foxhunt/ml/tests/kelly_position_sizing_integration.rs

// Kelly Criterion Position Sizing Integration Test
//
// Validates that Kelly fraction is correctly applied to position sizing
// in the backtesting pipeline (PortfolioTracker → EvaluationEngine → Hyperopt).

use ml::evaluation::engine::{Action, EvaluationEngine};
use ml::evaluation::metrics::OHLCVBar;

#[test]
fn test_kelly_scales_pnl_correctly() {
    // Test 1: Full Kelly (1.0) - baseline
    let mut engine_full = EvaluationEngine::new_with_kelly(10_000.0, 1.0);

    // Open long position at $100
    let bar1 = OHLCVBar {
        timestamp: 0,
        open: 100.0,
        high: 100.0,
        low: 100.0,
        close: 100.0,
        volume: 0.0,
    };
    engine_full.process_bar(0, &bar1, Action::Buy);

    // Close at $110 (10% gain)
    let bar2 = OHLCVBar {
        timestamp: 1,
        open: 110.0,
        high: 110.0,
        low: 110.0,
        close: 110.0,
        volume: 0.0,
    };
    engine_full.process_bar(1, &bar2, Action::Sell);

    // Full Kelly: PnL = 110 - 100 = $10
    assert_eq!(engine_full.trades.len(), 1);
    assert!((engine_full.trades[0].pnl - 10.0).abs() < 0.01);

    // Test 2: Half Kelly (0.5) - reduced position
    let mut engine_half = EvaluationEngine::new_with_kelly(10_000.0, 0.5);
    engine_half.process_bar(0, &bar1, Action::Buy);
    engine_half.process_bar(1, &bar2, Action::Sell);

    // Half Kelly: PnL = (110 - 100) * 0.5 = $5
    assert_eq!(engine_half.trades.len(), 1);
    assert!((engine_half.trades[0].pnl - 5.0).abs() < 0.01);

    // Test 3: Quarter Kelly (0.25) - conservative
    let mut engine_quarter = EvaluationEngine::new_with_kelly(10_000.0, 0.25);
    engine_quarter.process_bar(0, &bar1, Action::Buy);
    engine_quarter.process_bar(1, &bar2, Action::Sell);

    // Quarter Kelly: PnL = (110 - 100) * 0.25 = $2.50
    assert_eq!(engine_quarter.trades.len(), 1);
    assert!((engine_quarter.trades[0].pnl - 2.5).abs() < 0.01);
}

#[test]
fn test_kelly_scales_losses_correctly() {
    // Test Kelly scaling on losing trades

    // Full Kelly (1.0)
    let mut engine_full = EvaluationEngine::new_with_kelly(10_000.0, 1.0);

    let bar1 = OHLCVBar {
        timestamp: 0,
        open: 100.0,
        high: 100.0,
        low: 100.0,
        close: 100.0,
        volume: 0.0,
    };
    engine_full.process_bar(0, &bar1, Action::Buy);

    // Price drops to $90 (-10% loss)
    let bar2 = OHLCVBar {
        timestamp: 1,
        open: 90.0,
        high: 90.0,
        low: 90.0,
        close: 90.0,
        volume: 0.0,
    };
    engine_full.process_bar(1, &bar2, Action::Sell);

    // Full Kelly: Loss = 90 - 100 = -$10
    assert_eq!(engine_full.trades.len(), 1);
    assert!((engine_full.trades[0].pnl - (-10.0)).abs() < 0.01);

    // Half Kelly (0.5) - reduced loss
    let mut engine_half = EvaluationEngine::new_with_kelly(10_000.0, 0.5);
    engine_half.process_bar(0, &bar1, Action::Buy);
    engine_half.process_bar(1, &bar2, Action::Sell);

    // Half Kelly: Loss = (90 - 100) * 0.5 = -$5
    assert_eq!(engine_half.trades.len(), 1);
    assert!((engine_half.trades[0].pnl - (-5.0)).abs() < 0.01);
}

#[test]
fn test_kelly_with_short_positions() {
    // Test Kelly scaling on short positions

    // Full Kelly (1.0)
    let mut engine_full = EvaluationEngine::new_with_kelly(10_000.0, 1.0);

    // Short at $100
    let bar1 = OHLCVBar {
        timestamp: 0,
        open: 100.0,
        high: 100.0,
        low: 100.0,
        close: 100.0,
        volume: 0.0,
    };
    engine_full.process_bar(0, &bar1, Action::Sell);

    // Cover at $90 (10% profit for short)
    let bar2 = OHLCVBar {
        timestamp: 1,
        open: 90.0,
        high: 90.0,
        low: 90.0,
        close: 90.0,
        volume: 0.0,
    };
    engine_full.process_bar(1, &bar2, Action::Buy);

    // Full Kelly: PnL = 100 - 90 = $10 (profit from price drop)
    assert_eq!(engine_full.trades.len(), 1);
    assert!((engine_full.trades[0].pnl - 10.0).abs() < 0.01);

    // Half Kelly (0.5)
    let mut engine_half = EvaluationEngine::new_with_kelly(10_000.0, 0.5);
    engine_half.process_bar(0, &bar1, Action::Sell);
    engine_half.process_bar(1, &bar2, Action::Buy);

    // Half Kelly: PnL = (100 - 90) * 0.5 = $5
    assert_eq!(engine_half.trades.len(), 1);
    assert!((engine_half.trades[0].pnl - 5.0).abs() < 0.01);
}

#[test]
fn test_default_new_uses_full_kelly() {
    // Verify that EvaluationEngine::new() defaults to Kelly=1.0
    let mut engine_default = EvaluationEngine::new(10_000.0);

    let bar1 = OHLCVBar {
        timestamp: 0,
        open: 100.0,
        high: 100.0,
        low: 100.0,
        close: 100.0,
        volume: 0.0,
    };
    engine_default.process_bar(0, &bar1, Action::Buy);

    let bar2 = OHLCVBar {
        timestamp: 1,
        open: 110.0,
        high: 110.0,
        low: 110.0,
        close: 110.0,
        volume: 0.0,
    };
    engine_default.process_bar(1, &bar2, Action::Sell);

    // Should behave like full Kelly (no scaling)
    assert_eq!(engine_default.trades.len(), 1);
    assert!((engine_default.trades[0].pnl - 10.0).abs() < 0.01);
}