir | Quality | ADX | RSI | Pos | Vol | Exit | P&L |
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|------|--------|-----|---------|-----|-----|-----|-----|------|-----|
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| 12-10 19:35 | SOL | LONG | 100 | 24.8 | 63.0 | 93.8 | 1.30 | SL | +$23.63 |
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| 12-11 19:12 | SOL | LONG | 85 | 15.4 | 63.3 | 80.3 | 1.31 | TP1 | +$3.34 |
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| 12-14 10:37 | SOL | SHORT | 105 | 34.2 | 38.8 | - | - | TP1 | +$0.38 |
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| 12-10 22:37 | SOL | SHORT | 85 | 22.4 | 44.0 | - | - | manual | +$0.03 |
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| 12-10 04:55 | SOL | LONG | 95 | 23.9 | 59.5 | 63.5 | 1.42 | SL | -$4.72 |
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| 12-12 13:07 | SOL | LONG | 75 | 17.0 | 55.0 | 54.2 | 0.95 | SL | -$7.38 |
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| 12-15 02:19 | SOL | LONG | 75 | 23.4 | 73.5 | 94.4 | 1.41 | SL | -$17.09 |
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**Total:** -$1.80 (57.1% WR, 4 wins, 3 losses)
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---
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## Conclusion
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**v11 has potential but needs RSI filter refinement for LONGs.**
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**Clear Signal:** RSI >70 for LONGs = disaster zone (-$17.09 worst trade)
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**Winning Pattern:** RSI 60-70 for LONGs = 100% WR (+$26.97)
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**SHORTs:** Working perfectly (2/2 wins), don't change
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**Next Steps:**
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1. Add RSI 60-70 requirement for LONGs
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2. Block RSI >70 LONGs entirely
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3. Collect 15+ more trades to validate patterns
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4. Re-analyze after reaching 20+ trade sample size
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