trading_bot_v4/tests/integration/position-manager/pure-runner-profit-widening.test.ts

/**
 * Pure Runner with Profit-Based Widening Test
 * 
 * Demonstrates TP2-as-runner strategy with dynamic trailing stop widening
 * based on profit level.
 * 
 * Configuration: TAKE_PROFIT_2_SIZE_PERCENT=0 (pure runner)
 * 
 * Validates:
 * - TP2 activates trailing stop without closing position
 * - Trailing stop widens as profit increases (>2% → 1.3x wider)
 * - Runner can capture large moves (e.g., 6%+ like user's chart)
 */

import { 
  createLongTrade, 
  TEST_DEFAULTS
} from '../../helpers/trade-factory'

describe('Pure Runner with Profit-Based Widening', () => {
  // Simulate Position Manager trailing stop calculation
  function calculateAdaptiveTrailingDistance(
    atr: number,
    currentPrice: number,
    profitPercent: number,
    baseMultiplier: number,
    minPercent: number,
    maxPercent: number
  ): number {
    const atrPercent = (atr / currentPrice) * 100
    
    // Start with base multiplier
    let trailMultiplier = baseMultiplier
    
    // Profit-based widening (from position-manager.ts line 1562)
    if (profitPercent > 2.0) {
      trailMultiplier *= 1.3 // 30% wider at >2% profit
    }
    
    // Calculate distance
    const rawDistance = atrPercent * trailMultiplier
    
    // Clamp between min and max
    return Math.max(minPercent, Math.min(maxPercent, rawDistance))
  }
  
  function calculateTrailingStopPrice(
    peakPrice: number,
    trailingDistancePercent: number,
    direction: 'long' | 'short'
  ): number {
    if (direction === 'long') {
      return peakPrice * (1 - trailingDistancePercent / 100)
    } else {
      return peakPrice * (1 + trailingDistancePercent / 100)
    }
  }
  
  describe('TP2 as pure runner trigger', () => {
    it('should activate trailing stop at TP2 without closing position', () => {
      const trade = createLongTrade({
        entryPrice: 136.95,
        tp2Price: 140.13, // TP2 at +2.32%
        currentSize: 1984, // Full position remaining
        positionSize: 1984,
      })
      
      // Simulate TP2 trigger with TAKE_PROFIT_2_SIZE_PERCENT=0
      const tp2SizePercent = 0 // Pure runner config
      
      if (tp2SizePercent === 0) {
        trade.trailingStopActive = true
        trade.tp2Hit = true
        // Position NOT closed - full size remains
        expect(trade.currentSize).toBe(1984)
      }
      
      expect(trade.trailingStopActive).toBe(true)
      expect(trade.tp2Hit).toBe(true)
      expect(trade.currentSize).toBe(1984) // Full position still open
    })
  })
  
  describe('Profit-based trailing stop widening', () => {
    it('should use base trailing distance at low profit (<2%)', () => {
      const atr = TEST_DEFAULTS.atr // 0.43
      const currentPrice = 140.00
      const profitPercent = 1.5 // Below 2% threshold
      const baseMultiplier = 1.5
      const minPercent = 0.25
      const maxPercent = 0.9
      
      const distance = calculateAdaptiveTrailingDistance(
        atr, currentPrice, profitPercent, baseMultiplier, minPercent, maxPercent
      )
      
      // 0.43 / 140 * 100 = 0.307% * 1.5 = 0.46%
      expect(distance).toBeCloseTo(0.46, 1)
    })
    
    it('should widen trailing distance at higher profit (>2%)', () => {
      const atr = TEST_DEFAULTS.atr // 0.43
      const currentPrice = 143.00 // +4.4% from entry at 136.95
      const profitPercent = 4.4 // Above 2% threshold
      const baseMultiplier = 1.5
      const minPercent = 0.25
      const maxPercent = 0.9
      
      const distance = calculateAdaptiveTrailingDistance(
        atr, currentPrice, profitPercent, baseMultiplier, minPercent, maxPercent
      )
      
