test: cover 5m target-triggered ratchet

Author: dharmanan

tests/regime-trend-v1-target-triggered-ratchet.test.ts

@@ -0,0 +1,104 @@
+import { describe, expect, it } from "vitest";
+import {
+  applyTargetTriggeredRatchet,
+  TARGET_TRIGGERED_RATCHET_CANDIDATES
+} from "../research/regime-trend-v1/target-triggered-ratchet-tools.mjs";
+
+const FIVE = 5 * 60 * 1000;
+
+function trade(overrides = {}) {
+  return {
+    strategy_id: "regime-trend-v1",
+    implementation_version: "test",
+    dataset_hash: "test",
+    symbol: "TESTUSDT",
+    timeframe: "4h",
+    direction: "long",
+    signal_timestamp: -4 * 60 * 60 * 1000,
+    entry_timestamp: 0,
+    raw_entry_open: 100,
+    entry_fill: 100,
+    entry_atr: 10,
+    initial_stop: 90,
+    exit_timestamp: 3 * FIVE,
+    raw_exit_reference: 100,
+    exit_fill: 99.95,
+    exit_reason: "trend_exit",
+    quantity: 0.01,
+    entry_fee: 0.001,
+    exit_fee: 0.0009995,
+    gross_pnl: -0.0005,
+    net_pnl: -0.0024995,
+    net_return: -0.0024995,
+    bars_held: 0,
+    ...overrides
+  };
+}
+
+function candle(timestamp: number, overrides = {}) {
+  return {
+    timestamp,
+    open: 100,
+    high: 102,
+    low: 98,
+    close: 100,
+    volume: 1,
+    ...overrides
+  };
+}
+
+function map(candles: ReturnType<typeof candle>[]) {
+  return new Map(candles.map((item) => [item.timestamp, item]));
+}
+
+describe("Regime Trend v1 target-triggered ratchet", () => {
+  it("freezes exactly five candidates", () => {
+    expect(TARGET_TRIGGERED_RATCHET_CANDIDATES).toHaveLength(5);
+  });
+
+  it("activates after target touch and applies the floor only on the next 5m candle", () => {
+    const candidate = TARGET_TRIGGERED_RATCHET_CANDIDATES.find((item) => item.id === "touch-1.50-lock-0.00")!;
+    const candles = map([
+      candle(0, { high: 116, low: 95 }),
+      candle(FIVE, { open: 101, high: 102, low: 99 }),
+      candle(2 * FIVE)
+    ]);
+    const result = applyTargetTriggeredRatchet(trade(), [], candles, candidate);
+    expect(result.activated).toBe(true);
+    expect(result.classification).toBe("RATCHET_EXIT");
+    expect(result.timestamp).toBe(FIVE);
+  });
+
+  it("does not retroactively apply a ratchet inside the activation candle", () => {
+    const candidate = TARGET_TRIGGERED_RATCHET_CANDIDATES[0];
+    const candles = map([
+      candle(0, { high: 116, low: 89 })
+    ]);
+    const result = applyTargetTriggeredRatchet(
+      trade({ exit_timestamp: FIVE, exit_reason: "initial_stop" }),
+      [],
+      candles,
+      candidate
+    );
+    expect(result.classification).toBe("BASELINE_STOP");
+    expect(result.activated).toBe(false);
+  });
+
+  it("keeps the baseline trend exit when activated but the floor is not touched", () => {
+    const candidate = TARGET_TRIGGERED_RATCHET_CANDIDATES[2];
+    const candles = map([
+      candle(0, { high: 121, low: 95 }),
+      candle(FIVE, { high: 125, low: 101 }),
+      candle(2 * FIVE, { high: 130, low: 102 })
+    ]);
+    const result = applyTargetTriggeredRatchet(trade(), [], candles, candidate);
+    expect(result.classification).toBe("ACTIVATED_BASELINE_EXIT");
+    expect(result.trade.net_pnl).toBe(trade().net_pnl);
+  });
+
+  it("returns DATA_GAP instead of inventing a missing 5m candle", () => {
+    const candidate = TARGET_TRIGGERED_RATCHET_CANDIDATES[0];
+    const result = applyTargetTriggeredRatchet(trade(), [], map([candle(0)]), candidate);
+    expect(result.classification).toBe("DATA_GAP");
+  });
+});