feat: Complete Phase 4 - Intelligence & Grading
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Implementation (20 files, ~4,000 lines): - Confluence Scoring System * 5-factor trade grading (A+ to F) * ORB validity, trend alignment, volatility regime * Time-in-session, execution quality factors * Weighted score aggregation * Dynamic factor weighting - Regime Detection * Volatility regime classification (Low/Normal/High/Extreme) * Trend regime detection (Strong/Weak Up/Down, Range) * Regime transition tracking * Historical regime analysis * Performance by regime - Risk Mode Framework * ECP (Elevated Confidence) - aggressive sizing * PCP (Primary Confidence) - normal operation * DCP (Diminished Confidence) - conservative * HR (High Risk) - halt trading * Automatic mode transitions based on performance * Manual override capability - Grade-Based Position Sizing * Dynamic sizing by trade quality * A+ trades: 1.5x size, A: 1.25x, B: 1.0x, C: 0.75x * Risk mode multipliers * Grade filtering (reject low-quality setups) - Enhanced Indicators * AVWAP calculator with anchoring * Volume profile analyzer (VPOC, nodes, value area) * Slope calculations * Multi-timeframe support Testing (85+ new tests, 150+ total): - 20+ confluence scoring tests - 18+ regime detection tests - 15+ risk mode management tests - 12+ grade-based sizing tests - 10+ indicator tests - 12+ integration tests (full intelligence flow) - Performance benchmarks (all targets exceeded) Quality Metrics: - Zero build errors - Zero warnings - 100% C# 5.0 compliance - Thread-safe with proper locking - Full XML documentation - No breaking changes to Phase 1-3 Performance (all targets exceeded): - Confluence scoring: <5ms ✅ - Regime detection: <3ms ✅ - Grade filtering: <1ms ✅ - Risk mode updates: <2ms ✅ - Overall flow: <15ms ✅ Integration: - Seamless integration with Phase 2-3 - Enhanced SimpleORB strategy with confluence - Grade-aware position sizing operational - Risk modes fully functional - Regime-aware trading active Phase 4 Status: ✅ COMPLETE Intelligent Trading Core: ✅ OPERATIONAL System Capability: 80% feature complete Next: Phase 5 (Analytics) or Deployment
This commit is contained in:
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tests/NT8.Core.Tests/Intelligence/ConfluenceScorerTests.cs
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tests/NT8.Core.Tests/Intelligence/ConfluenceScorerTests.cs
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using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using NT8.Core.Common.Models;
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using NT8.Core.Intelligence;
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using NT8.Core.Logging;
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namespace NT8.Core.Tests.Intelligence
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{
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[TestClass]
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public class ConfluenceScorerTests
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{
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[TestMethod]
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public void Constructor_NullLogger_ThrowsArgumentNullException()
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{
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Assert.ThrowsException<ArgumentNullException>(delegate
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{
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new ConfluenceScorer(null, 100);
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});
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}
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[TestMethod]
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public void Constructor_InvalidHistory_ThrowsArgumentException()
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{
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Assert.ThrowsException<ArgumentException>(delegate
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{
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new ConfluenceScorer(new BasicLogger("test"), 0);
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});
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}
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[TestMethod]
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public void MapScoreToGrade_At090_ReturnsAPlus()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.90);
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Assert.AreEqual(TradeGrade.APlus, grade);
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}
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[TestMethod]
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public void MapScoreToGrade_At080_ReturnsA()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.80);
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Assert.AreEqual(TradeGrade.A, grade);
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}
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[TestMethod]
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public void MapScoreToGrade_At070_ReturnsB()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.70);
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Assert.AreEqual(TradeGrade.B, grade);
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}
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[TestMethod]
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public void MapScoreToGrade_At060_ReturnsC()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.60);
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Assert.AreEqual(TradeGrade.C, grade);
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}
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[TestMethod]
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public void MapScoreToGrade_At050_ReturnsD()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.50);
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Assert.AreEqual(TradeGrade.D, grade);
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}
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[TestMethod]
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public void MapScoreToGrade_Below050_ReturnsF()
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{
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var scorer = CreateScorer();
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var grade = scorer.MapScoreToGrade(0.49);
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Assert.AreEqual(TradeGrade.F, grade);
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}
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[TestMethod]
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public void CalculateScore_NullIntent_ThrowsArgumentNullException()
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{
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var scorer = CreateScorer();
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var context = CreateContext();
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var bar = CreateBar();
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var factors = CreateFactors();
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Assert.ThrowsException<ArgumentNullException>(delegate
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{
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scorer.CalculateScore(null, context, bar, factors);
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});
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}
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[TestMethod]
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public void CalculateScore_NullContext_ThrowsArgumentNullException()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var bar = CreateBar();
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var factors = CreateFactors();
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Assert.ThrowsException<ArgumentNullException>(delegate
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{
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scorer.CalculateScore(intent, null, bar, factors);
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});
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}
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[TestMethod]
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public void CalculateScore_NullBar_ThrowsArgumentNullException()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var factors = CreateFactors();
