From 1b6297b1e28822fc9276c11d1a7a2f618b40e81e Mon Sep 17 00:00:00 2001 From: "copilot-swe-agent[bot]" <198982749+Copilot@users.noreply.github.com> Date: Fri, 5 Dec 2025 00:16:50 +0000 Subject: [PATCH] chore: Fix .gitignore - remove test file exclusions, add coverage folder - Removed incorrect exclusion of *.test.ts and *.test.js files - Added coverage/ folder to .gitignore - Removed accidentally committed coverage files Co-authored-by: mindesbunister <32161838+mindesbunister@users.noreply.github.com> --- .gitignore | 9 +- coverage/base.css | 224 ------------- coverage/block-navigation.js | 87 ----- coverage/favicon.png | Bin 445 -> 0 bytes coverage/index.html | 101 ------ coverage/prettify.css | 1 - coverage/prettify.js | 2 - coverage/sort-arrow-sprite.png | Bin 138 -> 0 bytes coverage/sorter.js | 210 ------------ .../position-manager/adx-runner-sl.test.ts | 200 ++++++++++++ .../position-manager/breakeven-sl.test.ts | 155 +++++++++ .../position-manager/decision-helpers.test.ts | 308 ++++++++++++++++++ .../position-manager/edge-cases.test.ts | 241 ++++++++++++++ .../price-verification.test.ts | 197 +++++++++++ .../position-manager/tp1-detection.test.ts | 177 ++++++++++ .../position-manager/trailing-stop.test.ts | 271 +++++++++++++++ 16 files changed, 1552 insertions(+), 631 deletions(-) delete mode 100644 coverage/base.css delete mode 100644 coverage/block-navigation.js delete mode 100644 coverage/favicon.png delete mode 100644 coverage/index.html delete mode 100644 coverage/prettify.css delete mode 100644 coverage/prettify.js delete mode 100644 coverage/sort-arrow-sprite.png delete mode 100644 coverage/sorter.js create mode 100644 tests/integration/position-manager/adx-runner-sl.test.ts create mode 100644 tests/integration/position-manager/breakeven-sl.test.ts create mode 100644 tests/integration/position-manager/decision-helpers.test.ts create mode 100644 tests/integration/position-manager/edge-cases.test.ts create mode 100644 tests/integration/position-manager/price-verification.test.ts create mode 100644 tests/integration/position-manager/tp1-detection.test.ts create mode 100644 tests/integration/position-manager/trailing-stop.test.ts diff --git a/.gitignore b/.gitignore index a5cad6e..95656d6 100644 --- a/.gitignore +++ b/.gitignore @@ -31,12 +31,6 @@ logs/ # Docker .dockerignore -# Test files -*.test.ts -*.test.js -test-*.ts -test-*.js - # Temporary files tmp/ temp/ @@ -45,3 +39,6 @@ temp/ # Build artifacts dist/ .backtester/ + +# Coverage reports +coverage/ diff --git a/coverage/base.css b/coverage/base.css deleted file mode 100644 index f418035..0000000 --- a/coverage/base.css +++ /dev/null @@ -1,224 +0,0 @@ -body, html { - margin:0; 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}; -})(); - -window.addEventListener('load', addSorting); diff --git a/tests/integration/position-manager/adx-runner-sl.test.ts b/tests/integration/position-manager/adx-runner-sl.test.ts new file mode 100644 index 0000000..8e205b3 --- /dev/null +++ b/tests/integration/position-manager/adx-runner-sl.test.ts @@ -0,0 +1,200 @@ +/** + * ADX-Based Runner Stop Loss Tests + * + * Tests for ADX-based runner SL positioning after TP1 (Pitfall #52). + * + * Runner SL tiers based on ADX at entry: + * - ADX < 20: SL at 0% (breakeven) - Weak trend, preserve capital + * - ADX 20-25: SL at -0.3% - Moderate trend, some room + * - ADX > 25: SL at -0.55% - Strong trend, full retracement room + */ + +import { + createLongTrade, + createShortTrade, + TEST_DEFAULTS, + calculateTargetPrice +} from '../../helpers/trade-factory' + +describe('ADX-Based Runner Stop Loss', () => { + // Extract the ADX-based runner SL logic from Position Manager + function calculateRunnerSLPercent(adx: number): number { + if (adx < 20) { + return 0 // Weak trend: breakeven, preserve capital + } else if (adx < 25) { + return -0.3 // Moderate trend: some room + } else { + return -0.55 // Strong trend: full retracement room + } + } + + function calculatePrice( + entryPrice: number, + percent: number, + direction: 'long' | 'short' + ): number { + if (direction === 'long') { + return entryPrice * (1 + percent / 100) + } else { + return entryPrice * (1 - percent / 100) + } + } + + describe('ADX < 20: Weak trend - breakeven SL', () => { + it('should return 0% SL for ADX 15 (weak trend)', () => { + const runnerSlPercent = calculateRunnerSLPercent(15) + expect(runnerSlPercent).toBe(0) + }) + + it('should return 0% SL for ADX 19.9 (boundary)', () => { + const runnerSlPercent = calculateRunnerSLPercent(19.9) + expect(runnerSlPercent).toBe(0) + }) + + it('LONG: should set runner SL at entry price for ADX 18', () => { + const trade = createLongTrade({ adx: 18, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'long') + + expect(runnerSlPercent).toBe(0) + expect(runnerSL).toBe(140.00) // Breakeven + }) + + it('SHORT: should set runner SL at entry price for ADX 18', () => { + const trade = createShortTrade({ adx: 18, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'short') + + expect(runnerSlPercent).toBe(0) + expect(runnerSL).toBe(140.00) // Breakeven + }) + }) + + describe('ADX 20-25: Moderate trend - -0.3% SL', () => { + it('should return -0.3% SL for ADX 20 (boundary)', () => { + const runnerSlPercent = calculateRunnerSLPercent(20) + expect(runnerSlPercent).toBe(-0.3) + }) + + it('should return -0.3% SL for ADX 22', () => { + const runnerSlPercent = calculateRunnerSLPercent(22) + expect(runnerSlPercent).toBe(-0.3) + }) + + it('should return -0.3% SL for ADX 24.9 (boundary)', () => { + const runnerSlPercent = calculateRunnerSLPercent(24.9) + expect(runnerSlPercent).toBe(-0.3) + }) + + it('LONG: should set runner SL at -0.3% below entry for ADX 22', () => { + const trade = createLongTrade({ adx: 22, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'long') + + expect(runnerSlPercent).toBe(-0.3) + expect(runnerSL).toBeCloseTo(139.58, 2) // 140 * (1 - 0.003) = 139.58 + expect(runnerSL).toBeLessThan(trade.entryPrice) + }) + + it('SHORT: should set runner SL at -0.3% above entry for ADX 22', () => { + const trade = createShortTrade({ adx: 22, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'short') + + expect(runnerSlPercent).toBe(-0.3) + expect(runnerSL).toBeCloseTo(140.42, 2) // 140 * (1 + 0.003) = 140.42 + expect(runnerSL).toBeGreaterThan(trade.entryPrice) + }) + }) + + describe('ADX > 25: Strong trend - -0.55% SL', () => { + it('should return -0.55% SL for ADX 25 (boundary)', () => { + const runnerSlPercent = calculateRunnerSLPercent(25) + expect(runnerSlPercent).toBe(-0.55) + }) + + it('should return -0.55% SL for ADX 26.9 (test default)', () => { + const runnerSlPercent = calculateRunnerSLPercent(TEST_DEFAULTS.adx) + expect(runnerSlPercent).toBe(-0.55) + }) + + it('should return -0.55% SL for ADX 35 (very strong)', () => { + const runnerSlPercent = calculateRunnerSLPercent(35) + expect(runnerSlPercent).toBe(-0.55) + }) + + it('LONG: should set runner SL at -0.55% below entry for ADX 26.9', () => { + const trade = createLongTrade({ adx: 26.9, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'long') + + expect(runnerSlPercent).toBe(-0.55) + expect(runnerSL).toBeCloseTo(139.23, 2) // 140 * (1 - 0.0055) = 139.23 + expect(runnerSL).toBeLessThan(trade.entryPrice) + }) + + it('SHORT: should set runner SL at -0.55% above entry for ADX 26.9', () => { + const trade = createShortTrade({ adx: 26.9, entryPrice: 140 }) + const runnerSlPercent = calculateRunnerSLPercent(trade.adxAtEntry!) + const runnerSL = calculatePrice(trade.entryPrice, runnerSlPercent, 'short') + + expect(runnerSlPercent).toBe(-0.55) + expect(runnerSL).toBeCloseTo(140.77, 2) // 140 * (1 + 0.0055) = 140.77 + expect(runnerSL).toBeGreaterThan(trade.entryPrice) + }) + }) + + describe('Missing ADX handling', () => { + it('should default to 0% (breakeven) when ADX is 0', () => { + const runnerSlPercent = calculateRunnerSLPercent(0) + expect(runnerSlPercent).toBe(0) // Conservative default + }) + + it('should handle trades with no ADX data', () => { + // When ADX is undefined, the Position Manager uses 0 as default + // According to the logic: ADX < 20 = 0% SL (breakeven) + const adx = undefined + const adxValue = adx || 0 + const runnerSlPercent = calculateRunnerSLPercent(adxValue) + + // No ADX = 0 = weak trend = breakeven + expect(runnerSlPercent).toBe(0) + }) + }) + + describe('Retracement room validation', () => { + it('LONG ADX 26.9: runner can handle -0.55% retracement without stop', () => { + const entryPrice = 140 + const runnerSL = calculatePrice(entryPrice, -0.55, 'long') + + // Price at -0.4% should NOT hit SL + const priceAt0_4PercentDrop = entryPrice * 0.996 // 139.44 + expect(priceAt0_4PercentDrop).toBeGreaterThan(runnerSL) + + // Price at -0.55% should hit SL + const priceAt0_55PercentDrop = runnerSL + expect(priceAt0_55PercentDrop).toBe(runnerSL) + + // Price at -0.6% should definitely hit SL + const priceAt0_6PercentDrop = entryPrice * 0.994 // 139.16 + expect(priceAt0_6PercentDrop).toBeLessThan(runnerSL) + }) + + it('SHORT ADX 26.9: runner can handle +0.55% retracement without stop', () => { + const entryPrice = 140 + const runnerSL = calculatePrice(entryPrice, -0.55, 'short') + + // Price at +0.4% should NOT hit SL + const priceAt0_4PercentRise = entryPrice * 1.004 // 140.56 + expect(priceAt0_4PercentRise).toBeLessThan(runnerSL) + + // Price at +0.55% should hit SL + const priceAt0_55PercentRise = runnerSL + expect(priceAt0_55PercentRise).toBe(runnerSL) + + // Price at +0.6% should definitely hit SL + const priceAt0_6PercentRise = entryPrice * 1.006 // 140.84 + expect(priceAt0_6PercentRise).toBeGreaterThan(runnerSL) + }) + }) +}) diff --git a/tests/integration/position-manager/breakeven-sl.test.ts b/tests/integration/position-manager/breakeven-sl.test.ts new file mode 100644 index 0000000..3151750 --- /dev/null +++ b/tests/integration/position-manager/breakeven-sl.test.ts @@ -0,0 +1,155 @@ +/** + * Breakeven Stop Loss Tests + * + * Tests for SL movement to breakeven after TP1 hit. + * + * Key behaviors tested: + * - SL moves to entry price (breakeven) after TP1 for LONG + * - SL moves to entry price (breakeven) after TP1 for SHORT + * - CRITICAL (Pitfall #45): Must use DATABASE entry price, not Drift recalculated entry + */ + +import { + createLongTrade, + createShortTrade, + createTradeAfterTP1, + TEST_DEFAULTS, + calculateTargetPrice +} from '../../helpers/trade-factory' + +describe('Breakeven Stop Loss', () => { + // Test the calculatePrice logic extracted from Position Manager + function calculatePrice( + entryPrice: number, + percent: number, + direction: 'long' | 'short' + ): number { + if (direction === 'long') { + return entryPrice * (1 + percent / 100) + } else { + return entryPrice * (1 - percent / 100) + } + } + + describe('LONG positions after TP1', () => { + it('should calculate breakeven SL at entry price for LONG', () => { + const trade = createLongTrade({ entryPrice: 140.00 }) + + // After TP1, SL moves to breakeven (0%) + const breakevenSL = calculatePrice(trade.entryPrice, 0, 'long') + + expect(breakevenSL).toBe(140.00) + }) + + it('should protect 60% profit when runner SL at breakeven', () => { + // After TP1 closes 60%, remaining 40% has SL at entry + const trade = createTradeAfterTP1('long') + + expect(trade.tp1Hit).toBe(true) + expect(trade.slMovedToBreakeven).toBe(true) + expect(trade.stopLossPrice).toBe(TEST_DEFAULTS.entry) + + // Runner size should be 40% of original + expect(trade.currentSize).toBe(TEST_DEFAULTS.positionSize * 0.4) + }) + + it('should use DATABASE entry price, NOT Drift recalculated entry (Pitfall #45)', () => { + // CRITICAL: After partial close, Drift recalculates entry price based on remaining position + // This would give wrong breakeven SL. Must use ORIGINAL entry from database. + + const databaseEntryPrice = 140.00 + const driftRecalculatedEntry = 140.50 // Wrong! Drift adjusts after partial close + + // Correct: Use database entry + const correctBreakevenSL = calculatePrice(databaseEntryPrice, 0, 'long') + expect(correctBreakevenSL).toBe(140.00) + + // Wrong: Using Drift entry would give incorrect SL + const wrongBreakevenSL = calculatePrice(driftRecalculatedEntry, 0, 'long') + expect(wrongBreakevenSL).not.toBe(140.00) + expect(wrongBreakevenSL).toBe(140.50) // This would be wrong! + + // The trade factory correctly uses original entry + const trade = createTradeAfterTP1('long', { entryPrice: databaseEntryPrice }) + expect(trade.entryPrice).toBe(databaseEntryPrice) + expect(trade.stopLossPrice).toBe(databaseEntryPrice) + }) + }) + + describe('SHORT positions after TP1', () => { + it('should calculate breakeven SL at entry price for SHORT', () => { + const trade = createShortTrade({ entryPrice: 140.00 }) + + // After TP1, SL moves to breakeven (0%) + const breakevenSL = calculatePrice(trade.entryPrice, 0, 'short') + + expect(breakevenSL).toBe(140.00) + }) + + it('should protect 60% profit when runner SL at breakeven', () => { + const trade = createTradeAfterTP1('short') + + expect(trade.tp1Hit).toBe(true) + expect(trade.slMovedToBreakeven).toBe(true) + expect(trade.stopLossPrice).toBe(TEST_DEFAULTS.entry) + + // Runner size should be 40% of original + expect(trade.currentSize).toBe(TEST_DEFAULTS.positionSize * 0.4) + }) + + it('should use DATABASE entry price, NOT Drift recalculated entry (Pitfall #45)', () => { + const databaseEntryPrice = 140.00 + const driftRecalculatedEntry = 139.50 // Wrong! Drift adjusts after partial close + + // Correct: Use database entry + const correctBreakevenSL = calculatePrice(databaseEntryPrice, 0, 'short') + expect(correctBreakevenSL).toBe(140.00) + + // Wrong: Using Drift entry would give incorrect SL + const wrongBreakevenSL = calculatePrice(driftRecalculatedEntry, 0, 'short') + expect(wrongBreakevenSL).not.toBe(140.00) + + // The trade factory correctly uses original entry + const trade = createTradeAfterTP1('short', { entryPrice: databaseEntryPrice }) + expect(trade.entryPrice).toBe(databaseEntryPrice) + expect(trade.stopLossPrice).toBe(databaseEntryPrice) + }) + }) + + describe('SL direction verification', () => { + it('LONG: breakeven SL should be BELOW entry when negative %', () => { + const entryPrice = 140.00 + + // For LONG: negative % = lower price = valid SL + const slAt0_3PercentLoss = calculatePrice(entryPrice, -0.3, 'long') + expect(slAt0_3PercentLoss).toBe(139.58) // 140 * (1 - 0.003) + expect(slAt0_3PercentLoss).toBeLessThan(entryPrice) + }) + + it('SHORT: breakeven SL should be ABOVE entry when negative %', () => { + const entryPrice = 140.00 + + // For SHORT: negative % = higher price = valid SL + const slAt0_3PercentLoss = calculatePrice(entryPrice, -0.3, 'short') + expect(slAt0_3PercentLoss).toBe(140.42) // 140 * (1 + 0.003) + expect(slAt0_3PercentLoss).toBeGreaterThan(entryPrice) + }) + + it('should verify SL moves in profitable direction', () => { + const longTrade = createLongTrade({ entryPrice: 140 }) + const shortTrade = createShortTrade({ entryPrice: 140 }) + + // Original SLs are at loss levels + expect(longTrade.stopLossPrice).toBe(TEST_DEFAULTS.long.sl) // Below entry + expect(shortTrade.stopLossPrice).toBe(TEST_DEFAULTS.short.sl) // Above entry + + // After TP1, SLs move to breakeven (entry price) + const longAfterTP1 = createTradeAfterTP1('long') + const shortAfterTP1 = createTradeAfterTP1('short') + + // Both should now be at entry price + expect(longAfterTP1.stopLossPrice).toBe(TEST_DEFAULTS.entry) + expect(shortAfterTP1.stopLossPrice).toBe(TEST_DEFAULTS.entry) + }) + }) +}) diff --git a/tests/integration/position-manager/decision-helpers.test.ts b/tests/integration/position-manager/decision-helpers.test.ts new file mode 100644 index 0000000..daac8cc --- /dev/null +++ b/tests/integration/position-manager/decision-helpers.test.ts @@ -0,0 +1,308 @@ +/** + * Decision Helpers Tests + * + * Tests for all decision helper functions in Position Manager: + * - shouldEmergencyStop() - LONG and SHORT + * - shouldStopLoss() - LONG and SHORT + * - shouldTakeProfit1() - LONG and SHORT + * - shouldTakeProfit2() - LONG and SHORT + */ + +import { + createLongTrade, + createShortTrade, + TEST_DEFAULTS +} from '../../helpers/trade-factory' + +describe('Decision Helpers', () => { + // Extract decision helpers from Position Manager + // These are pure functions that test price against targets + + function shouldEmergencyStop(price: number, trade: { direction: 'long' | 'short', emergencyStopPrice: number }): boolean { + if (trade.direction === 'long') { + return price <= trade.emergencyStopPrice + } else { + return price >= trade.emergencyStopPrice + } + } + + function shouldStopLoss(price: number, trade: { direction: 'long' | 'short', stopLossPrice: number }): boolean { + if (trade.direction === 'long') { + return price <= trade.stopLossPrice + } else { + return price >= trade.stopLossPrice + } + } + + function shouldTakeProfit1(price: number, trade: { direction: 'long' | 'short', tp1Price: number }): boolean { + if (trade.direction === 'long') { + return price >= trade.tp1Price + } else { + return price <= trade.tp1Price + } + } + + function shouldTakeProfit2(price: number, trade: { direction: 'long' | 'short', tp2Price: number }): boolean { + if (trade.direction === 'long') { + return price >= trade.tp2Price + } else { + return price <= trade.tp2Price + } + } + + describe('shouldEmergencyStop()', () => { + describe('LONG positions', () => { + it('should trigger emergency stop when price at -2% (emergency level)', () => { + const trade = createLongTrade({ entryPrice: 140 }) + // Emergency stop at -2% = $137.20 + expect(trade.emergencyStopPrice).toBe(TEST_DEFAULTS.long.emergencySl) + + expect(shouldEmergencyStop(137.20, trade)).toBe(true) + }) + + it('should trigger emergency stop when price below emergency level', () => { + const trade = createLongTrade() + + expect(shouldEmergencyStop(136.00, trade)).toBe(true) // Below emergency + expect(shouldEmergencyStop(135.00, trade)).toBe(true) // Well below + }) + + it('should NOT trigger emergency stop above emergency level', () => { + const trade = createLongTrade() + + expect(shouldEmergencyStop(138.00, trade)).toBe(false) // Above emergency but below SL + expect(shouldEmergencyStop(140.00, trade)).toBe(false) // At entry + expect(shouldEmergencyStop(141.00, trade)).toBe(false) // In profit + }) + }) + + describe('SHORT positions', () => { + it('should trigger emergency stop when price at +2% (emergency level)', () => { + const trade = createShortTrade({ entryPrice: 140 }) + // Emergency stop at +2% = $142.80 + expect(trade.emergencyStopPrice).toBe(TEST_DEFAULTS.short.emergencySl) + + expect(shouldEmergencyStop(142.80, trade)).toBe(true) + }) + + it('should trigger emergency stop when price above emergency level', () => { + const trade = createShortTrade() + + expect(shouldEmergencyStop(143.00, trade)).toBe(true) + expect(shouldEmergencyStop(145.00, trade)).toBe(true) + }) + + it('should NOT trigger emergency stop below emergency level', () => { + const trade = createShortTrade() + + expect(shouldEmergencyStop(142.00, trade)).toBe(false) // Below emergency but at SL + expect(shouldEmergencyStop(140.00, trade)).toBe(false) // At entry + expect(shouldEmergencyStop(138.00, trade)).toBe(false) // In profit + }) + }) + }) + + describe('shouldStopLoss()', () => { + describe('LONG positions', () => { + it('should trigger SL when price at stop loss level', () => { + const trade = createLongTrade({ entryPrice: 140 }) + // SL at -0.92% = $138.71 + expect(trade.stopLossPrice).toBe(TEST_DEFAULTS.long.sl) + + expect(shouldStopLoss(138.71, trade)).toBe(true) + }) + + it('should trigger SL when price below stop loss', () => { + const trade = createLongTrade() + + expect(shouldStopLoss(138.00, trade)).toBe(true) + expect(shouldStopLoss(137.50, trade)).toBe(true) + }) + + it('should NOT trigger SL when price above stop loss', () => { + const trade = createLongTrade() + + expect(shouldStopLoss(139.00, trade)).toBe(false) + expect(shouldStopLoss(140.00, trade)).toBe(false) + expect(shouldStopLoss(141.00, trade)).toBe(false) + }) + + it('should work with adjusted SL (breakeven after TP1)', () => { + const trade = createLongTrade({ + entryPrice: 140, + stopLossPrice: 140.00, // Moved to breakeven + tp1Hit: true + }) + + expect(shouldStopLoss(139.99, trade)).toBe(true) // Just below breakeven + expect(shouldStopLoss(140.00, trade)).toBe(true) // At breakeven + expect(shouldStopLoss(140.01, trade)).toBe(false) // Above breakeven + }) + }) + + describe('SHORT positions', () => { + it('should trigger SL when price at stop loss level', () => { + const trade = createShortTrade({ entryPrice: 140 }) + // SL at +0.92% = $141.29 + expect(trade.stopLossPrice).toBe(TEST_DEFAULTS.short.sl) + + expect(shouldStopLoss(141.29, trade)).toBe(true) + }) + + it('should trigger SL when price above stop loss', () => { + const trade = createShortTrade() + + expect(shouldStopLoss(142.00, trade)).toBe(true) + expect(shouldStopLoss(143.00, trade)).toBe(true) + }) + + it('should