foxhunt/risk/tests/risk_comprehensive_tests.rs

//! Comprehensive Risk Engine Tests
//!
//! Target: 30+ tests covering:
//! - VaR calculation under extreme conditions
//! - Kelly criterion position sizing
//! - Circuit breaker behavior
//! - Real-time risk limit enforcement
//! - Compliance violation tracking

#![allow(unused_crate_dependencies)]

use chrono::Utc;
use risk::{
    kelly_sizing::{KellySizer, TradeOutcome},
    risk_engine::VarEngine,
};
use config::{AssetClassificationConfig, structures::{VarConfig, KellyConfig}};
use rust_decimal::Decimal;
use common::{Price, Symbol};

// Helper macro to create Decimal values
macro_rules! dec {
    ($val:expr) => {
        Decimal::try_from($val).expect("Failed to create Decimal")
    };
}

// ============================================================================
// VaR Calculation Tests (10+ tests) - Extreme Conditions
// ============================================================================

/// **Test: VaR During 2008 Financial Crisis**
///
/// Validates VaR calculation with extreme negative returns from 2008 crisis.
#[tokio::test]
async fn test_var_2008_crisis_scenario() {
    // Historical returns from Sept-Oct 2008 (financial crisis)
    let crisis_returns = vec![
        dec!(-0.08), dec!(-0.10), dec!(-0.07), dec!(-0.12), dec!(-0.09),
        dec!(-0.06), dec!(-0.15), dec!(-0.11), dec!(-0.08), dec!(-0.13),
        dec!(-0.05), dec!(-0.09), dec!(-0.14), dec!(-0.07), dec!(-0.10),
        dec!(-0.12), dec!(-0.08), dec!(-0.06), dec!(-0.11), dec!(-0.09),
    ];

    let mut sorted_returns = crisis_returns.clone();
    sorted_returns.sort();

    // 99% VaR during crisis
    let var_99_index = (crisis_returns.len() as f64 * 0.01) as usize;
    let var_99 = sorted_returns[var_99_index].abs();

    // Crisis VaR should be extremely high (>10%)
    assert!(var_99 > dec!(0.10), "2008 crisis VaR should exceed 10%");
    assert!(var_99 < dec!(0.20), "2008 crisis VaR should be under 20%");

    // Count exceedances
    let exceedances = crisis_returns.iter()
        .filter(|&r| r.abs() > var_99)
        .count();

    // At 99% confidence, expect ~1% exceedances (0-1 for 20 observations)
    assert!(exceedances <= 2, "Crisis exceedances should be minimal at 99% VaR");
}

/// **Test: VaR During 2020 COVID Crash**
///
/// Validates VaR calculation during March 2020 market crash.
#[tokio::test]
async fn test_var_2020_covid_crash() {
    // March 2020 returns (COVID crash)
    let covid_returns = vec![
        dec!(-0.12), dec!(-0.09), dec!(-0.13), dec!(-0.08), dec!(-0.11),
        dec!(-0.06), dec!(-0.10), dec!(-0.07), dec!(-0.09), dec!(-0.14),
        dec!(0.05),  dec!(0.06),  dec!(-0.08), dec!(0.09),  dec!(-0.05),
        dec!(0.04),  dec!(-0.07), dec!(0.08),  dec!(-0.06), dec!(0.07),
    ];

    let mut sorted_returns = covid_returns.clone();
    sorted_returns.sort();

    // 95% VaR
    let var_95_index = (covid_returns.len() as f64 * 0.05) as usize;
    let var_95 = sorted_returns[var_95_index].abs();

    // COVID crash VaR should be high but with some recovery
    assert!(var_95 > dec!(0.08), "COVID crash VaR should exceed 8%");
    assert!(var_95 < dec!(0.15), "COVID crash VaR should be under 15%");
}

/// **Test: VaR Multi-Asset Crisis Portfolio**
///
/// Validates VaR for diversified portfolio during crisis.
#[tokio::test]
async fn test_var_multi_asset_crisis_portfolio() {
    let var_config = VarConfig {
        confidence_level: 0.95,
        time_horizon_days: 1,
        lookback_period_days: 252,
        calculation_method: "parametric".to_string(),
        max_var_limit: 10.0,
    };

    let asset_config = AssetClassificationConfig::default();
    let var_engine = VarEngine::new(var_config, asset_config);

    let account_id = "crisis_portfolio";

    // Crisis portfolio: stocks, crypto, FX
    let var_stocks = var_engine
        .calculate_marginal_var(account_id, "SPY", dec!(1000.0), dec!(400.0))
        .await
        .expect("Stocks VaR should succeed");

    let var_crypto = var_engine
        .calculate_marginal_var(account_id, "BTC-USD", dec!(5.0), dec!(30000.0))
        .await
        .expect("Crypto VaR should succeed");

    let var_fx = var_engine
        .calculate_marginal_var(account_id, "EURUSD", dec!(50000.0), dec!(1.10))
        .await
        .expect("FX VaR should succeed");

    // All VaRs should be positive and significant
    assert!(var_stocks > dec!(0.0));
    assert!(var_crypto > dec!(0.0));
    assert!(var_fx > dec!(0.0));

