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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:
Mo Hussain
2026-02-16 16:54:47 -05:00
parent 3fdf7fb95b
commit 6325c091a0
23 changed files with 6790 additions and 0 deletions
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tests/NT8.Core.Tests/Intelligence/RegimeDetectionTests.cs Normal file
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using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using NT8.Core.Common.Models;
using NT8.Core.Intelligence;
using NT8.Core.Logging;
namespace NT8.Core.Tests.Intelligence
{
[TestClass]
public class RegimeDetectionTests
{
[TestMethod]
public void VolatilityDetector_ClassifiesLow()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 0.5, 1.0);
Assert.AreEqual(VolatilityRegime.Low, regime);
}
[TestMethod]
public void VolatilityDetector_ClassifiesBelowNormal()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 0.7, 1.0);
Assert.AreEqual(VolatilityRegime.BelowNormal, regime);
}
[TestMethod]
public void VolatilityDetector_ClassifiesNormal()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 1.0, 1.0);
Assert.AreEqual(VolatilityRegime.Normal, regime);
}
[TestMethod]
public void VolatilityDetector_ClassifiesElevated()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 1.3, 1.0);
Assert.AreEqual(VolatilityRegime.Elevated, regime);
}
[TestMethod]
public void VolatilityDetector_ClassifiesHigh()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 1.7, 1.0);
Assert.AreEqual(VolatilityRegime.High, regime);
}
[TestMethod]
public void VolatilityDetector_ClassifiesExtreme()
{
var detector = CreateVolDetector();
var regime = detector.DetectRegime("ES", 2.2, 1.0);
Assert.AreEqual(VolatilityRegime.Extreme, regime);
}
[TestMethod]
public void VolatilityDetector_CalculateScore_ReturnsRatio()
{
var detector = CreateVolDetector();
var score = detector.CalculateVolatilityScore(1.5, 1.0);
Assert.AreEqual(1.5, score, 0.000001);
}
[TestMethod]
public void VolatilityDetector_TransitionHistory_TracksChanges()
{
var detector = CreateVolDetector();
detector.DetectRegime("NQ", 1.0, 1.0);
detector.DetectRegime("NQ", 2.3, 1.0);
var transitions = detector.GetTransitions("NQ");
Assert.IsTrue(transitions.Count >= 1);
Assert.AreEqual("NQ", transitions[0].Symbol);
}
[TestMethod]
public void VolatilityDetector_GetCurrentRegime_Unknown_ReturnsNormal()
{
var detector = CreateVolDetector();
var regime = detector.GetCurrentRegime("GC");
Assert.AreEqual(VolatilityRegime.Normal, regime);
}
[TestMethod]
public void TrendDetector_DetectsStrongUp()
{
var detector = CreateTrendDetector();
var bars = BuildUptrendBars(12, 5000.0, 2.0);
var regime = detector.DetectTrend("ES", bars, 4995.0);
Assert.IsTrue(regime == TrendRegime.StrongUp || regime == TrendRegime.WeakUp);
}
[TestMethod]
public void TrendDetector_DetectsStrongDown()
{
var detector = CreateTrendDetector();
var bars = BuildDowntrendBars(12, 5000.0, 2.0);
var regime = detector.DetectTrend("ES", bars, 5005.0);
Assert.IsTrue(regime == TrendRegime.StrongDown || regime == TrendRegime.WeakDown);
}
[TestMethod]
public void TrendDetector_CalculateStrength_UptrendPositive()
{
var detector = CreateTrendDetector();
var bars = BuildUptrendBars(10, 100.0, 1.0);
var strength = detector.CalculateTrendStrength(bars, 95.0);
Assert.IsTrue(strength > 0.0);
}
[TestMethod]
public void TrendDetector_CalculateStrength_DowntrendNegative()
{
var detector = CreateTrendDetector();
var bars = BuildDowntrendBars(10, 100.0, 1.0);
var strength = detector.CalculateTrendStrength(bars, 105.0);
Assert.IsTrue(strength < 0.0);
}
[TestMethod]
public void TrendDetector_IsRanging_FlatBars_True()
{
var detector = CreateTrendDetector();
var bars = BuildRangeBars(10, 100.0, 0.1);
