711ff9aaf4
- Created /api/analytics/version-comparison endpoint - Shows performance metrics for v1, v2, v3 scoring logic - Compares: trade count, win rate, P&L, quality scores, MFE/MAE - Special focus on extreme positions (< 15% or > 85% range) - Tracks weak ADX count (< 18) for each version - Visual indicators for current version (v3) - Data collection progress notice for v3 (need 20+ trades) - Legend explaining MFE, MAE, extreme positions, weak ADX Enables data-driven optimization by comparing algorithm performance with clean, version-tagged datasets.
125 lines
4.3 KiB
SQL
125 lines
4.3 KiB
SQL
-- Signal Quality Version Analysis
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-- Compare performance between different scoring logic versions
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-- 1. Count trades by version
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SELECT
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COALESCE("signalQualityVersion", 'v1/null') as version,
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COUNT(*) as trade_count,
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ROUND(100.0 * COUNT(*) / SUM(COUNT(*)) OVER(), 1) as percentage
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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GROUP BY "signalQualityVersion"
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ORDER BY version;
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-- 2. Performance by version
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SELECT
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COALESCE("signalQualityVersion", 'v1/null') as version,
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COUNT(*) as trades,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(SUM("realizedPnL")::numeric, 2) as total_pnl,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate,
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ROUND(AVG("signalQualityScore")::numeric, 1) as avg_quality_score,
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ROUND(AVG("maxFavorableExcursion")::numeric, 2) as avg_mfe,
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ROUND(AVG("maxAdverseExcursion")::numeric, 2) as avg_mae
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL AND "exitReason" NOT LIKE '%CLEANUP%'
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GROUP BY "signalQualityVersion"
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ORDER BY version;
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-- 3. Version breakdown by exit reason
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SELECT
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COALESCE("signalQualityVersion", 'v1/null') as version,
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"exitReason",
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COUNT(*) as count,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL AND "exitReason" NOT LIKE '%CLEANUP%'
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GROUP BY "signalQualityVersion", "exitReason"
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ORDER BY version, count DESC;
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-- 4. Quality score distribution by version
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SELECT
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COALESCE("signalQualityVersion", 'v1/null') as version,
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CASE
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WHEN "signalQualityScore" >= 80 THEN '80-100 (High)'
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WHEN "signalQualityScore" >= 70 THEN '70-79 (Good)'
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WHEN "signalQualityScore" >= 60 THEN '60-69 (Pass)'
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ELSE '< 60 (Block)'
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END as score_range,
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COUNT(*) as trades,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL AND "signalQualityScore" IS NOT NULL
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GROUP BY "signalQualityVersion", score_range
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ORDER BY version, score_range DESC;
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-- 5. Extreme position entries by version (< 15% or > 85%)
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SELECT
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COALESCE("signalQualityVersion", 'v1/null') as version,
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direction,
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COUNT(*) as trades,
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ROUND(AVG("pricePositionAtEntry")::numeric, 1) as avg_price_pos,
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ROUND(AVG("adxAtEntry")::numeric, 1) as avg_adx,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "pricePositionAtEntry" IS NOT NULL
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AND ("pricePositionAtEntry" < 15 OR "pricePositionAtEntry" > 85)
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GROUP BY "signalQualityVersion", direction
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ORDER BY version, direction;
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-- 6. Recent v3 trades (new logic)
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SELECT
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"createdAt",
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symbol,
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direction,
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"entryPrice",
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"exitPrice",
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"exitReason",
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ROUND("realizedPnL"::numeric, 2) as pnl,
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"signalQualityScore" as score,
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ROUND("adxAtEntry"::numeric, 1) as adx,
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ROUND("pricePositionAtEntry"::numeric, 1) as price_pos
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FROM "Trade"
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WHERE "signalQualityVersion" = 'v3'
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AND "exitReason" IS NOT NULL
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ORDER BY "createdAt" DESC
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LIMIT 20;
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-- 7. Compare v3 vs pre-v3 on extreme positions
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WITH version_groups AS (
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SELECT
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CASE WHEN "signalQualityVersion" = 'v3' THEN 'v3 (NEW)' ELSE 'pre-v3 (OLD)' END as version_group,
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*
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "pricePositionAtEntry" IS NOT NULL
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AND ("pricePositionAtEntry" < 15 OR "pricePositionAtEntry" > 85)
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AND "adxAtEntry" IS NOT NULL
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)
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SELECT
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version_group,
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COUNT(*) as trades,
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ROUND(AVG("adxAtEntry")::numeric, 1) as avg_adx,
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COUNT(*) FILTER (WHERE "adxAtEntry" < 18) as weak_adx_count,
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ROUND(AVG("realizedPnL")::numeric, 2) as avg_pnl,
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ROUND(SUM("realizedPnL")::numeric, 2) as total_pnl,
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ROUND(100.0 * SUM(CASE WHEN "realizedPnL" > 0 THEN 1 ELSE 0 END) / COUNT(*)::numeric, 1) as win_rate
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FROM version_groups
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GROUP BY version_group
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ORDER BY version_group DESC;
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-- 8. Daily performance by version (last 7 days)
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SELECT
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DATE("createdAt") as trade_date,
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COALESCE("signalQualityVersion", 'v1/null') as version,
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COUNT(*) as trades,
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ROUND(SUM("realizedPnL")::numeric, 2) as daily_pnl
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FROM "Trade"
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WHERE "exitReason" IS NOT NULL
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AND "createdAt" >= NOW() - INTERVAL '7 days'
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GROUP BY trade_date, "signalQualityVersion"
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ORDER BY trade_date DESC, version;
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