319 lines
8.4 KiB
Markdown
319 lines
8.4 KiB
Markdown
# Phase 1 Data & Filters - Complete Explanation
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## 🎯 What is Phase 1?
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Phase 1 adds **4 critical features** to help you identify the **best trading signals** and **filter out noise** (hedges, rolls, low-quality signals).
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---
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## 📊 Phase 1 Data Fields
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### 1. **Signal Tier Classification** (`signal_tier`)
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**What it does:** Classifies every signal into one of three tiers based on quality.
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**Values:**
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- **`TIER_1`** 🥇 = **Tradeable alone** (highest quality)
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- **`TIER_2`** 🥈 = **Needs confirmation** (wait 10-30 minutes, might become Tier-1)
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- **`IGNORE`** 🚫 = **Don't trade** (noise, hedges, or low quality)
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**How it works:**
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```
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TIER_1 = 🟢/🔴 + 💎 + ⭐ + premium > $500K + direction aligned
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TIER_2 = 🟢 + 💎 (no ⭐) OR ⭐ without 💎
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IGNORE = OTM-only, mixed signals, low volume/OI ratio
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```
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**Why it matters:**
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- **Tier-1 signals** are institutions positioning (not hedging)
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- **Tier-2 signals** often become Tier-1 later
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- **Ignore signals** are likely hedges/rolls - don't waste time on them
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---
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### 2. **Price Reaction Tracking** (`price_reaction_5m_pct`, `flow_led_to_move`)
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**What it does:** Tracks how price moves **AFTER** the signal appears.
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**Fields:**
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- `price_reaction_5m_pct` = Price change 5 minutes after signal (%)
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- `price_reaction_15m_pct` = Price change 15 minutes after signal (%)
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- `flow_led_to_move` = Boolean: Did flow lead to >0.5% price move?
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**How it works:**
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```
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Signal appears at 10:00 AM → Price = $100
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5 minutes later (10:05 AM) → Price = $101.25
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price_reaction_5m_pct = +1.25%
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If |price_reaction_5m_pct| > 0.5% → flow_led_to_move = true
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```
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**Why it matters:**
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- **Flow WITH price reaction** = Real positioning (trade it!)
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- **Flow WITHOUT price reaction** = Hedge or roll (ignore it!)
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**Example:**
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- Signal shows 🟢💎⭐ with $1M premium
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- But price doesn't move → It's a hedge, not real positioning
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- Filter it out!
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---
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### 3. **VWAP Integration** (`vwap_at_signal`, `price_vs_vwap_pct`)
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**What it does:** Calculates VWAP (Volume Weighted Average Price) and shows distance from it.
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**Fields:**
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- `vwap_at_signal` = VWAP value at signal time
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- `price_vs_vwap_pct` = Percentage distance from VWAP
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**How it works:**
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```
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VWAP = Average price weighted by volume (from 9:30 AM to signal time)
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price_vs_vwap_pct = ((Current Price - VWAP) / VWAP) * 100
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Example:
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- VWAP = $100
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- Current Price = $101
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- price_vs_vwap_pct = +1.0%
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```
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**Why it matters:**
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- **Price near VWAP** = Good entry opportunity
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- **Price far from VWAP** (>2%) = Wait for pullback
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- **VWAP pullback/reclaim** = Best entry strategy
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**Trading Logic:**
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- ✅ **Best entry:** VWAP pullback or VWAP reclaim
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- ✅ **Good entry:** Break & hold above prior high
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- ❌ **Avoid:** Chasing vertical candles (price too extended)
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---
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### 4. **Trade Checklist** (`checklist_score`, `checklist_passed`)
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**What it does:** Evaluates signals against a 5-point checklist. Requires 4/5 to pass.
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**Checklist Items:**
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1. ✅ Has direction (🟢 or 🔴)
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2. ✅ Has diamond (💎)
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3. ✅ Has star (⭐)
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4. ✅ Price respects VWAP (within ±2%)
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5. ✅ Index confirms (SPY/QQQ alignment - placeholder for Phase 2)
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**Fields:**
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- `checklist_score` = Score out of 5 (0-5)
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- `checklist_passed` = Boolean: True if score >= 4
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- `checklist_details` = Object showing which checks passed/failed
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**How it works:**
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```
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Example:
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✅ Has direction (🟢) = 1 point
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✅ Has diamond (💎) = 1 point
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✅ Has star (⭐) = 1 point
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✅ Price respects VWAP = 1 point
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❌ Index confirms = 0 points (not implemented yet)
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Total: 4/5 → checklist_passed = true
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```
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**Why it matters:**
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- **Prevents bad trades** - Only trade signals that pass 4/5 checks
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- **Quality filter** - Ensures multiple conditions are met
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- **Reduces false signals** - Filters out incomplete setups
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---
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## 🔍 Phase 1 Filters
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### Filter 1: **🥇 Tier-1 Only**
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**What it does:** Shows only Tier-1 signals (highest quality, tradeable alone).
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**When to use:**
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- When you want **only the best signals**
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- When you're **short on time** - focus on Tier-1 only
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- When you want **institutional positioning** (not hedges)
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**What it filters:**
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- ✅ Shows: Tier-1 signals only
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- ❌ Hides: Tier-2 and Ignore signals
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**Example:**
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```
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Without filter: 50 signals (10 Tier-1, 20 Tier-2, 20 Ignore)
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With filter: 10 signals (only Tier-1)
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```
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---
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### Filter 2: **✅ Checklist Passed**
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**What it does:** Shows only signals that passed the 4/5 checklist.
