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https://github.com/NoFxAiOS/nofx.git
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39eac5aca7
Live decomposition of the losing streak: 23% win rate with avg win +$1.23 / avg loss -$1.04 on ~0.3-0.5% price moves, where the ~0.14% round-trip fee ate 30-50% of every tiny winner. Death by small-move grinding. The AI was closing positions on ±0.5% noise after the 60m min-hold, capping winners at ~0.86%. Redesign to 'few big positions, held for big moves': - Throttle: min hold 60m->4h, noise-close window 90m->8h, reentry 30m->3h, opens/hour 30->3, opens/cycle 6->2. Noise band widened -1%..+2% -> -4%..+6% so small moves can no longer trigger a close. - Exits: stop bypass -2.5% -> -5%, take-profit bypass +5% -> +12% (wide, asymmetric — let winners run, cut losers only on a real move). - Leverage 20x -> 5x: a -5% stop at 20x is instant liquidation; at 5x it is -25% of margin, survivable. 2 positions x 2.5x = 5x total (full margin, ~20% cushion) instead of 4x5x=20x. - Prompt now instructs the AI to set wide stops (~-5%) and distant targets (~+10-12%), hold multi-hour, and never scalp 0.5% moves. Live strategy updated (maxPos=2, lev=5, ratio=2.5).
101 lines
3.5 KiB
Go
101 lines
3.5 KiB
Go
package trader
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import (
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"nofx/kernel"
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"strings"
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"testing"
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"time"
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)
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func throttleContext(symbol, side string, heldFor time.Duration, pnlPct float64) *kernel.Context {
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return &kernel.Context{
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Positions: []kernel.PositionInfo{
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{
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Symbol: symbol,
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Side: side,
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UnrealizedPnLPct: pnlPct,
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UpdateTime: time.Now().Add(-heldFor).UnixMilli(),
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},
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},
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}
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}
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func TestTradeThrottleBlocksEarlyNoiseClose(t *testing.T) {
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at := &AutoTrader{}
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ctx := throttleContext("xyz:INTC", "long", 20*time.Minute, -0.3)
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
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if !strings.Contains(reason, "min AI-managed hold") {
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t.Fatalf("expected early close to be blocked by min hold, got %q", reason)
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}
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}
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func TestTradeThrottleAllowsEarlyHardStop(t *testing.T) {
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at := &AutoTrader{}
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// Only a real -5% stop bypasses the min hold now.
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ctx := throttleContext("xyz:INTC", "long", 20*time.Minute, -6.0)
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
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if reason != "" {
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t.Fatalf("expected hard stop close to pass, got %q", reason)
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}
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}
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func TestTradeThrottleBlocksFlatCloseInsideNoiseWindow(t *testing.T) {
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at := &AutoTrader{}
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// Held past the 4h min hold but still inside the wide -4%..+6% noise band.
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ctx := throttleContext("xyz:INTC", "long", 5*time.Hour, 0.4)
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
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if !strings.Contains(reason, "noise band") {
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t.Fatalf("expected flat close to be blocked inside noise window, got %q", reason)
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}
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}
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func TestTradeThrottleAllowsConfirmedLossAfterMinimumHold(t *testing.T) {
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at := &AutoTrader{}
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// Past the 4h min hold, loss beyond the -4% noise floor → close allowed.
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ctx := throttleContext("xyz:INTC", "long", 5*time.Hour, -4.5)
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "close_long"}, ctx, 0)
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if reason != "" {
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t.Fatalf("expected confirmed loss after min hold to pass, got %q", reason)
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}
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}
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func TestTradeThrottleAllowsLongShortPairInCycle(t *testing.T) {
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at := &AutoTrader{}
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ctx := &kernel.Context{}
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// One open already queued this cycle (e.g. the long) — the second open
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// (the short) must still be allowed so a directional pair can open.
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_short"}, ctx, 1)
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if reason != "" {
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t.Fatalf("expected the second (short) open in cycle to be allowed, got %q", reason)
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}
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}
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func TestTradeThrottleBlocksOpensOverCycleCap(t *testing.T) {
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at := &AutoTrader{}
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ctx := &kernel.Context{}
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// under the 2-per-cycle cap, a further open is allowed
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if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 1); reason != "" {
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t.Fatalf("expected open within the 2-per-cycle cap to be allowed, got %q", reason)
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}
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// at the cap, the next open is blocked
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if reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_long"}, ctx, 2); !strings.Contains(reason, "2 new position") {
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t.Fatalf("expected open beyond the 2-per-cycle cap to be blocked, got %q", reason)
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}
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}
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func TestTradeThrottleBlocksOpeningAgainstExistingPosition(t *testing.T) {
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at := &AutoTrader{}
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ctx := throttleContext("xyz:INTC", "long", 2*time.Hour, 1.0)
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reason := at.tradeThrottleReason(kernel.Decision{Symbol: "xyz:INTC", Action: "open_short"}, ctx, 0)
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if !strings.Contains(reason, "already has an open") {
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t.Fatalf("expected opposite open to be blocked when position exists, got %q", reason)
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}
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}
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