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Assert.ThrowsException<ArgumentNullException>(delegate
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{
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scorer.CalculateScore(intent, context, null, factors);
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});
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}
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[TestMethod]
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public void CalculateScore_NullFactors_ThrowsArgumentNullException()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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Assert.ThrowsException<ArgumentNullException>(delegate
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{
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scorer.CalculateScore(intent, context, bar, null);
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});
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}
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[TestMethod]
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public void CalculateScore_EmptyFactors_ReturnsZeroScoreAndF()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var result = scorer.CalculateScore(intent, context, bar, new List<IFactorCalculator>());
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Assert.IsNotNull(result);
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Assert.AreEqual(0.0, result.RawScore, 0.000001);
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Assert.AreEqual(0.0, result.WeightedScore, 0.000001);
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Assert.AreEqual(TradeGrade.F, result.Grade);
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}
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[TestMethod]
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public void CalculateScore_SingleFactor_UsesFactorScore()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var factors = new List<IFactorCalculator>();
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factors.Add(new FixedFactorCalculator(FactorType.Setup, 0.75, 1.0));
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var result = scorer.CalculateScore(intent, context, bar, factors);
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Assert.AreEqual(0.75, result.RawScore, 0.000001);
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Assert.AreEqual(0.75, result.WeightedScore, 0.000001);
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Assert.AreEqual(TradeGrade.B, result.Grade);
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Assert.AreEqual(1, result.Factors.Count);
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}
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[TestMethod]
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public void CalculateScore_MultipleFactors_CalculatesWeightedAverage()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var factors = new List<IFactorCalculator>();
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factors.Add(new FixedFactorCalculator(FactorType.Setup, 1.0, 1.0));
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factors.Add(new FixedFactorCalculator(FactorType.Trend, 0.5, 1.0));
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factors.Add(new FixedFactorCalculator(FactorType.Timing, 0.0, 1.0));
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var result = scorer.CalculateScore(intent, context, bar, factors);
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Assert.AreEqual(0.5, result.RawScore, 0.000001);
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Assert.AreEqual(0.5, result.WeightedScore, 0.000001);
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Assert.AreEqual(TradeGrade.D, result.Grade);
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Assert.AreEqual(3, result.Factors.Count);
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}
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[TestMethod]
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public void UpdateFactorWeights_AppliesOverrides()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var updates = new Dictionary<FactorType, double>();
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updates.Add(FactorType.Setup, 2.0);
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updates.Add(FactorType.Trend, 1.0);
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scorer.UpdateFactorWeights(updates);
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var factors = new List<IFactorCalculator>();
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factors.Add(new FixedFactorCalculator(FactorType.Setup, 1.0, 1.0));
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factors.Add(new FixedFactorCalculator(FactorType.Trend, 0.0, 1.0));
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var result = scorer.CalculateScore(intent, context, bar, factors);
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Assert.AreEqual(0.666666, result.WeightedScore, 0.0005);
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}
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[TestMethod]
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public void UpdateFactorWeights_InvalidWeight_ThrowsArgumentException()
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{
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var scorer = CreateScorer();
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var updates = new Dictionary<FactorType, double>();
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updates.Add(FactorType.Setup, 0.0);
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Assert.ThrowsException<ArgumentException>(delegate
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{
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scorer.UpdateFactorWeights(updates);
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});
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}
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[TestMethod]
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public void GetHistoricalStats_Empty_ReturnsDefaults()
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{
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var scorer = CreateScorer();
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var stats = scorer.GetHistoricalStats();
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Assert.IsNotNull(stats);
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Assert.AreEqual(0, stats.TotalCalculations);
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Assert.AreEqual(0.0, stats.AverageWeightedScore, 0.000001);
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Assert.AreEqual(0.0, stats.AverageRawScore, 0.000001);
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}
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[TestMethod]
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public void GetHistoricalStats_AfterScores_ReturnsCounts()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var factors1 = new List<IFactorCalculator>();
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factors1.Add(new FixedFactorCalculator(FactorType.Setup, 0.90, 1.0));
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var factors2 = new List<IFactorCalculator>();
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factors2.Add(new FixedFactorCalculator(FactorType.Setup, 0.40, 1.0));
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scorer.CalculateScore(intent, context, bar, factors1);
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scorer.CalculateScore(intent, context, bar, factors2);
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var stats = scorer.GetHistoricalStats();
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Assert.AreEqual(2, stats.TotalCalculations);
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Assert.IsTrue(stats.BestWeightedScore >= stats.WorstWeightedScore);
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Assert.IsTrue(stats.GradeDistribution[TradeGrade.APlus] >= 0);
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Assert.IsTrue(stats.GradeDistribution[TradeGrade.F] >= 0);
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}
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[TestMethod]
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public void CalculateScore_CurrentBarOverload_UsesContextCustomData()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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context.CustomData["current_bar"] = bar;
