Optimize strategies (#23)

* Update Tradingbox + set limit price * Change discord message
2025-05-30 09:00:27 +02:00
parent a31dff3f22
commit faafedbdd9
9 changed files with 695 additions and 59 deletions
--- a/docs/StrategyCombo-README.md
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+# Strategy Combination System
+
+## Overview
+
+The improved `TradingBox` strategy combination system provides sophisticated logic for combining multiple trading strategies with different purposes and behaviors. The system is designed around three distinct strategy types, each serving a specific role in the trading decision process.
+
+## Strategy Types
+
+### 1. Signal Strategies (`SignalType.Signal`)
+- **Purpose**: Generate rare, precise entry signals when specific conditions are met
+- **Behavior**: Sparse signal generation - only fire when opportunity is detected
+- **Examples**: RSI Divergence, MACD Cross, Chandelier Exit
+- **Weight**: High priority in final decision
+
+### 2. Trend Strategies (`SignalType.Trend`) 
+- **Purpose**: Identify overall market direction on every candlestick
+- **Behavior**: Continuous output (Long/Short/Neutral for each candle)
+- **Examples**: EMA Trend, SuperTrend, Moving Average Cross
+- **Weight**: Supporting role, validates signal direction
+
+### 3. Context Strategies (`SignalType.Context`)
+- **Purpose**: Provide market context to prevent trades in unfavorable conditions
+- **Behavior**: Act as filters/guards (allow/block trades)
+- **Examples**: Volatility filters, Volume filters, Time-based restrictions
+- **Weight**: Veto power - can block otherwise valid signals
+
+## Combination Logic
+
+### Basic Flow
+1. **Context Validation**: All context strategies must allow the trade (configurable)
+2. **Signal Analysis**: Evaluate entry signals using majority voting
+3. **Trend Analysis**: Determine overall market direction
+4. **Final Decision**: Combine signal and trend with confidence scoring
+
+### Decision Matrix
+
+| Signal Direction | Trend Direction | Result | Confidence |
+|-----------------|----------------|---------|------------|
+| Long/Short | Same | Execute | High |
+| Long/Short | Neutral/None | Execute | Medium |
+| Long/Short | Opposite | Execute* | Low |
+| None | Long/Short | Execute | Medium/Low |
+| None | None | No Trade | N/A |
+
+*_Depends on `AllowSignalTrendOverride` configuration_
+
+## Configuration Options
+
+The system uses `StrategyComboConfig` to customize behavior:
+
+```csharp
+var config = new StrategyComboConfig
+{
+    // Trend agreement thresholds
+    TrendStrongAgreementThreshold = 0.66m,    // 66% for strong trend
+    
+    // Signal agreement thresholds  
+    SignalAgreementThreshold = 0.5m,          // 50% majority for signals
+    
+    // Override behavior
+    AllowSignalTrendOverride = true,          // Allow signals to override trends
+    
+    // Quality filters
+    MinimumConfidence = Confidence.Low,       // Minimum confidence to trade
+    MinimumContextConfidence = Confidence.Medium, // Minimum context quality required
+    
+    // Defaults
+    DefaultExchange = TradingExchanges.Binance
+};
+```
+
+### Context Strategy Behavior
+
+Context strategies now work with **confidence levels** rather than allow/block decisions:
+
+- **High Confidence**: Ideal market conditions (e.g., low volatility)
+- **Medium Confidence**: Normal market conditions 
+- **Low Confidence**: Elevated risk conditions (trade with caution)
+- **No Confidence**: Poor conditions (blocks trading)
+
+All context strategies must meet the `MinimumContextConfidence` threshold for trades to proceed.