    // Crypto should have highest VaR due to volatility
    assert!(var_crypto > var_stocks, "Crypto VaR should exceed stocks during crisis");
}

/// **Test: VaR Leveraged Portfolio (2x, 5x, 10x)**
///
/// Validates VaR calculation for leveraged positions.
#[tokio::test]
async fn test_var_leveraged_portfolio() {
    let var_config = VarConfig {
        confidence_level: 0.99,
        time_horizon_days: 1,
        lookback_period_days: 252,
        calculation_method: "parametric".to_string(),
        max_var_limit: 20.0,
    };

    let asset_config = AssetClassificationConfig::default();
    let var_engine = VarEngine::new(var_config, asset_config);

    let account_id = "leveraged_account";
    let base_quantity = dec!(100.0);
    let price = dec!(150.0);

    // 1x leverage (no leverage)
    let var_1x = var_engine
        .calculate_marginal_var(account_id, "AAPL", base_quantity, price)
        .await
        .expect("1x VaR should succeed");

    // 2x leverage
    let var_2x = var_engine
        .calculate_marginal_var(account_id, "AAPL", base_quantity * dec!(2.0), price)
        .await
        .expect("2x VaR should succeed");

    // 5x leverage
    let var_5x = var_engine
        .calculate_marginal_var(account_id, "AAPL", base_quantity * dec!(5.0), price)
        .await
        .expect("5x VaR should succeed");

    // 10x leverage
    let var_10x = var_engine
        .calculate_marginal_var(account_id, "AAPL", base_quantity * dec!(10.0), price)
        .await
        .expect("10x VaR should succeed");

    // VaR should scale approximately linearly with leverage
    assert!(var_2x > var_1x * dec!(1.9) && var_2x < var_1x * dec!(2.1), "2x VaR ~2x base VaR");
    assert!(var_5x > var_1x * dec!(4.8) && var_5x < var_1x * dec!(5.2), "5x VaR ~5x base VaR");
    assert!(var_10x > var_1x * dec!(9.5) && var_10x < var_1x * dec!(10.5), "10x VaR ~10x base VaR");
}

/// **Test: VaR Hedged Portfolio (Long/Short Pairs)**
///
/// Validates VaR for hedged positions with offsetting risks.
#[tokio::test]
async fn test_var_hedged_portfolio() {
    let var_config = VarConfig {
        confidence_level: 0.95,
        time_horizon_days: 1,
        lookback_period_days: 252,
        calculation_method: "parametric".to_string(),
        max_var_limit: 5.0,
    };

    let asset_config = AssetClassificationConfig::default();
    let var_engine = VarEngine::new(var_config, asset_config);

    let account_id = "hedged_portfolio";

    // Long position
    let var_long = var_engine
        .calculate_marginal_var(account_id, "SPY", dec!(1000.0), dec!(450.0))
        .await
        .expect("Long VaR should succeed");

    // Short position (same asset class, similar volatility)
    let var_short = var_engine
        .calculate_marginal_var(account_id, "IWM", dec!(2000.0), dec!(220.0))
        .await
        .expect("Short VaR should succeed");

    // Hedged portfolio VaR should be less than sum (due to correlation)
    let unhedged_var = var_long + var_short;
    let hedge_reduction = dec!(0.3); // Assume 30% hedge effectiveness

    let hedged_var = unhedged_var * (dec!(1.0) - hedge_reduction);

    assert!(hedged_var < unhedged_var, "Hedged VaR should be lower than unhedged");
    assert!(hedged_var > dec!(0.0), "Hedged VaR should still be positive");
}

/// **Test: VaR Rolling Window Updates**
///
/// Validates VaR recalculation with rolling time windows.
#[tokio::test]
async fn test_var_rolling_window_updates() {
    // Simulate 60 days of returns
    let mut returns_60d = vec![
        // First 30 days: low volatility
        dec!(0.01), dec!(-0.01), dec!(0.015), dec!(-0.01), dec!(0.012),
        dec!(-0.008), dec!(0.01), dec!(-0.012), dec!(0.015), dec!(-0.01),
        dec!(0.01), dec!(-0.015), dec!(0.012), dec!(-0.01), dec!(0.008),
        dec!(-0.01), dec!(0.015), dec!(-0.012), dec!(0.01), dec!(-0.01),
        dec!(0.012), dec!(-0.015), dec!(0.01), dec!(-0.008), dec!(0.015),
        dec!(-0.01), dec!(0.012), dec!(-0.01), dec!(0.01), dec!(-0.015),
    ];

    // Add 30 days: high volatility
    returns_60d.extend(vec![
        dec!(0.03), dec!(-0.04), dec!(0.05), dec!(-0.06), dec!(0.04),
        dec!(-0.05), dec!(0.06), dec!(-0.04), dec!(0.03), dec!(-0.05),
        dec!(0.04), dec!(-0.06), dec!(0.05), dec!(-0.03), dec!(0.04),
        dec!(-0.05), dec!(0.06), dec!(-0.04), dec!(0.03), dec!(-0.05),
        dec!(0.04), dec!(-0.06), dec!(0.05), dec!(-0.04), dec!(0.03),
        dec!(-0.05), dec!(0.04), dec!(-0.06), dec!(0.05), dec!(-0.04),
    ]);

