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5cd62e3c3a
Live decomposition of the 2026-07-23 drawdown (equity 62.6 -> 31.1 in one day, 43 fills, avg hold <1h despite a 4h min hold): both exit guards compared thresholds meant as price moves against leverage-multiplied margin PnL%, so raising leverage 5x -> 10x silently halved every trigger distance: - throttle bypass: -5% 'stop' unlocked AI closes at a -0.5% price wiggle (ETH -0.5%/44min, AAVE -0.9%/45min, MU -2.4%/14min all sailed through) - drawdown monitor: 'profit > 5%' armed at +0.5% price, then market-closed winners on a 40% giveback (SNDK +0.6%/35min, NVDA +0.3%/37min) — every winner strangled at breakeven while losers realized fast Fix: evaluate both guards on price-basis PnL (margin PnL% / leverage). Throttle thresholds keep their documented price meaning at any leverage; the drawdown monitor now arms only after a real +5% price move. Peak-PnL cache stays margin-basis for prompt display consistency. Replay simulator updated to the same price-basis semantics.
28 lines
920 B
Go
28 lines
920 B
Go
package trader
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import "testing"
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func TestDrawdownCloseArmsOnPriceBasisOnly(t *testing.T) {
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cases := []struct {
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name string
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pricePnLPct float64
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drawdownPct float64
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shouldClose bool
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}{
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// +0.5% price move (what +5% margin at 10x used to arm on) must NOT
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// arm the monitor, no matter how large the relative drawdown is.
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{"tiny price gain big drawdown", 0.5, 60.0, false},
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// Armed only from a real +5% price move, and still needs the 40% giveback.
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{"real gain small drawdown", 6.0, 20.0, false},
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{"real gain big drawdown", 6.0, 45.0, true},
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{"at threshold not armed", 5.0, 45.0, false},
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{"loss never triggers", -3.0, 80.0, false},
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}
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for _, c := range cases {
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if got := shouldDrawdownClose(c.pricePnLPct, c.drawdownPct); got != c.shouldClose {
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t.Fatalf("%s: shouldDrawdownClose(%.1f, %.1f) = %v, want %v",
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c.name, c.pricePnLPct, c.drawdownPct, got, c.shouldClose)
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}
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}
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}
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