NOT trigger SL when price below stop loss', () => { + const trade = createShortTrade() + + expect(shouldStopLoss(141.00, trade)).toBe(false) + expect(shouldStopLoss(140.00, trade)).toBe(false) + expect(shouldStopLoss(138.00, trade)).toBe(false) + }) + + it('should work with adjusted SL (breakeven after TP1)', () => { + const trade = createShortTrade({ + entryPrice: 140, + stopLossPrice: 140.00, // Moved to breakeven + tp1Hit: true + }) + + expect(shouldStopLoss(140.01, trade)).toBe(true) // Just above breakeven + expect(shouldStopLoss(140.00, trade)).toBe(true) // At breakeven + expect(shouldStopLoss(139.99, trade)).toBe(false) // Below breakeven (in profit) + }) + }) + }) + + describe('shouldTakeProfit1()', () => { + describe('LONG positions', () => { + it('should trigger TP1 when price at target', () => { + const trade = createLongTrade({ entryPrice: 140 }) + expect(trade.tp1Price).toBe(TEST_DEFAULTS.long.tp1) + + expect(shouldTakeProfit1(141.20, trade)).toBe(true) + }) + + it('should trigger TP1 when price above target', () => { + const trade = createLongTrade() + + expect(shouldTakeProfit1(141.50, trade)).toBe(true) + expect(shouldTakeProfit1(142.00, trade)).toBe(true) + }) + + it('should NOT trigger TP1 when price below target', () => { + const trade = createLongTrade() + + expect(shouldTakeProfit1(141.00, trade)).toBe(false) + expect(shouldTakeProfit1(140.00, trade)).toBe(false) + expect(shouldTakeProfit1(139.00, trade)).toBe(false) + }) + }) + + describe('SHORT positions', () => { + it('should trigger TP1 when price at target', () => { + const trade = createShortTrade({ entryPrice: 140 }) + expect(trade.tp1Price).toBe(TEST_DEFAULTS.short.tp1) + + expect(shouldTakeProfit1(138.80, trade)).toBe(true) + }) + + it('should trigger TP1 when price below target (better for short)', () => { + const trade = createShortTrade() + + expect(shouldTakeProfit1(138.50, trade)).toBe(true) + expect(shouldTakeProfit1(138.00, trade)).toBe(true) + }) + + it('should NOT trigger TP1 when price above target', () => { + const trade = createShortTrade() + + expect(shouldTakeProfit1(139.00, trade)).toBe(false) + expect(shouldTakeProfit1(140.00, trade)).toBe(false) + expect(shouldTakeProfit1(141.00, trade)).toBe(false) + }) + }) + }) + + describe('shouldTakeProfit2()', () => { + describe('LONG positions', () => { + it('should trigger TP2 when price at target', () => { + const trade = createLongTrade({ entryPrice: 140 }) + expect(trade.tp2Price).toBe(TEST_DEFAULTS.long.tp2) + + expect(shouldTakeProfit2(142.41, trade)).toBe(true) + }) + + it('should trigger TP2 when price above target', () => { + const trade = createLongTrade() + + expect(shouldTakeProfit2(143.00, trade)).toBe(true) + expect(shouldTakeProfit2(145.00, trade)).toBe(true) + }) + + it('should NOT trigger TP2 when price below target', () => { + const trade = createLongTrade() + + expect(shouldTakeProfit2(142.00, trade)).toBe(false) + expect(shouldTakeProfit2(141.00, trade)).toBe(false) + expect(shouldTakeProfit2(140.00, trade)).toBe(false) + }) + }) + + describe('SHORT positions', () => { + it('should trigger TP2 when price at target', () => { + const trade = createShortTrade({ entryPrice: 140 }) + expect(trade.tp2Price).toBe(TEST_DEFAULTS.short.tp2) + + expect(shouldTakeProfit2(137.59, trade)).toBe(true) + }) + + it('should trigger TP2 when price below target (better for short)', () => { + const trade = createShortTrade() + + expect(shouldTakeProfit2(137.00, trade)).toBe(true) + expect(shouldTakeProfit2(135.00, trade)).toBe(true) + }) + + it('should NOT trigger TP2 when price above target', () => { + const trade = createShortTrade() + + expect(shouldTakeProfit2(138.00, trade)).toBe(false) + expect(shouldTakeProfit2(140.00, trade)).toBe(false) + expect(shouldTakeProfit2(141.00, trade)).toBe(false) + }) + }) + }) + + describe('Decision order priority', () => { + it('emergency stop should trigger before regular SL', () => { + const trade = createLongTrade({ entryPrice: 140 }) + const price = 136.00 // Below both emergency and SL + + const emergencyTriggered = shouldEmergencyStop(price, trade) + const slTriggered = shouldStopLoss(price, trade) + + expect(emergencyTriggered).toBe(true) + expect(slTriggered).toBe(true) + // In Position Manager, emergency is checked first (higher priority) + }) + + it('SL should NOT be checked if TP already hit the threshold', () => { + const trade = createLongTrade({ entryPrice: 140 }) + const highPrice = 143.00 // Well above TP1 and TP2 + + const tp1Triggered = shouldTakeProfit1(highPrice, trade) + const tp2Triggered = shouldTakeProfit2(highPrice, trade) + const slTriggered = shouldStopLoss(highPrice, trade) + + expect(tp1Triggered).toBe(true) + expect(tp2Triggered).toBe(true) + expect(slTriggered).toBe(false) + // When price is high, TP triggers but not SL + }) + }) +}) diff --git a/tests/integration/position-manager/edge-cases.test.ts b/tests/integration/position-manager/edge-cases.test.ts new file mode 100644 index 0000000..a7e522d --- /dev/null +++ b/tests/integration/position-manager/edge-cases.test.ts @@ -0,0 +1,241 @@ +/** + * Edge Cases Tests + * + * Tests for edge cases and common pitfalls in Position Manager. + * + * Pitfalls tested: + * - #24: Position.size as tokens, not USD + * - #54: MAE/MFE as percentages, not dollars + * - Phantom trade detection (< 50% expected size) + * - Profit percent calculation for LONG and SHORT + */ + +import { + createLongTrade, + createShortTrade, + TEST_DEFAULTS, + calculateExpectedProfitPercent +} from '../../helpers/trade-factory' + +describe('Edge Cases', () => { + describe('Position.size tokens vs USD (Pitfall #24)', () => { + it('should convert token size to USD correctly', () => { + // Drift SDK returns position.size in BASE ASSET TOKENS (e.g., 12.28 SOL) + // NOT in USD ($1,950) + + const positionSizeTokens = 12.28 // SOL tokens + const currentPrice = 159.12 // Current SOL price + + // CORRECT: Convert tokens to USD + const positionSizeUSD = Math.abs(positionSizeTokens) * currentPrice + expect(positionSizeUSD).toBeCloseTo(1953.59, 0) + + // WRONG: Using tokens directly as USD (off by 159x!) + expect(positionSizeTokens).not.toBe(positionSizeUSD) + }) + + it('should detect TP1 using USD values, not token values', () => { + // Bug: Comparing tokens (12.28) to USD ($1,950) caused false TP1 detection + // 12.28 < 1950 * 0.95 was always true! + + const trackedSizeUSD = 1950 + const positionSizeTokens = 12.28 + const currentPrice = 159.12 + + // WRONG: Direct comparison (would always think 95% was reduced) + const wrongComparison = positionSizeTokens < trackedSizeUSD * 0.95 + expect(wrongComparison).toBe(true) // BUG: False positive! + + // CORRECT: Convert to USD first + const positionSizeUSD = Math.abs(positionSizeTokens) * currentPrice + const correctComparison = positionSizeUSD < trackedSizeUSD * 0.95 + expect(correctComparison).toBe(false) // Position is actually ~100%, not reduced + }) + + it('should calculate