trading_bot_v4/tests/integration/position-manager/adx-runner-sl.test.ts

/**
 * 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)
    })
  })
})