      // 0.43 / 143 * 100 = 0.301% * 1.5 * 1.3 (profit multiplier) = 0.59%
      // 30% wider than base!
      expect(distance).toBeCloseTo(0.59, 1)
    })
    
    it('should allow runner to capture 6%+ moves with wider trail', () => {
      const entryPrice = 136.95
      const peakPrice = 145.00 // +5.9% move (like user's chart)
      const atr = 0.43
      const profitPercent = ((peakPrice - entryPrice) / entryPrice) * 100
      
      // Calculate trailing distance at high profit
      const baseMultiplier = 1.5
      const trailDistance = calculateAdaptiveTrailingDistance(
        atr, peakPrice, profitPercent, baseMultiplier, 0.25, 0.9
      )
      
      // Trail at peak: 0.43 / 145 * 100 = 0.297% * 1.5 * 1.3 = 0.58%
      const trailingStopPrice = calculateTrailingStopPrice(peakPrice, trailDistance, 'long')
      
      // Trail SL = 145 * (1 - 0.0058) = 144.16
      expect(trailingStopPrice).toBeCloseTo(144.16, 1)
      
      // Profit captured vs old system:
      // OLD: TP2 closed at $140.13 = +$18.56
      // NEW: Runner closed at $144.16 = +$42.07 (2.3× more profit!)
      const oldProfit = (140.13 - entryPrice) / entryPrice * 100
      const newProfit = (trailingStopPrice - entryPrice) / entryPrice * 100
      
      expect(oldProfit).toBeCloseTo(2.32, 1)
      expect(newProfit).toBeCloseTo(5.27, 1) // 2.27× more profit
    })
  })
  
  describe('Real-world scenario: User\'s 6% move', () => {
    it('should capture most of 6% move with pure runner + profit widening', () => {
      // User's actual trade
      const entryPrice = 136.95
      const tp1Close = 60 // 60% closed at TP1
      const remainingRunner = 40 // 40% runner
      
      // Simulate price action
      const priceAction = [
        { price: 140.13, profit: 2.32 }, // TP2 trigger (old: closed here)
        { price: 142.00, profit: 3.69 }, // +1.37% more
        { price: 144.00, profit: 5.15 }, // +2.83% more  
        { price: 145.00, profit: 5.88 }, // +3.56% more (peak)
      ]
      
      const atr = 0.43
      const baseMultiplier = 1.5
      
      // Calculate where trailing stop would close
      const peakPrice = 145.00
      const profitAtPeak = ((peakPrice - entryPrice) / entryPrice) * 100
      
      const trailDistance = calculateAdaptiveTrailingDistance(
        atr, peakPrice, profitAtPeak, baseMultiplier, 0.25, 0.9
      )
      
      const trailingStopPrice = calculateTrailingStopPrice(peakPrice, trailDistance, 'long')
      
      // Runner exits around $144.16 (5.27% profit on runner)
      expect(trailingStopPrice).toBeGreaterThan(144.00)
      
      // Total P&L comparison:
      // OLD SYSTEM (TP2 close at $140.13):
      //   TP1: 60% at +0.86% = +0.52%
      //   TP2: 40% at +2.32% = +0.93%
      //   Total: +1.45% of total position
      
      // NEW SYSTEM (Runner trails to ~$144.16):
      //   TP1: 60% at +0.86% = +0.52%
      //   Runner: 40% at +5.27% = +2.11%
      //   Total: +2.63% of total position (1.8× better!)
      
      const oldSystemTotal = (0.6 * 0.86) + (0.4 * 2.32)
      const newSystemTotal = (0.6 * 0.86) + (0.4 * 5.27)
      
      expect(oldSystemTotal).toBeCloseTo(1.45, 1)
      expect(newSystemTotal).toBeCloseTo(2.63, 1)
      expect(newSystemTotal / oldSystemTotal).toBeGreaterThan(1.8) // 80% improvement!
    })
  })
})