size reduction correctly using USD', () => { + const originalSizeUSD = 8000 + const tp1SizePercent = 60 + + // After TP1, 60% closed, 40% remaining + const expectedRemainingUSD = originalSizeUSD * (1 - tp1SizePercent / 100) + expect(expectedRemainingUSD).toBe(3200) + + // Token equivalent at $140/SOL + const tokensRemaining = expectedRemainingUSD / 140 + expect(tokensRemaining).toBeCloseTo(22.86, 1) + + // Verify conversion back to USD + const convertedBackUSD = tokensRemaining * 140 + expect(convertedBackUSD).toBeCloseTo(expectedRemainingUSD, 0) + }) + }) + + describe('Phantom trade detection (< 50% expected size)', () => { + it('should detect phantom when actual size < 50% of expected', () => { + const expectedSizeUSD = 8000 + const actualSizeUSD = 1370 // Only 17% filled + + const sizeRatio = actualSizeUSD / expectedSizeUSD + const isPhantom = sizeRatio < 0.5 + + expect(sizeRatio).toBeCloseTo(0.171, 2) + expect(isPhantom).toBe(true) + }) + + it('should NOT detect phantom when size >= 50%', () => { + const expectedSizeUSD = 8000 + const actualSizeUSD = 4500 // 56% filled + + const sizeRatio = actualSizeUSD / expectedSizeUSD + const isPhantom = sizeRatio < 0.5 + + expect(sizeRatio).toBeCloseTo(0.5625, 2) + expect(isPhantom).toBe(false) + }) + + it('should handle exact 50% boundary', () => { + const expectedSizeUSD = 8000 + const actualSizeUSD = 4000 // Exactly 50% + + const sizeRatio = actualSizeUSD / expectedSizeUSD + const isPhantom = sizeRatio < 0.5 + + expect(sizeRatio).toBe(0.5) + expect(isPhantom).toBe(false) // 50% is acceptable + }) + + it('should NOT flag runner after TP1 as phantom', () => { + // Bug: After TP1, currentSize is 40% of original + // This should NOT be flagged as phantom + + const trade = createLongTrade({ tp1Hit: true }) + trade.currentSize = trade.positionSize * 0.4 // 40% remaining + + // Phantom check should ONLY run on initial position, not after TP1 + const isAfterTP1 = trade.tp1Hit + const sizeRatio = trade.currentSize / trade.positionSize + + // Even though size is <50%, this is NOT a phantom - it's a runner + const isPhantom = !isAfterTP1 && sizeRatio < 0.5 + + expect(isAfterTP1).toBe(true) + expect(sizeRatio).toBe(0.4) + expect(isPhantom).toBe(false) // Correctly NOT flagged as phantom + }) + }) + + describe('MAE/MFE as percentages (Pitfall #54)', () => { + it('should track MFE as percentage, not dollars', () => { + const trade = createLongTrade({ entryPrice: 140 }) + const bestPrice = 141.20 // +0.86% + + // CORRECT: Store as percentage + const mfePercent = ((bestPrice - trade.entryPrice) / trade.entryPrice) * 100 + expect(mfePercent).toBeCloseTo(0.857, 1) + + // Database expects small % values like 0.86, not $68 + expect(mfePercent).toBeLessThan(5) // Sanity check: percentage is small + }) + + it('should track MAE as percentage, not dollars', () => { + const trade = createLongTrade({ entryPrice: 140 }) + const worstPrice = 138.60 // -1% + + // CORRECT: Store as percentage (negative for loss) + const maePercent = ((worstPrice - trade.entryPrice) / trade.entryPrice) * 100 + expect(maePercent).toBeCloseTo(-1.0, 1) + + // MAE should be negative for adverse movement + expect(maePercent).toBeLessThan(0) + }) + + it('should update MFE when profit increases', () => { + const trade = createLongTrade({ entryPrice: 140 }) + trade.maxFavorableExcursion = 0 + + // Price moves to +0.5%, then +1% + const prices = [140.70, 141.40] + + for (const price of prices) { + const profitPercent = ((price - trade.entryPrice) / trade.entryPrice) * 100 + if (profitPercent > trade.maxFavorableExcursion) { + trade.maxFavorableExcursion = profitPercent + trade.maxFavorablePrice = price + } + } + + expect(trade.maxFavorableExcursion).toBeCloseTo(1.0, 1) // +1% + expect(trade.maxFavorablePrice).toBe(141.40) + }) + + it('should update MAE when loss increases', () => { + const trade = createLongTrade({ entryPrice: 140 }) + trade.maxAdverseExcursion = 0 + + // Price moves to -0.3%, then -0.5% + const prices = [139.58, 139.30] + + for (const price of prices) { + const profitPercent = ((price - trade.entryPrice) / trade.entryPrice) * 100 + if (profitPercent < trade.maxAdverseExcursion) { + trade.maxAdverseExcursion = profitPercent + trade.maxAdversePrice = price + } + } + + expect(trade.maxAdverseExcursion).toBeCloseTo(-0.5, 1) // -0.5% + expect(trade.maxAdversePrice).toBe(139.30) + }) + + it('SHORT: should calculate MFE correctly (positive when price drops)', () => { + const trade = createShortTrade({ entryPrice: 140 }) + const bestPrice = 138.60 // -1% = good for SHORT + + // For SHORT, profit when price drops + const mfePercent = ((trade.entryPrice - bestPrice) / trade.entryPrice) * 100 + expect(mfePercent).toBeCloseTo(1.0, 1) // +1% profit for short + expect(mfePercent).toBeGreaterThan(0) + }) + + it('SHORT: should calculate MAE correctly (negative when price rises)', () => { + const trade = createShortTrade({ entryPrice: 140 }) + const worstPrice = 141.40 // +1% = bad for SHORT + + // For SHORT, loss when price rises + const maePercent = ((trade.entryPrice - worstPrice) / trade.entryPrice) * 100 + expect(maePercent).toBeCloseTo(-1.0, 1) // -1% loss for short + expect(maePercent).toBeLessThan(0) + }) + }) + + describe('Profit percent calculation', () => { + it('LONG: positive profit when price increases', () => { + const profit = calculateExpectedProfitPercent(140, 141.20, 'long') + expect(profit).toBeCloseTo(0.857, 1) + expect(profit).toBeGreaterThan(0) + }) + + it('LONG: negative profit when price decreases', () => { + const profit = calculateExpectedProfitPercent(140, 138.80, 'long') + expect(profit).toBeCloseTo(-0.857, 1) + expect(profit).toBeLessThan(0) + }) + + it('SHORT: positive profit when price decreases', () => { + const profit = calculateExpectedProfitPercent(140, 138.80, 'short') + expect(profit).toBeCloseTo(0.857, 1) + expect(profit).toBeGreaterThan(0) + }) + + it('SHORT: negative profit when price increases', () => { + const profit = calculateExpectedProfitPercent(140, 141.20, 'short') + expect(profit).toBeCloseTo(-0.857, 1) + expect(profit).toBeLessThan(0) + }) + + it('should return 0 when price equals entry', () => { + expect(calculateExpectedProfitPercent(140, 140, 'long')).toBe(0) + expect(calculateExpectedProfitPercent(140, 140, 'short')).toBe(0) + }) + }) +}) diff --git a/tests/integration/position-manager/price-verification.test.ts b/tests/integration/position-manager/price-verification.test.ts new file mode 100644 index 0000000..5093a3b --- /dev/null +++ b/tests/integration/position-manager/price-verification.test.ts @@ -0,0 +1,197 @@ +/** + * Price Verification Tests + * + * Tests for price verification before setting TP flags. + * + * Key behaviors tested (Pitfall #43): + * - Verify price reached TP1 before setting tp1Hit flag + * - Require BOTH size reduced AND price at target + * - Use tolerance for price target matching (0.2%) + */ + +import { + createLongTrade, + createShortTrade, + TEST_DEFAULTS +} from '../../helpers/trade-factory' + +describe('Price Verification', () => { + // Extract isPriceAtTarget logic from Position Manager + function isPriceAtTarget(currentPrice: number, targetPrice: number, tolerance: number = 0.002): boolean { + if (!targetPrice || targetPrice === 0) return false + const diff = Math.abs(currentPrice - targetPrice) / targetPrice + return diff <= tolerance + } + + function shouldTakeProfit1(price: number, trade: { direction: 'long' | 'short', tp1Price: number }): boolean { + if (trade.direction === 'long') { + return price >= trade.tp1Price + } else { + return price <= trade.tp1Price + } + } + + describe('TP1 verification before setting flag (Pitfall #43)', () => { + it('LONG: should require BOTH size reduction AND price at TP1', () => { + const trade = createLongTrade({ entryPrice: 140, tp1Price: 141.20 }) + + // Scenario: Size reduced but price NOT at TP1 + const sizeReduced = true + const currentPrice = 140.50 // Below TP1 + const priceAtTP1 = isPriceAtTarget(currentPrice, trade.tp1Price) + + // Should NOT set tp1Hit because price hasn't reached target + const shouldSetTP1 = sizeReduced && priceAtTP1 + expect(shouldSetTP1).toBe(false) + + // This was likely a MANUAL CLOSE, not TP1 + }) + + it('LONG: should allow TP1 when both conditions met', () => { + const trade = createLongTrade({ entryPrice: 140, tp1Price: 141.20 }) + + // Scenario: Size reduced AND price at TP1 + const sizeReduced = true + const currentPrice = 141.20 + const priceAtTP1 = isPriceAtTarget(currentPrice, trade.tp1Price) + + const shouldSetTP1 = sizeReduced && priceAtTP1 + expect(shouldSetTP1).toBe(true) + }) + + it('SHORT: should require BOTH size reduction AND price at TP1', () => { + const trade = createShortTrade({ entryPrice: 140, tp1Price: 138.80 }) + + // Scenario: Size reduced but price NOT at TP1 + const sizeReduced = true + const currentPrice = 139.50 // Above TP1 (short profits when price drops) + const priceAtTP1 = isPriceAtTarget(currentPrice, trade.tp1Price) + + const shouldSetTP1 = sizeReduced && priceAtTP1 + expect(shouldSetTP1).toBe(false) + }) + + it('SHORT: should allow TP1 when both conditions met', () => { + const trade = createShortTrade({ entryPrice: 140, tp1Price: 138.80 }) + + const sizeReduced = true + const currentPrice = 138.80 + const priceAtTP1 = isPriceAtTarget(currentPrice, trade.tp1Price) + + const shouldSetTP1 = sizeReduced && priceAtTP1 + expect(shouldSetTP1).toBe(true) + }) + }) + + describe('isPriceAtTarget tolerance (0.2%)', () => { + it('should return true when price exactly at target', () => { + const result = isPriceAtTarget(141.20, 141.20) + expect(result).toBe(true) + }) + + it('should return true when price within 0.2% of target', () => { + // 0.2% of 141.20 = 0.2824 + // So prices from 140.92 to 141.48 should be "at target" + + expect(isPriceAtTarget(141.10, 141.20)).toBe(true) // -0.07% + expect(isPriceAtTarget(141.30, 141.20)).toBe(true) // +0.07% + expect(isPriceAtTarget(141.00, 141.20)).toBe(true) // -0.14% + expect(isPriceAtTarget(141.40, 141.20)).toBe(true) // +0.14% + }) + + it('should return false when price outside 0.2% tolerance', () => { + // More than 0.2% away should NOT be "at target" + expect(isPriceAtTarget(140.70, 141.20)).toBe(false) // -0.35% + expect(isPriceAtTarget(141.60, 141.20)).toBe(false) // +0.28% + expect(isPriceAtTarget(140.00, 141.20)).toBe(false) // -0.85% + }) + + it('should handle edge case of 0 target price', () => { + const result = isPriceAtTarget(141.20, 0) + expect(result).toBe(false) + }) + + it('should handle custom tolerance', () => { + // Use stricter 0.1% tolerance + expect(isPriceAtTarget(141.10, 141.20, 0.001)).toBe(true) // 0.07% < 0.1% + expect(isPriceAtTarget(141.00, 141.20, 0.001)).toBe(false) // 0.14% > 0.1% + + // Use looser 0.5% tolerance + expect(isPriceAtTarget(140.50, 141.20, 0.005)).toBe(true) // 0.5% = 0.5% + expect(isPriceAtTarget(140.00, 141.20, 0.005)).toBe(false) // 0.85% > 0.5% + }) + }) + + describe('shouldTakeProfit1 with price verification', () => { + it('LONG: combined size + price verification', () => { + const trade = createLongTrade({ + entryPrice: 140, + tp1Price: 141.20, + positionSize: 8000 + }) + + // Simulate Position Manager logic + const originalSize = trade.positionSize + const currentSize = 3200 // After 60% close + const sizeMismatch = currentSize < originalSize * 0.9 + + // Case 1: Price at TP1 + const priceAtTP1 = 141.20 + const priceReachedTP1 = shouldTakeProfit1(priceAtTP1, trade) + expect(sizeMismatch && priceReachedTP1).toBe(true) // Valid TP1 + + // Case 2: Price NOT at TP1 + const priceNotAtTP1 = 140.50 + const priceReachedTP1_2 = shouldTakeProfit1(priceNotAtTP1, trade) + expect(sizeMismatch && priceReachedTP1_2).toBe(false) // Invalid - manual close + }) + + it('SHORT: combined size + price verification', () => { + const trade = createShortTrade({ + entryPrice: 140, + tp1Price: 138.80, + positionSize: 8000 + }) + + const originalSize = trade.positionSize + const currentSize = 3200 + const sizeMismatch = currentSize < originalSize * 0.9 + + // Case 1: Price at TP1 (below entry for short) + const priceAtTP1 = 138.80 + const priceReachedTP1 = shouldTakeProfit1(priceAtTP1, trade) + expect(sizeMismatch && priceReachedTP1).toBe(true) + + // Case 2: Price NOT at TP1 (still above target) + const priceNotAtTP1 = 139.50 + const priceReachedTP1_2 = shouldTakeProfit1(priceNotAtTP1, trade) + expect(sizeMismatch && priceReachedTP1_2).toBe(false) + }) + }) + + describe('TP2 price verification', () => { + function shouldTakeProfit2(price: number, trade: { direction: 'long' | 'short', tp2Price: number }): boolean { + if (trade.direction === 'long') { + return price >= trade.tp2Price + } else { + return price <= trade.tp2Price + } + } + + it('LONG: should detect TP2 at correct price', () => { + const trade = createLongTrade({ tp2Price: 142.41 }) + + expect(shouldTakeProfit2(142.00, trade)).toBe(false) // Below + expect(shouldTakeProfit2(142.41, trade)).toBe(true) // At target + expect(shouldTakeProfit2(143.00, trade)).toBe(true) // Above + }) + + it('SHORT: should detect TP2 at correct price', () => { + const trade = createShortTrade({ tp2Price: 137.59 }) + + expect(shouldTakeProfit2(138.00, trade)).toBe(false) // Above (bad for short) + expect(shouldTakeProfit2(137.59, trade)).toBe(true) // At target + expect(shouldTakeProfit2(137.00, trade)).toBe(true) // Below (better for short) + }) + }) +}) diff --git a/tests/integration/position-manager/tp1-detection.test.ts b/tests/integration/position-manager/tp1-detection.test.ts new file mode 100644 index 0000000..3ea903d --- /dev/null +++ b/tests/integration/position-manager/tp1-detection.test.ts @@ -0,0 +1,177 @@ +/** + * TP1 Detection Tests + * + * Tests for Take Profit 1 detection in Position Manager. + * TP1 is calculated as ATR × 2.0 (typically ~0.86% at ATR 0.43) + * + * Key behaviors tested: + * - LONG: TP1 triggers when price >= tp1Price + * - SHORT: TP1 triggers when price <= tp1Price + * - Must NOT trigger below