+
+## Usage Examples
+
+### Basic Usage (Default Configuration)
+```csharp
+var signal = TradingBox.GetSignal(candles, strategies, previousSignals);
+```
+
+### Advanced Usage (Custom Configuration)
+```csharp
+var config = new StrategyComboConfig
+{
+    TrendStrongAgreementThreshold = 0.75m,   // Require 75% trend agreement
+    MinimumConfidence = Confidence.Medium,   // Only trade medium+ confidence
+    MinimumContextConfidence = Confidence.High, // Only trade in ideal conditions
+    AllowSignalTrendOverride = false         // Don't allow trend conflicts
+};
+
+var signal = TradingBox.GetSignal(candles, strategies, previousSignals, config);
+```
+
+### Typical Strategy Combinations
+
+#### Conservative Setup
+- 1 Signal Strategy (RSI Divergence)
+- 2 Trend Strategies (EMA Trend, SuperTrend)  
+- 1 Context Strategy (Volatility Filter)
+
+#### Aggressive Setup
+- 2 Signal Strategies (MACD Cross, Chandelier Exit)
+- 1 Trend Strategy (EMA Trend)
+- No Context Strategies
+
+#### Scalping Setup
+- 3 Signal Strategies (Quick signals)
+- 1 Trend Strategy (Short-term trend)
+- 2 Context Strategies (Volume + Time filters)
+
+## Key Improvements
+
+### 1. **Flexible Requirements**
+- No longer requires ALL strategies to produce signals
+- Different logic for different strategy types
+- Configurable thresholds and behavior
+
+### 2. **Intelligent Voting**
+- Majority voting for signals and trends
+- Weighted decisions based on strategy type
+- Handles neutral/conflicting signals gracefully
+
+### 3. **Confidence Scoring**
+- Dynamic confidence based on agreement levels
+- Considers signal-trend alignment
+- Configurable minimum confidence thresholds
+
+### 4. **Context Awareness**
+- Context strategies provide market condition quality through confidence levels
+- Configurable minimum context confidence thresholds
+- Simplified logic: all context strategies must meet minimum confidence
+- No more complex unanimous vs. majority requirements
+
+### 5. **Trend Reversal Support**
+- Signal strategies can override trend direction
+- Useful for catching trend reversals
+- Configurable override behavior
+
+## Best Practices
+
+### Strategy Selection
+1. **Use 1-2 Signal strategies** for entry precision
+2. **Use 1-3 Trend strategies** for direction confirmation  
+3. **Use 0-2 Context strategies** for risk management
+
+### Configuration Tuning
+1. **Start with defaults** and adjust based on backtesting
+2. **Higher thresholds** = fewer but higher quality signals
+3. **Lower thresholds** = more signals but potentially more noise
+
+### Testing Recommendations
+1. **Backtest different configurations** on historical data
+2. **Monitor confidence distributions** in live trading
+3. **Adjust thresholds** based on performance metrics
+
+## Migration from Old System
+
+The new system is backward compatible:
+- Existing calls to `GetSignal()` work unchanged
+- Old unanimous agreement logic is still available via configuration
+- New overloads provide additional control when needed
+
+## Performance Considerations
+
+- Strategy evaluation is optimized for efficiency
+- Signal caching prevents duplicate calculations
+- Configurable quality filters reduce unnecessary trades
+- Separate validation logic for different strategy types 
--- a/docs/VolatilityControlledTradingScenario.md
+++ b/docs/VolatilityControlledTradingScenario.md
@@ -0,0 +1,215 @@
+# Volatility-Controlled Trading Scenario
+
+## Overview
+
+This scenario combines the **STCStrategy** (Signal) with the **StDevContext** (Context) to create a sophisticated trading system that identifies trend reversals while respecting market volatility conditions.
+
+## Strategy Components
+
+### STCStrategy (Signal Type)
+- **Purpose**: Detects trend reversals using Schaff Trend Cycle indicator
+- **Signals**: 
+  - Long when STC crosses above 25 (oversold recovery)
+  - Short when STC crosses below 75 (overbought decline)
+- **Confidence**: Medium for all signals
+
+### StDevContext (Context Type)
+- **Purpose**: Evaluates market volatility to determine trading conditions
+- **Z-Score Ranges**:
+  - `|Z| ≤ 0.5`: **High Confidence** - Very stable conditions, ideal for trading
+  - `0.5 < |Z| ≤ 1.0`: **Medium Confidence** - Normal volatility, good for trading
+  - `1.0 < |Z| ≤ 1.5`: **Low Confidence** - Elevated volatility, trade with caution
+  - `|Z| > 1.5`: **No Confidence** - High volatility, avoid trading
+
+## Implementation
+
+### Basic Setup
+
+```csharp
+// Initialize strategies
+var stcStrategy = new STCStrategy(
+    name: "STC Reversal",
+    cyclePeriods: 10,    // Cycle length for STC calculation
+    fastPeriods: 12,     // Fast EMA period
+    slowPeriods: 26      // Slow EMA period
+);
+
+var volatilityFilter = new StDevContext(
+    name: "Volatility Filter",
+    period: 20           // Period for standard deviation calculation
+);
+
+// Set up strategies
+var strategies = new HashSet<IStrategy> { stcStrategy, volatilityFilter };
+```
+
+### Configuration Options
+
+```csharp
+// Conservative configuration (safer trading)
+var conservativeConfig = new StrategyComboConfig
+{
+    MinimumContextConfidence = Confidence.High,    // Only trade in very stable conditions
