Implement session-specific confidence thresholds (NY Fine-Tuning)
FEATURE: Session-Specific Confidence Thresholds - Asian: >=95% Confidence (unchanged, 97.8% WR) - NY: >=97% Confidence (NEW, improves WR from 43.3% to 56.5%!) - London/Overlap: Blocked (as before) EXPECTED IMPACT: - Eliminates 7 poor NY trades (all <97% confidence) - NY Win-Rate: 43.3% → 56.5% (+13.2 pp) - NY Profit: $1,418 → $1,655 (+$237) - Total Profit: $8,306 → $8,598 (+$292) - Overall Win-Rate: 67.8% → ~71% IMPLEMENTATION: 1. session_filter_patch.py - Added session_confidence_thresholds config - New function: get_session_confidence_threshold() - New function: is_confidence_sufficient() 2. session_confidence_filter.py (NEW) - Wrapper for execute_trade_v2_adaptive - Session-specific confidence checks - Test suite (6/6 tests passed ✅) 3. analyze_ny_session.py (NEW) - Detailed NY session analysis - Simulations for different thresholds - Data shows 97-98% trades had 100% WR TESTING: All 6 test cases passed: - Asian 96%: ALLOWED ✅ - Asian 94%: BLOCKED ✅ - NY 98%: ALLOWED ✅ - NY 96%: BLOCKED ✅ - London 99%: BLOCKED ✅ - Overlap 99%: BLOCKED ✅ NEXT STEPS: 1. Integrate wrapper into notebook 2. Restart kernel 3. Monitor for 1 week 4. Review performance improvement FILES: - session_filter_patch.py: Updated config + new functions - session_confidence_filter.py: Wrapper implementation - analyze_ny_session.py: Analysis tool - NY_SESSION_FINETUNING.md: Complete documentation
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@@ -20,14 +20,22 @@ PERFORMANCE-IMPACT:
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SESSION_WHITELIST_CONFIG = {
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# Welche Sessions erlauben?
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'enabled_sessions': {
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'asian': True, # ❌ DEAKTIVIERT: +$202, aber nur 30.2% Win-Rate
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'london': False, # ❌ DEAKTIVIERT: +$79, aber nur 30.8% Win-Rate
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'overlap': False, # ❌ DEAKTIVIERT: -$208 kumuliert (2 Wochen), 27.3% Win-Rate
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'ny': True, # ✅ NUR NY AKTIV: +$660, 47.6% Win-Rate (BESTE!)
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'asian': True, # ✅ BESTE SESSION: 97.8% Win-Rate, $151/Trade
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'london': False, # ❌ BLOCKIERT: 12.5% Win-Rate, -$10/Trade
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'overlap': False, # ❌ BLOCKIERT: 14.3% Win-Rate, -$7/Trade
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'ny': True, # ✅ AKTIV: 43.3% Win-Rate, aber profitabel ($48/Trade)
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},
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# Session-spezifische Confidence Thresholds (NEU 26.12.2025)
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'session_confidence_thresholds': {
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'asian': 95, # Asian: >=95% OK (läuft perfekt mit 97.8% WR)
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'ny': 97, # NY: >=97% benötigt (verbessert WR von 43% auf 56.5%!)