threshold + * - Must NOT trigger when price moves against position + */ + +import { + createLongTrade, + createShortTrade, + TEST_DEFAULTS, + calculateExpectedProfitPercent +} from '../../helpers/trade-factory' + +describe('TP1 Detection', () => { + // Test the shouldTakeProfit1 logic extracted from Position Manager + // We test the pure calculation logic rather than the full Position Manager + + function shouldTakeProfit1(price: number, trade: { direction: 'long' | 'short', tp1Price: number }): boolean { + if (trade.direction === 'long') { + return price >= trade.tp1Price + } else { + return price <= trade.tp1Price + } + } + + describe('LONG positions', () => { + it('should detect TP1 when price reaches +0.86% (ATR 0.43 × 2.0)', () => { + // Test data: entry $140, TP1 at $141.20 (+0.86%) + const trade = createLongTrade() + + expect(trade.tp1Price).toBe(TEST_DEFAULTS.long.tp1) + + // Price at TP1 should trigger + const result = shouldTakeProfit1(141.20, trade) + expect(result).toBe(true) + + // Verify profit calculation + const profitPercent = calculateExpectedProfitPercent(140, 141.20, 'long') + expect(profitPercent).toBeCloseTo(0.857, 1) // ~0.86% + }) + + it('should detect TP1 when price exceeds tp1Price', () => { + const trade = createLongTrade() + + // Price above TP1 should also trigger + const result = shouldTakeProfit1(142.00, trade) + expect(result).toBe(true) + }) + + it('should NOT detect TP1 when price is below threshold (+0.5%)', () => { + const trade = createLongTrade() + + // Price at +0.5% ($140.70) should NOT trigger TP1 + const result = shouldTakeProfit1(140.70, trade) + expect(result).toBe(false) + + // Verify profit percent is below TP1 threshold + const profitPercent = calculateExpectedProfitPercent(140, 140.70, 'long') + expect(profitPercent).toBeCloseTo(0.5, 2) + expect(profitPercent).toBeLessThan(0.86) + }) + + it('should NOT detect TP1 when price moves against position (negative)', () => { + const trade = createLongTrade() + + // Price drop for LONG should NOT trigger TP1 + const result = shouldTakeProfit1(139.00, trade) + expect(result).toBe(false) + + // Verify this is a loss + const profitPercent = calculateExpectedProfitPercent(140, 139.00, 'long') + expect(profitPercent).toBeLessThan(0) + }) + + it('should NOT detect TP1 at entry price', () => { + const trade = createLongTrade() + + const result = shouldTakeProfit1(140.00, trade) + expect(result).toBe(false) + }) + }) + + describe('SHORT positions', () => { + it('should detect TP1 when price reaches -0.86% (ATR 0.43 × 2.0)', () => { + // Test data: entry $140, TP1 at $138.80 (-0.86%) + const trade = createShortTrade() + + expect(trade.tp1Price).toBe(TEST_DEFAULTS.short.tp1) + + // Price at TP1 should trigger + const result = shouldTakeProfit1(138.80, trade) + expect(result).toBe(true) + + // Verify profit calculation (SHORT profits when price drops) + const profitPercent = calculateExpectedProfitPercent(140, 138.80, 'short') + expect(profitPercent).toBeCloseTo(0.857, 1) // ~0.86% + }) + + it('should detect TP1 when price is below tp1Price', () => { + const trade = createShortTrade() + + // Price below TP1 should also trigger (better for short) + const result = shouldTakeProfit1(138.00, trade) + expect(result).toBe(true) + }) + + it('should NOT detect TP1 when price is above threshold (-0.5%)', () => { + const trade = createShortTrade() + + // Price at -0.5% ($139.30) should NOT trigger TP1 + const result = shouldTakeProfit1(139.30, trade) + expect(result).toBe(false) + + // Verify profit percent is below TP1 threshold + const profitPercent = calculateExpectedProfitPercent(140, 139.30, 'short') + expect(profitPercent).toBeCloseTo(0.5, 2) + expect(profitPercent).toBeLessThan(0.86) + }) + + it('should NOT detect TP1 when price moves against position (rises)', () => { + const trade = createShortTrade() + + // Price rise for SHORT should NOT trigger TP1 + const result = shouldTakeProfit1(141.00, trade) + expect(result).toBe(false) + + // Verify this is a loss for SHORT + const profitPercent = calculateExpectedProfitPercent(140, 141.00, 'short') + expect(profitPercent).toBeLessThan(0) + }) + + it('should NOT detect TP1 at entry price', () => { + const trade = createShortTrade() + + const result = shouldTakeProfit1(140.00, trade) + expect(result).toBe(false) + }) + }) + + describe('Edge cases', () => { + it('should handle exact TP1 price (boundary condition)', () => { + const longTrade = createLongTrade() + const shortTrade = createShortTrade() + + // Exact TP1 price should trigger + expect(shouldTakeProfit1(longTrade.tp1Price, longTrade)).toBe(true) + expect(shouldTakeProfit1(shortTrade.tp1Price, shortTrade)).toBe(true) + }) + + it('should handle custom TP1 prices', () => { + const trade = createLongTrade({ tp1Price: 145.00 }) + + expect(trade.tp1Price).toBe(145.00) + expect(shouldTakeProfit1(144.99, trade)).toBe(false) + expect(shouldTakeProfit1(145.00, trade)).toBe(true) + expect(shouldTakeProfit1(145.01, trade)).toBe(true) + }) + + it('should work with different entry prices', () => { + // ETH-PERP style entry at $3500 + const trade = createLongTrade({ + entryPrice: 3500, + tp1Price: 3530, // +0.86% + }) + + expect(shouldTakeProfit1(3529, trade)).toBe(false) + expect(shouldTakeProfit1(3530, trade)).toBe(true) + }) + }) +}) diff --git a/tests/integration/position-manager/trailing-stop.test.ts b/tests/integration/position-manager/trailing-stop.test.ts new file mode 100644 index 0000000..2506b1c --- /dev/null +++ b/tests/integration/position-manager/trailing-stop.test.ts @@ -0,0 +1,271 @@ +/** + * Trailing Stop Tests + * + * Tests for trailing stop functionality after TP2 trigger. + * + * Key behaviors tested: + * - Trailing stop activates after TP2 trigger + * - Calculate ATR-based trailing distance (1.5x ATR) + * - Update peak price tracking as price moves favorably + * - Trigger exit when price falls below trailing stop + */ + +import { + createLongTrade, + createShortTrade, + createTradeAfterTP2, + TEST_DEFAULTS +} from '../../helpers/trade-factory' + +describe('Trailing Stop', () => { + // Extract trailing stop calculation logic from Position Manager + function calculateTrailingStopPrice( + peakPrice: number, + trailingDistancePercent: number, + direction: 'long' | 'short' + ): number { + if (direction === 'long') { + return peakPrice * (1 - trailingDistancePercent / 100) + } else { + return peakPrice * (1 + trailingDistancePercent / 100) + } + } + + function calculateAtrBasedTrailingDistance( + atr: number, + currentPrice: number, + multiplier: number, + minPercent: number, + maxPercent: number + ): number { + const atrPercent = (atr / currentPrice) * 100 + const rawDistance = atrPercent * multiplier + return Math.max(minPercent, Math.min(maxPercent, rawDistance)) + } + + function shouldStopLoss(price: number, trade: { direction: 'long' | 'short', stopLossPrice: number }): boolean { + if (trade.direction === 'long') { + return price <= trade.stopLossPrice + } else { + return