Trust RL Model Predictions

Experiment Overview

Context

The trading system had a pattern filter that blocked model signals even when:

1. •The RL model predicted a direction with good confidence
2. •The signal visually crossed the buy/sell threshold on the dashboard
3. •All other gates (capital, risk, etc.) would have passed

Root Problem: The pattern filter used historical win rates (68-71%) to block trades that didn't match predefined geometric patterns (VWAP reversion, momentum continuation). But the RL model was trained on a DIFFERENT objective (P&L, direction accuracy, stop/TP outcomes) and never learned these patterns.

User symptom: "Dashboard shows sell signals past threshold but 'HOLD' under the percentages"

Analysis: What the RL Model Actually Learns

The model is trained with a 6-component reward function:

Observation space (56 features in v2.4): The model sees price action, regime probabilities (12 Markov features), technical indicators (14), calendar effects, multi-window metrics, and account state (P&L %, win rate, drawdown %).

What the model does NOT learn:

• •Historical pattern win rates (VWAP reversion 68%, momentum 71%)
• •Specific geometric pattern requirements
• •External human-defined pattern matching rules

The Conflict

RL Model trained on:     P&L + direction accuracy + stop/TP outcomes
Pattern Filter enforced: Historical pattern win rates (68-71%)

These objectives are DIFFERENT and can CONFLICT.

When they conflict, the pattern filter blocked valid model signals, causing the disconnect between visual signal strength and action status.

Solution: Trust the Model

Remove Pattern Filter

# BEFORE: Pattern filter second-guessed model
should_trade, adjusted_confidence, pattern_name = filter_by_patterns(
    df=df,
    signal_direction=signal,
    confidence=confidence,
    regime_context=regime_context,
    min_pattern_win_rate=0.65
)
if not should_trade:
    return state, {"pattern_rejected": True}

# AFTER: Trust model predictions directly
# Pattern filter REMOVED - RL model predictions are trusted directly
# The model was trained on 53 features including regime, technicals, and calendar.
# Its predictions already incorporate pattern recognition implicitly.

Keep Essential Gates

These gates remain because they check things the model CANNOT learn:

Dashboard Updates

Replaced "Pattern Win Rates" Panel

The useless pattern win rates panel was replaced with RL Model Status:

RL Model Status
---------------
Symbols: 5

✓ READY     2
✗ BLOCKED   1
— HOLD      2

BUY: 1  SELL: 1  HOLD: 3

Avg Confidence: 58.5%

Compacted Account Performance

Reduced height ratio from 0.8 to 0.5, giving more space to the Symbol Signals panel which shows actionable information.

Files Modified

scripts/live_trader.py:
  - Line 51: Removed filter_by_patterns import
  - Lines 146-147: Removed pattern_gate from GateStatus dataclass
  - Line 183: Removed pattern from gates dict
  - Lines 246-253: Removed pattern rejection check
  - Lines 1294-1297: Removed pattern filter logic (was lines 1302-1326)

scripts/monitor_dashboard.py:
  - Line 45: Removed filter_by_patterns import
  - Lines 129-197: Simplified check_gates (removed pattern filter)
  - Lines 536-577: Replaced get_pattern_performance with get_model_metrics
  - Line 988: Changed pattern_stats to model_metrics

alpaca_trading/visualization/dashboard.py:
  - Lines 53-54: Changed height_ratios to [0.5, 1, 1.4] (was [0.8, 1, 1.2])
  - Line 62: Changed ax_patterns to ax_model
  - Lines 99-105: Changed to use plot_model_status
  - Lines 287-342: Replaced plot_pattern_performance with plot_model_status
  - Lines 583-584: Updated clear_all to use ax_model

Failed Attempts (Critical)

Key Insights

When to Trust vs When to Gate

The Model Already Incorporates Patterns

The model sees:

• •12 Markov regime features (volatility, trend, momentum, macro)
• •14 technical indicators (MACD, RSI, Bollinger, etc.)
• •Multi-window price action (20, 50, 100 bar returns/volatility)

Pattern recognition is IMPLICIT in these features. The model learns which combinations predict profitable trades - we don't need to hard-code geometric patterns on top.

Dashboard Should Show Model State, Not Override It

The new "RL Model Status" panel shows:

• •How many symbols are READY vs BLOCKED vs HOLD
• •Signal distribution (BUY/SELL/HOLD counts)
• •Average confidence across symbols

This helps users understand what the model is doing, rather than a misleading pattern win rate that the model wasn't trained on.

References

• •scripts/live_trader.py: Signal processing at lines 1288-1350
• •alpaca_trading/gpu/vectorized_env.py: Reward function at lines 650-750
• •alpaca_trading/gpu/inference_obs_builder.py: 56-feature observation space (v2.4)