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**When to use:**
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- When you want **validated trades** only
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- When you want to **avoid incomplete setups**
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- When you want **multiple confirmations**
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**What it filters:**
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- ✅ Shows: Signals with checklist_score >= 4
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- ❌ Hides: Signals with checklist_score < 4
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**Example:**
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```
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Without filter: 50 signals (30 passed, 20 failed)
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With filter: 30 signals (only passed)
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```
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---
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### Filter 3: **📈 Flow Led to Move**
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**What it does:** Shows only signals where flow led to actual price movement (>0.5%).
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**When to use:**
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- When you want **real positioning** (not hedges)
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- When you want to **filter out noise**
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- When you want **signals that actually moved price**
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**What it filters:**
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- ✅ Shows: Signals where price moved >0.5% after signal
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- ❌ Hides: Signals where price didn't move (likely hedges/rolls)
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**Example:**
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```
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Without filter: 50 signals (20 moved price, 30 didn't)
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With filter: 20 signals (only ones that moved price)
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```
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---
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## 🎯 Combined Filter Strategy
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### Best Signals (All 3 Filters ON):
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```
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🥇 Tier-1 Only + ✅ Checklist Passed + 📈 Flow Led to Move
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Result: Only the highest quality signals that:
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- Are Tier-1 (tradeable alone)
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- Passed 4/5 checklist
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- Led to actual price movement
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Example: 50 signals → 5 signals (only the best!)
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```
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### Conservative Strategy:
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```
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🥇 Tier-1 Only + ✅ Checklist Passed
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Result: High-quality validated signals
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(Even if price hasn't moved yet - might be early)
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```
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### Aggressive Strategy:
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```
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📈 Flow Led to Move
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Result: Any signal that moved price
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(Includes Tier-2 if they moved price)
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```
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---
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## 📈 Real-World Example
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### Scenario: You see a signal
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**Signal Details:**
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- Symbol: AAPL
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- Badges: 🟢💎⭐
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- Premium: $750K
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- Time: 10:00 AM
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- Price: $150
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**Phase 1 Data:**
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- `signal_tier` = `TIER_1` ✅
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- `checklist_score` = `4` ✅
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- `checklist_passed` = `true` ✅
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- `price_reaction_5m_pct` = `+1.2%` ✅
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- `flow_led_to_move` = `true` ✅
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- `vwap_at_signal` = `$149.50`
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- `price_vs_vwap_pct` = `+0.33%` ✅
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**Analysis:**
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- ✅ Tier-1 signal (highest quality)
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- ✅ Passed checklist (4/5)
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- ✅ Flow led to price move (+1.2% in 5 minutes)
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- ✅ Price near VWAP (good entry)
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**Decision:** **TRADE IT!** This is a high-quality signal with multiple confirmations.
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---
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### Scenario: Another signal
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**Signal Details:**
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- Symbol: MSFT
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- Badges: 🟢💎 (no ⭐)
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- Premium: $200K
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- Time: 11:00 AM
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- Price: $300
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**Phase 1 Data:**
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- `signal_tier` = `TIER_2` ⚠️
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- `checklist_score` = `3` ❌
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- `checklist_passed` = `false` ❌
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- `price_reaction_5m_pct` = `+0.1%` ❌
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- `flow_led_to_move` = `false` ❌
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- `vwap_at_signal` = `$299.50`
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- `price_vs_vwap_pct` = `+0.17%`
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**Analysis:**
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- ⚠️ Tier-2 signal (needs confirmation)
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- ❌ Failed checklist (3/5)
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- ❌ Flow didn't lead to price move (only +0.1%)
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- ✅ Price near VWAP
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**Decision:** **WAIT or IGNORE** - Not enough confirmations, price didn't react.
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---
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## 🎯 Summary
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### Phase 1 Data Helps You:
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1. **Identify quality** - Tier-1 vs Tier-2 vs Ignore
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2. **Filter hedges** - Flow without price reaction = hedge
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3. **Find entries** - VWAP distance shows entry opportunities
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4. **Validate trades** - Checklist ensures multiple conditions met
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### Phase 1 Filters Help You:
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1. **Focus on best signals** - Tier-1 only
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2. **Avoid bad trades** - Checklist passed only
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3. **Filter noise** - Flow led to move only
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### The Goal:
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**Trade only the highest quality signals that:**
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- Are Tier-1 (institutional positioning)
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- Passed checklist (multiple confirmations)
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- Led to price movement (real positioning, not hedge)
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**Result:** Higher win rate, fewer false signals, better entries!
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---
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## 💡 Pro Tips
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1. **Start with all 3 filters ON** - See only the best signals
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2. **If no results, turn off one filter** - Gradually relax criteria
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3. **Check VWAP distance** - Best entries are near VWAP
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4. **Monitor price reaction** - If flow doesn't move price, it's likely a hedge
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5. **Use Tier-2 as watchlist** - They often become Tier-1 later
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---
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**Remember:** Phase 1 is about **quality over quantity**. Better to trade 5 great signals than 50 mediocre ones!
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