price >= trade.stopLossPrice + } + } + + describe('Trailing stop activation', () => { + it('should activate trailing stop after TP2 trigger', () => { + const trade = createTradeAfterTP2('long') + + expect(trade.tp2Hit).toBe(true) + expect(trade.trailingStopActive).toBe(true) + }) + + it('should NOT have trailing stop before TP2', () => { + const trade = createLongTrade() + + expect(trade.tp2Hit).toBe(false) + expect(trade.trailingStopActive).toBe(false) + }) + + it('should NOT have trailing stop after TP1 only', () => { + const trade = createLongTrade({ tp1Hit: true }) + + expect(trade.tp1Hit).toBe(true) + expect(trade.tp2Hit).toBe(false) + expect(trade.trailingStopActive).toBe(false) + }) + }) + + describe('ATR-based trailing distance calculation', () => { + it('should calculate trailing distance as 1.5x ATR', () => { + // ATR 0.43 at price $140 + const atr = TEST_DEFAULTS.atr + const currentPrice = TEST_DEFAULTS.entry + const multiplier = 1.5 + const minPercent = 0.25 + const maxPercent = 0.9 + + const distance = calculateAtrBasedTrailingDistance( + atr, currentPrice, multiplier, minPercent, maxPercent + ) + + // 0.43 / 140 * 100 = 0.307% * 1.5 = 0.46% + expect(distance).toBeCloseTo(0.46, 1) + }) + + it('should clamp trailing distance to minimum', () => { + // Very low ATR should clamp to min + const atr = 0.1 + const currentPrice = 140 + const multiplier = 1.5 + const minPercent = 0.25 + const maxPercent = 0.9 + + const distance = calculateAtrBasedTrailingDistance( + atr, currentPrice, multiplier, minPercent, maxPercent + ) + + // 0.1 / 140 * 100 = 0.071% * 1.5 = 0.107% < min 0.25% + expect(distance).toBe(minPercent) + }) + + it('should clamp trailing distance to maximum', () => { + // Very high ATR should clamp to max + const atr = 2.0 + const currentPrice = 140 + const multiplier = 1.5 + const minPercent = 0.25 + const maxPercent = 0.9 + + const distance = calculateAtrBasedTrailingDistance( + atr, currentPrice, multiplier, minPercent, maxPercent + ) + + // 2.0 / 140 * 100 = 1.43% * 1.5 = 2.14% > max 0.9% + expect(distance).toBe(maxPercent) + }) + }) + + describe('Peak price tracking', () => { + it('LONG: should update peak price when price increases', () => { + const trade = createTradeAfterTP2('long', { peakPrice: 142.41 }) + + const newHighPrice = 143.00 + + // Simulate peak price update logic + if (newHighPrice > trade.peakPrice) { + trade.peakPrice = newHighPrice + } + + expect(trade.peakPrice).toBe(143.00) + }) + + it('LONG: should NOT update peak price when price decreases', () => { + const trade = createTradeAfterTP2('long', { peakPrice: 142.41 }) + + const lowerPrice = 142.00 + + // Simulate peak price update logic + if (lowerPrice > trade.peakPrice) { + trade.peakPrice = lowerPrice + } + + expect(trade.peakPrice).toBe(142.41) // Unchanged + }) + + it('SHORT: should update peak price when price decreases', () => { + const trade = createTradeAfterTP2('short', { peakPrice: 137.59 }) + + const newLowPrice = 137.00 + + // Simulate peak price update logic (for short, lower is better) + if (newLowPrice < trade.peakPrice) { + trade.peakPrice = newLowPrice + } + + expect(trade.peakPrice).toBe(137.00) + }) + + it('SHORT: should NOT update peak price when price increases', () => { + const trade = createTradeAfterTP2('short', { peakPrice: 137.59 }) + + const higherPrice = 138.00 + + // Simulate peak price update logic + if (higherPrice < trade.peakPrice) { + trade.peakPrice = higherPrice + } + + expect(trade.peakPrice).toBe(137.59) // Unchanged + }) + }) + + describe('Trailing stop trigger', () => { + it('LONG: should trigger when price falls below trailing SL', () => { + const peakPrice = 143.00 + const trailingPercent = 0.46 // ~0.46% trail + const trailingSL = calculateTrailingStopPrice(peakPrice, trailingPercent, 'long') + + // Trail SL = 143 * (1 - 0.0046) = 142.34 + expect(trailingSL).toBeCloseTo(142.34, 1) + + // Price above trail should not trigger + expect(shouldStopLoss(142.50, { direction: 'long', stopLossPrice: trailingSL })).toBe(false) + + // Price at trail should trigger + expect(shouldStopLoss(trailingSL, { direction: 'long', stopLossPrice: trailingSL })).toBe(true) + + // Price below trail should trigger + expect(shouldStopLoss(142.00, { direction: 'long', stopLossPrice: trailingSL })).toBe(true) + }) + + it('SHORT: should trigger when price rises above trailing SL', () => { + const peakPrice = 137.00 + const trailingPercent = 0.46 + const trailingSL = calculateTrailingStopPrice(peakPrice, trailingPercent, 'short') + + // Trail SL = 137 * (1 + 0.0046) = 137.63 + expect(trailingSL).toBeCloseTo(137.63, 1) + + // Price below trail should not trigger + expect(shouldStopLoss(137.30, { direction: 'short', stopLossPrice: trailingSL })).toBe(false) + + // Price at trail should trigger + expect(shouldStopLoss(trailingSL, { direction: 'short', stopLossPrice: trailingSL })).toBe(true) + + // Price above trail should trigger + expect(shouldStopLoss(138.00, { direction: 'short', stopLossPrice: trailingSL })).toBe(true) + }) + + it('LONG: trailing SL should move up but never down', () => { + let currentTrailingSL = 142.00 + const trailingPercent = 0.46 + + // Price rises to 143, new trail = 142.34 + const newTrailingSL1 = calculateTrailingStopPrice(143.00, trailingPercent, 'long') + if (newTrailingSL1 > currentTrailingSL) { + currentTrailingSL = newTrailingSL1 + } + expect(currentTrailingSL).toBeCloseTo(142.34, 1) + + // Price drops to 142.50, trail should NOT move down + const newTrailingSL2 = calculateTrailingStopPrice(142.50, trailingPercent, 'long') + if (newTrailingSL2 > currentTrailingSL) { + currentTrailingSL = newTrailingSL2 + } + expect(currentTrailingSL).toBeCloseTo(142.34, 1) // Unchanged + + // Price rises to 144, trail should move up + const newTrailingSL3 = calculateTrailingStopPrice(144.00, trailingPercent, 'long') + if (newTrailingSL3 > currentTrailingSL) { + currentTrailingSL = newTrailingSL3 + } + expect(currentTrailingSL).toBeCloseTo(143.34, 1) // Moved up + }) + + it('SHORT: trailing SL should move down but never up', () => { + let currentTrailingSL = 138.00 + const trailingPercent = 0.46 + + // Price drops to 137, new trail = 137.63 + const newTrailingSL1 = calculateTrailingStopPrice(137.00, trailingPercent, 'short') + if (newTrailingSL1 < currentTrailingSL) { + currentTrailingSL = newTrailingSL1 + } + expect(currentTrailingSL).toBeCloseTo(137.63, 1) + + // Price rises to 137.50, trail should NOT move up + const newTrailingSL2 = calculateTrailingStopPrice(137.50, trailingPercent, 'short') + if (newTrailingSL2 < currentTrailingSL) { + currentTrailingSL = newTrailingSL2 + } + expect(currentTrailingSL).toBeCloseTo(137.63, 1) // Unchanged + + // Price drops to 136, trail should move down + const newTrailingSL3 = calculateTrailingStopPrice(136.00, trailingPercent, 'short') + if (newTrailingSL3 < currentTrailingSL) { + currentTrailingSL = newTrailingSL3 + } + expect(currentTrailingSL).toBeCloseTo(136.63, 1) // Moved down + }) + }) +})