trading_bot_v4/tests/integration/position-manager/trailing-stop.test.ts

/**
 * 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
    })
  })
})