managing-apps/docs/StrategyCombo-README.md

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:

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)

var signal = TradingBox.GetSignal(candles, strategies, previousSignals);

Advanced Usage (Custom Configuration)

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