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'london': 95, # London: blockiert, Threshold irrelevant
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'overlap': 95, # Overlap: blockiert, Threshold irrelevant
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},
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# Trading Parameter
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'base_confidence': 70, # 🎯 CONFIDENCE THRESHOLD (60=relaxed, 70=balanced, 75=konservativ, 80=sehr strikt)
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'base_confidence': 95, # 🎯 GLOBAL THRESHOLD (Minimum für alle Sessions)
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'atr_mult': 1.5, # ATR Multiplikator für SL/TP
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'max_risk_per_trade': 0.02, # Max Risk pro Trade (2%) - Erhöht am 20.12.2025 für Adaptive Sizing
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'min_atr': 0.0008, # Minimum ATR für Risk Filter
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@@ -36,21 +44,53 @@ SESSION_WHITELIST_CONFIG = {
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'risk_filter': True, # ATR-basierter Risk Filter
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'use_pullback_entry': False, # Pullback Entry Strategie
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# Alternativ: Aggressive Mode (nur NY)
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'aggressive_mode': False, # ⚠️ Nicht nötig - already configured via enabled_sessions
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# Alternativ: Conservative Mode (NY + Overlap + London)
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'conservative_mode': False, # ⚠️ Nicht aktiv
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# Debug-Modus
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'debug': True,
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}
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# ==========================================
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# SESSION FILTER FUNCTION
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# SESSION FILTER FUNCTIONS
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# ==========================================
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def get_session_confidence_threshold(session_name, config=SESSION_WHITELIST_CONFIG):
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"""
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Holt den session-spezifischen Confidence Threshold
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Args:
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session_name: 'asian', 'london', 'overlap', 'ny'
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config: Configuration Dictionary
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Returns:
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int: Minimum confidence threshold für diese Session
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"""
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thresholds = config.get('session_confidence_thresholds', {})
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return thresholds.get(session_name, config.get('base_confidence', 95))
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def is_confidence_sufficient(session_name, confidence, config=SESSION_WHITELIST_CONFIG):
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"""
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Prüft ob Confidence für diese Session ausreichend ist
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Args:
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session_name: 'asian', 'london', 'overlap', 'ny'
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confidence: Signal Confidence (0-100)
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config: Configuration Dictionary
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Returns:
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(sufficient: bool, reason: str)
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"""
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required = get_session_confidence_threshold(session_name, config)
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sufficient = confidence >= required
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if not sufficient:
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reason = f"{session_name.upper()} requires >={required}% confidence (got {confidence:.1f}%)"
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else:
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reason = f"Confidence {confidence:.1f}% >= {required}% for {session_name.upper()}"
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return sufficient, reason
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def is_session_allowed(session_name, config=SESSION_WHITELIST_CONFIG):
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"""
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Prüft ob Trading in aktueller Session erlaubt ist
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@@ -63,36 +103,25 @@ def is_session_allowed(session_name, config=SESSION_WHITELIST_CONFIG):
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(allowed: bool, reason: str)
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"""
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# Aggressive Mode: Nur NY
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if config['aggressive_mode']:
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allowed = session_name == 'ny'
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reason = f"Aggressive Mode: Only NY session" if not allowed else "NY session - best performance"
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return allowed, reason
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# Conservative Mode: Alle außer Asian
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if config['conservative_mode']:
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allowed = session_name != 'asian'
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reason = f"Conservative Mode: Asian disabled" if not allowed else f"{session_name.upper()} session allowed"
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return allowed, reason
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# Standard: Whitelist-basiert
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allowed = config['enabled_sessions'].get(session_name, False)
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if not allowed:
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reasons = {
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'asian': "Session blocked: Asian has -$199 loss, 25.6% win-rate",
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'london': "Session blocked: London is break-even, 29.6% win-rate",
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'overlap': "Session blocked: Not in whitelist",
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'ny': "Session blocked: Not in whitelist",
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'asian': "Asian: 97.8% WR but currently disabled",
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'london': "London blocked: 12.5% win-rate, -$10/trade",
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'overlap': "Overlap blocked: 14.3% win-rate, -$7/trade",
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'ny': "NY: 43.3% WR but currently disabled",
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}
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reason = reasons.get(session_name, f"Session {session_name} not in whitelist")
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else:
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performance = {
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'ny': "+$372 profit, 50.0% win-rate (BEST!)",
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'overlap': "+$209 profit, 32.1% win-rate (GOOD)",
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'london': "+$7 profit, 29.6% win-rate (Break-even)",
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'asian': "Asian allowed: 97.8% WR, $151/trade (EXCELLENT!)",
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'ny': "NY allowed: 43.3% WR, $48/trade (needs >=97% conf)",
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'london': "London allowed: 12.5% WR (low)",
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'overlap': "Overlap allowed: 14.3% WR (low)",
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}
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reason = f"{session_name.upper()} allowed: {performance.get(session_name, 'In whitelist')}"
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reason = f"{performance.get(session_name, 'In whitelist')}"
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return allowed, reason
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