#![allow( clippy::assertions_on_constants, clippy::assertions_on_result_states, clippy::clone_on_copy, clippy::decimal_literal_representation, clippy::doc_markdown, clippy::empty_line_after_doc_comments, clippy::field_reassign_with_default, clippy::get_unwrap, clippy::identity_op, clippy::inconsistent_digit_grouping, clippy::indexing_slicing, clippy::integer_division, clippy::len_zero, clippy::let_underscore_must_use, clippy::manual_div_ceil, clippy::manual_let_else, clippy::manual_range_contains, clippy::modulo_arithmetic, clippy::needless_range_loop, clippy::non_ascii_literal, clippy::redundant_clone, clippy::shadow_reuse, clippy::shadow_same, clippy::shadow_unrelated, clippy::single_match_else, clippy::str_to_string, clippy::string_slice, clippy::tests_outside_test_module, clippy::too_many_lines, clippy::unnecessary_wraps, clippy::unseparated_literal_suffix, clippy::use_debug, clippy::useless_vec, clippy::wildcard_enum_match_arm, clippy::else_if_without_else, clippy::expect_used, clippy::missing_const_for_fn, clippy::similar_names, clippy::type_complexity, clippy::collapsible_else_if, clippy::doc_lazy_continuation, clippy::items_after_test_module, clippy::map_clone, clippy::multiple_unsafe_ops_per_block, clippy::unwrap_or_default, clippy::assign_op_pattern, clippy::needless_borrow, clippy::println_empty_string, clippy::unnecessary_cast, clippy::used_underscore_binding, clippy::create_dir, clippy::implicit_saturating_sub, clippy::exit, clippy::expect_fun_call, clippy::too_many_arguments, clippy::unnecessary_map_or, clippy::unwrap_used, dead_code, unused_imports, unused_variables, clippy::cloned_ref_to_slice_refs, clippy::neg_multiply, clippy::while_let_loop, clippy::bool_assert_comparison, clippy::excessive_precision, clippy::trivially_copy_pass_by_ref, clippy::op_ref, clippy::redundant_closure, clippy::unnecessary_lazy_evaluations, clippy::if_then_some_else_none, clippy::unnecessary_to_owned, clippy::single_component_path_imports, )] //! Position Limit Tests for PPO //! //! Test-driven development (TDD) - Tests written FIRST before implementation. //! These tests verify position limit enforcement for risk management. use ml::ppo::position_limits::{enforce_cash_reserve, enforce_position_limit}; #[test] fn test_position_limit_enforcement() { let max_position = 2.0; // Max position of ±2.0 // Test case 1: Within limits (long direction) let current_position = 1.0; let proposed_delta = 0.5; // Would go to 1.5 (within limit) assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Position 1.0 + 0.5 = 1.5 should be allowed (max: 2.0)" ); // Test case 2: Within limits (short direction) let current_position = -1.0; let proposed_delta = -0.5; // Would go to -1.5 (within limit) assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Position -1.0 + (-0.5) = -1.5 should be allowed (max: 2.0)" ); // Test case 3: At limit (exactly) let current_position = 1.5; let proposed_delta = 0.5; // Would go to 2.0 (exactly at limit) assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Position 1.5 + 0.5 = 2.0 should be allowed (exactly at limit)" ); // Test case 4: Exceeds limit (long) let current_position = 1.8; let proposed_delta = 0.3; // Would go to 2.1 (exceeds limit) assert!( !enforce_position_limit(current_position, proposed_delta, max_position), "Position 1.8 + 0.3 = 2.1 should be BLOCKED (exceeds max: 2.0)" ); // Test case 5: Exceeds limit (short) let current_position = -1.5; let proposed_delta = -0.6; // Would go to -2.1 (exceeds limit) assert!( !enforce_position_limit(current_position, proposed_delta, max_position), "Position -1.5 + (-0.6) = -2.1 should be BLOCKED (exceeds max: 2.0)" ); // Test case 6: Zero delta (always allowed) let current_position = 1.9; let proposed_delta = 0.0; // No change assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Zero delta should always be allowed" ); // Test case 7: Reducing position (always allowed) let current_position = 2.5; // Over limit (shouldn't happen, but test defensively) let proposed_delta = -0.5; // Reducing position assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Reducing position should always be allowed (risk reduction)" ); } #[test] fn test_position_limit_zero_position() { let max_position = 2.0; let current_position = 0.0; // Going long from zero let proposed_delta = 1.5; assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Going long 1.5 from zero should be allowed" ); // Going short from zero let proposed_delta = -1.5; assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Going short -1.5 from zero should be allowed" ); // Exceeding limit from zero (long) let proposed_delta = 2.5; assert!