+    MinimumConfidence = Confidence.Medium,         // Only trade medium+ confidence signals
+    AllowSignalTrendOverride = true               // Allow reversal signals
+};
+
+// Aggressive configuration (more trading opportunities)
+var aggressiveConfig = new StrategyComboConfig
+{
+    MinimumContextConfidence = Confidence.Low,     // Trade in elevated volatility
+    MinimumConfidence = Confidence.Low,            // Accept lower confidence signals
+    AllowSignalTrendOverride = true
+};
+
+// Balanced configuration (recommended starting point)
+var balancedConfig = new StrategyComboConfig
+{
+    MinimumContextConfidence = Confidence.Medium,  // Require normal volatility conditions
+    MinimumConfidence = Confidence.Medium,         // Standard confidence requirements
+    AllowSignalTrendOverride = true               // Allow trend reversals
+};
+```
+
+### Trading Logic
+
+```csharp
+public Signal GetTradingSignal(HashSet<Candle> candles, StrategyComboConfig config)
+{
+    // Update strategies with latest candle data
+    foreach (var strategy in strategies)
+    {
+        strategy.UpdateCandles(candles);
+    }
+
+    // Get combined signal
+    var signal = TradingBox.GetSignal(
+        candles,
+        strategies,
+        new HashSet<Signal>(), // Previous signals
+        config,
+        loopbackPeriod: 1      // Check only latest candle
+    );
+
+    return signal;
+}
+```
+
+### Complete Example
+
+```csharp
+public class VolatilityControlledTradingBot
+{
+    private readonly STCStrategy _stcStrategy;
+    private readonly StDevContext _volatilityFilter;
+    private readonly StrategyComboConfig _config;
+
+    public VolatilityControlledTradingBot()
+    {
+        _stcStrategy = new STCStrategy("STC Reversal", 10, 12, 26);
+        _volatilityFilter = new StDevContext("Volatility Filter", 20);
+        
+        _config = new StrategyComboConfig
+        {
+            MinimumContextConfidence = Confidence.Medium,
+            MinimumConfidence = Confidence.Medium,
+            AllowSignalTrendOverride = true
+        };
+    }
+
+    public async Task<Signal> AnalyzeMarket(List<Candle> candles)
+    {
+        // Ensure we have enough data
+        if (candles.Count < 50) // Need sufficient history for both strategies
+            return null;
+
+        var strategies = new HashSet<IStrategy> { _stcStrategy, _volatilityFilter };
+        
+        // Update strategies
+        foreach (var strategy in strategies)
+        {
+            strategy.UpdateCandles(candles.ToHashSet());
+        }
+
+        // Get trading signal
+        var signal = TradingBox.GetSignal(
+            candles.ToHashSet(),
+            strategies,
+            new HashSet<Signal>(),
+            _config
+        );
+
+        // Log decision process
+        if (signal != null)
+        {
+            Console.WriteLine($"Trade Signal Generated:");
+            Console.WriteLine($"  Direction: {signal.Direction}");
+            Console.WriteLine($"  Confidence: {signal.Confidence}");
+            Console.WriteLine($"  Date: {signal.Date}");
+        }
+        else
+        {
+            Console.WriteLine("No trade signal - conditions not met");
+        }
+
+        return signal;
+    }
+}
+```
+
+## Loopback Period Recommendations
+
+### For this Scenario:
+- **Loopback Period: 1-3 candles**
+  - STC reversals are typically captured immediately
+  - Volatility context is current market condition
+  - Short loopback prevents stale signals
+
+### Considerations:
+- **Market Timeframe**: 
+  - 5m-15m charts: Use loopback = 1
+  - 1h-4h charts: Use loopback = 2-3
+  - Daily charts: Use loopback = 1-2
+
+## Expected Behavior
+
+### High Volatility Conditions (Z-Score > 1.5)
+- StDevContext returns `Confidence.None`
+- No trades executed regardless of STC signals
+- Protects against whipsaw movements
+
+### Normal Volatility Conditions (|Z-Score| ≤ 1.0)
+- StDevContext returns `Confidence.Medium` or `Confidence.High`
+- STC signals are evaluated normally
+- Trades executed when STC crosses thresholds
+
+### Low Volatility Conditions (|Z-Score| ≤ 0.5)
+- StDevContext returns `Confidence.High`
+- Ideal conditions for trend reversal trading
+- Higher probability of successful STC signals
+
+## Performance Tuning
+
+### STC Parameters:
+- **cyclePeriods**: 8-15 (shorter = more sensitive)
+- **fastPeriods**: 9-15 (standard EMA settings)
+- **slowPeriods**: 21-30 (standard EMA settings)
+
+### Volatility Parameters:
+- **period**: 14-21 (standard volatility lookback)
+- **Z-Score thresholds**: Adjust based on asset volatility characteristics
+
+## Risk Management
+
+1. **Position Sizing**: Reduce size when volatility confidence is low
+2. **Stop Losses**: Tighter stops in high volatility periods
+3. **Take Profits**: Quicker profit-taking when volatility increases
+4. **Market Hours**: Consider time-based context strategies for optimal trading windows
+
+## Backtesting Recommendations
+
+1. Test different volatility thresholds on historical data
+2. Evaluate performance across various market conditions
+3. Monitor the distribution of context confidence levels
+4. Analyze signal quality vs. market volatility correlation
+5. Compare performance with and without volatility filtering