var ranging = detector.IsRanging(bars, 0.2);
Assert.IsTrue(ranging);
}
[TestMethod]
public void TrendDetector_AssessTrendQuality_GoodStructure_ReturnsNotPoor()
{
var detector = CreateTrendDetector();
var bars = BuildUptrendBars(12, 100.0, 0.8);
var quality = detector.AssessTrendQuality(bars);
Assert.IsTrue(quality == TrendQuality.Fair || quality == TrendQuality.Good || quality == TrendQuality.Excellent);
}
[TestMethod]
public void RegimeManager_UpdateAndGetCurrentRegime_ReturnsState()
{
var manager = CreateRegimeManager();
var bar = CreateBar("ES", 5000, 5004, 4998, 5002, 1000);
manager.UpdateRegime("ES", bar, 5000.0, 1.0, 1.0);
var state = manager.GetCurrentRegime("ES");
Assert.IsNotNull(state);
Assert.AreEqual("ES", state.Symbol);
}
[TestMethod]
public void RegimeManager_ShouldAdjustStrategy_ExtremeVolatility_True()
{
var manager = CreateRegimeManager();
var bars = BuildUptrendBars(6, 5000.0, 1.0);
for (var i = 0; i < bars.Count; i++)
{
manager.UpdateRegime("ES", bars[i], 5000.0, 2.5, 1.0);
}
var intent = CreateIntent(OrderSide.Buy);
var shouldAdjust = manager.ShouldAdjustStrategy("ES", intent);
Assert.IsTrue(shouldAdjust);
}
[TestMethod]
public void RegimeManager_TransitionsRecorded_WhenRegimeChanges()
{
var manager = CreateRegimeManager();
var bars = BuildUptrendBars(6, 5000.0, 1.0);
for (var i = 0; i < bars.Count; i++)
{
manager.UpdateRegime("NQ", bars[i], 5000.0, 1.0, 1.0);
}
manager.UpdateRegime("NQ", CreateBar("NQ", 5000, 5001, 4990, 4991, 1500), 5000.0, 2.3, 1.0);
var transitions = manager.GetRecentTransitions("NQ", TimeSpan.FromHours(2));
Assert.IsTrue(transitions.Count >= 1);
}
private static VolatilityRegimeDetector CreateVolDetector()
{
return new VolatilityRegimeDetector(new BasicLogger("RegimeDetectionTests"), 50);
}
private static TrendRegimeDetector CreateTrendDetector()
{
return new TrendRegimeDetector(new BasicLogger("RegimeDetectionTests"));
}
private static RegimeManager CreateRegimeManager()
{
var logger = new BasicLogger("RegimeManagerTests");
var vol = new VolatilityRegimeDetector(logger, 50);
var trend = new TrendRegimeDetector(logger);
return new RegimeManager(logger, vol, trend, 200, 100);
}
private static List<BarData> BuildUptrendBars(int count, double start, double step)
{
var result = new List<BarData>();
var time = DateTime.UtcNow.AddMinutes(-count);
for (var i = 0; i < count; i++)
{
var close = start + (i * step);
result.Add(new BarData("ES", time.AddMinutes(i), close - 1.0, close + 1.0, close - 2.0, close, 1000 + i, TimeSpan.FromMinutes(1)));
}
return result;
}
private static List<BarData> BuildDowntrendBars(int count, double start, double step)
{
var result = new List<BarData>();
var time = DateTime.UtcNow.AddMinutes(-count);
for (var i = 0; i < count; i++)
{
var close = start - (i * step);
result.Add(new BarData("ES", time.AddMinutes(i), close + 1.0, close + 2.0, close - 1.0, close, 1000 + i, TimeSpan.FromMinutes(1)));
}
return result;
}
private static List<BarData> BuildRangeBars(int count, double center, double amplitude)
{
var result = new List<BarData>();
var time = DateTime.UtcNow.AddMinutes(-count);
for (var i = 0; i < count; i++)
{
var close = center + ((i % 2 == 0) ? amplitude : -amplitude);
result.Add(new BarData("ES", time.AddMinutes(i), close - 0.05, close + 0.10, close - 0.10, close, 800 + i, TimeSpan.FromMinutes(1)));
}
return result;
}
private static BarData CreateBar(string symbol, double open, double high, double low, double close, long volume)
{
return new BarData(symbol, DateTime.UtcNow, open, high, low, close, volume, TimeSpan.FromMinutes(1));
}
private static StrategyIntent CreateIntent(OrderSide side)
{
return new StrategyIntent(
"ES",
side,
OrderType.Market,
null,
8,
16,
0.8,
"Test",
new Dictionary<string, object>());
}
}
}