( !enforce_position_limit(current_position, proposed_delta, max_position), "Going long 2.5 from zero should be BLOCKED (exceeds 2.0)" ); // Exceeding limit from zero (short) let proposed_delta = -2.5; assert!( !enforce_position_limit(current_position, proposed_delta, max_position), "Going short -2.5 from zero should be BLOCKED (exceeds 2.0)" ); } #[test] fn test_position_limit_fractional_max() { // Test with smaller max position (e.g., 0.6 for testing) let max_position = 0.6; // Within limits let current_position = 0.3; let proposed_delta = 0.2; // Would go to 0.5 (within 0.6) assert!( enforce_position_limit(current_position, proposed_delta, max_position), "Position 0.3 + 0.2 = 0.5 should be allowed (max: 0.6)" ); // Exceeds limits let current_position = 0.5; let proposed_delta = 0.15; // Would go to 0.65 (exceeds 0.6) assert!( !enforce_position_limit(current_position, proposed_delta, max_position), "Position 0.5 + 0.15 = 0.65 should be BLOCKED (exceeds max: 0.6)" ); } #[test] fn test_cash_reserve_enforcement() { let min_reserve_pct = 0.20; // 20% minimum cash reserve // Test case 1: Sufficient cash (30% reserve) let current_cash = 30_000.0; let total_portfolio = 100_000.0; assert!( enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "30% cash reserve should be allowed (min: 20%)" ); // Test case 2: Exactly at minimum (20% reserve) let current_cash = 20_000.0; let total_portfolio = 100_000.0; assert!( enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "20% cash reserve should be allowed (exactly at min)" ); // Test case 3: Below minimum (15% reserve) let current_cash = 15_000.0; let total_portfolio = 100_000.0; assert!( !enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "15% cash reserve should be BLOCKED (below min: 20%)" ); // Test case 4: Near-zero cash let current_cash = 1_000.0; let total_portfolio = 100_000.0; assert!( !enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "1% cash reserve should be BLOCKED (below min: 20%)" ); // Test case 5: 100% cash (edge case) let current_cash = 100_000.0; let total_portfolio = 100_000.0; assert!( enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "100% cash reserve should be allowed" ); // Test case 6: Zero portfolio (edge case - should allow) let current_cash = 0.0; let total_portfolio = 0.0; assert!( enforce_cash_reserve(current_cash, total_portfolio, min_reserve_pct), "Zero portfolio should be allowed (no trading happening)" ); } #[test] fn test_cash_reserve_different_thresholds() { let total_portfolio = 50_000.0; // Test 10% threshold let min_reserve_10pct = 0.10; let cash_5pct = 2_500.0; // 5% cash let cash_12pct = 6_000.0; // 12% cash assert!( !enforce_cash_reserve(cash_5pct, total_portfolio, min_reserve_10pct), "5% cash should be BLOCKED with 10% minimum" ); assert!( enforce_cash_reserve(cash_12pct, total_portfolio, min_reserve_10pct), "12% cash should be allowed with 10% minimum" ); // Test 30% threshold let min_reserve_30pct = 0.30; let cash_25pct = 12_500.0; // 25% cash let cash_35pct = 17_500.0; // 35% cash assert!( !enforce_cash_reserve(cash_25pct, total_portfolio, min_reserve_30pct), "25% cash should be BLOCKED with 30% minimum" ); assert!( enforce_cash_reserve(cash_35pct, total_portfolio, min_reserve_30pct), "35% cash should be allowed with 30% minimum" ); } #[test] fn test_cash_reserve_negative_values() { let min_reserve_pct = 0.20; let total_portfolio = 100_000.0; // Negative cash (margin/leverage scenario) let negative_cash = -10_000.0; assert!( !enforce_cash_reserve(negative_cash, total_portfolio, min_reserve_pct), "Negative cash should always be BLOCKED" ); }