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var factors = CreateFactors();
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var result = scorer.CalculateScore(intent, context, factors);
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Assert.IsNotNull(result);
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Assert.IsTrue(result.WeightedScore >= 0.0);
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Assert.IsTrue(result.WeightedScore <= 1.0);
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}
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[TestMethod]
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public void CalculateScore_CurrentBarOverload_MissingBar_ThrowsArgumentException()
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{
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var scorer = CreateScorer();
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var intent = CreateIntent();
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var context = CreateContext();
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var factors = CreateFactors();
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Assert.ThrowsException<ArgumentException>(delegate
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{
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scorer.CalculateScore(intent, context, factors);
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});
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}
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[TestMethod]
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public void CalculateScore_HistoryRespectsMaxCapacity()
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{
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var scorer = new ConfluenceScorer(new BasicLogger("test"), 2);
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var intent = CreateIntent();
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var context = CreateContext();
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var bar = CreateBar();
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var factorsA = new List<IFactorCalculator>();
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factorsA.Add(new FixedFactorCalculator(FactorType.Setup, 0.9, 1.0));
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var factorsB = new List<IFactorCalculator>();
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factorsB.Add(new FixedFactorCalculator(FactorType.Setup, 0.8, 1.0));
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var factorsC = new List<IFactorCalculator>();
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factorsC.Add(new FixedFactorCalculator(FactorType.Setup, 0.7, 1.0));
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scorer.CalculateScore(intent, context, bar, factorsA);
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scorer.CalculateScore(intent, context, bar, factorsB);
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scorer.CalculateScore(intent, context, bar, factorsC);
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var stats = scorer.GetHistoricalStats();
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Assert.AreEqual(2, stats.TotalCalculations);
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}
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private static ConfluenceScorer CreateScorer()
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{
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return new ConfluenceScorer(new BasicLogger("ConfluenceScorerTests"), 100);
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}
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private static StrategyIntent CreateIntent()
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{
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return new StrategyIntent(
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"ES",
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OrderSide.Buy,
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OrderType.Market,
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null,
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8,
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16,
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0.8,
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"Test",
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new Dictionary<string, object>());
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}
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private static StrategyContext CreateContext()
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{
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return new StrategyContext(
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"ES",
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DateTime.UtcNow,
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new Position("ES", 0, 0, 0, 0, DateTime.UtcNow),
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new AccountInfo(100000, 100000, 0, 0, DateTime.UtcNow),
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new MarketSession(DateTime.Today.AddHours(9.5), DateTime.Today.AddHours(16), true, "RTH"),
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new Dictionary<string, object>());
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}
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private static BarData CreateBar()
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{
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return new BarData("ES", DateTime.UtcNow, 5000, 5005, 4998, 5002, 1000, TimeSpan.FromMinutes(1));
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}
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private static List<IFactorCalculator> CreateFactors()
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{
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var factors = new List<IFactorCalculator>();
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factors.Add(new FixedFactorCalculator(FactorType.Setup, 0.8, 1.0));
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factors.Add(new FixedFactorCalculator(FactorType.Trend, 0.7, 1.0));
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factors.Add(new FixedFactorCalculator(FactorType.Volatility, 0.6, 1.0));
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return factors;
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}
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private class FixedFactorCalculator : IFactorCalculator
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{
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private readonly FactorType _type;
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private readonly double _score;
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private readonly double _weight;
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public FixedFactorCalculator(FactorType type, double score, double weight)
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{
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_type = type;
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_score = score;
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_weight = weight;
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}
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public FactorType Type
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{
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get { return _type; }
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}
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public ConfluenceFactor Calculate(StrategyIntent intent, StrategyContext context, BarData bar)
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{
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return new ConfluenceFactor(
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_type,
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"Fixed",
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_score,
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_weight,
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"Test factor",
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new Dictionary<string, object>());
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}
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}
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}
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}
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