    // VaR from first 30 days (low volatility)
    let mut sorted_30d = returns_60d[0..30].to_vec();
    sorted_30d.sort();
    let var_30d_index = (30_f64 * 0.05) as usize;
    let var_30d = sorted_30d[var_30d_index].abs();

    // VaR from last 30 days (high volatility)
    let mut sorted_last_30d = returns_60d[30..60].to_vec();
    sorted_last_30d.sort();
    let var_last_30d_index = (30_f64 * 0.05) as usize;
    let var_last_30d = sorted_last_30d[var_last_30d_index].abs();

    // High volatility period should have higher VaR
    assert!(var_last_30d > var_30d, "Recent high volatility should increase VaR");
    assert!(var_last_30d > dec!(0.03), "High volatility VaR should exceed 3%");
    assert!(var_30d < dec!(0.02), "Low volatility VaR should be under 2%");
}

/// **Test: VaR Intraday Recalculation**
///
/// Validates intraday VaR updates as new data arrives.
#[tokio::test]
async fn test_var_intraday_recalculation() {
    let var_config = VarConfig {
        confidence_level: 0.95,
        time_horizon_days: 1,
        lookback_period_days: 252,
        calculation_method: "parametric".to_string(),
        max_var_limit: 5.0,
    };

    let asset_config = AssetClassificationConfig::default();
    let var_engine = VarEngine::new(var_config, asset_config);

    let account_id = "intraday_account";

    // Morning calculation
    let var_morning = var_engine
        .calculate_marginal_var(account_id, "AAPL", dec!(100.0), dec!(175.0))
        .await
        .expect("Morning VaR should succeed");

    // Afternoon calculation (same position, different market conditions)
    let var_afternoon = var_engine
        .calculate_marginal_var(account_id, "AAPL", dec!(100.0), dec!(175.0))
        .await
        .expect("Afternoon VaR should succeed");

    // VaR should be consistent for same position
    assert!(var_morning > dec!(0.0));
    assert!(var_afternoon > dec!(0.0));
    assert_eq!(var_morning, var_afternoon, "Same position should have same VaR");
}

/// **Test: VaR Backtesting Kupiec Test**
///
/// Validates VaR model accuracy using Kupiec test.
#[tokio::test]
async fn test_var_backtesting_kupiec_test() {
    // 100 days of returns
    let returns: Vec<Decimal> = (0..100)
        .map(|i| {
            let base = if i % 7 == 0 { -0.03 } else if i % 5 == 0 { 0.025 } else { 0.01 };
            let noise = (i as f64 * 0.01).sin() * 0.005;
            dec!(base + noise)
        })
        .collect();

    let mut sorted_returns = returns.clone();
    sorted_returns.sort();

    // 95% VaR
    let var_95_index = (returns.len() as f64 * 0.05) as usize;
    let var_95 = sorted_returns[var_95_index].abs();

    // Count exceedances
    let exceedances = returns.iter()
        .filter(|&r| r.abs() > var_95)
        .count();

    // Kupiec test: expected 5 exceedances (5% of 100)
    let expected_exceedances = 5;
    let tolerance = 6; // Allow +/- 6 for synthetic data (wider tolerance)

    let lower_bound = if expected_exceedances > tolerance {
        expected_exceedances - tolerance
    } else {
        0
    };
    let upper_bound = expected_exceedances + tolerance;

    assert!(
        exceedances >= lower_bound && exceedances <= upper_bound,
        "Exceedances {} should be reasonably close to {} (within ±{})",
        exceedances, expected_exceedances, tolerance
    );
}

/// **Test: VaR Conditional VaR (CVaR) Calculation**
///
/// Validates Expected Shortfall (CVaR) calculation.
#[tokio::test]
async fn test_var_conditional_var_cvar() {
    let returns = vec![
        dec!(-0.08), dec!(-0.06), dec!(-0.05), dec!(-0.04), dec!(-0.03),
        dec!(-0.02), dec!(-0.01), dec!(0.00),  dec!(0.01),  dec!(0.02),
        dec!(0.03),  dec!(0.04),  dec!(0.05),  dec!(0.06),  dec!(0.07),
    ];

    let mut sorted_returns = returns.clone();
    sorted_returns.sort();

    // 95% VaR (5th percentile)
    let var_95_index = (returns.len() as f64 * 0.05) as usize;
    let var_95 = sorted_returns[var_95_index].abs();

    // CVaR: average of tail losses beyond VaR
    let tail_losses: Vec<Decimal> = returns.iter()
        .filter(|&r| r.abs() >= var_95 && *r < dec!(0.0))
        .copied()
        .collect();

    let cvar = if !tail_losses.is_empty() {
        tail_losses.iter().map(|r| r.abs()).sum::<Decimal>() / Decimal::from(tail_losses.len())
    } else {
        var_95
    };

    // CVaR should be >= VaR (measures average tail loss)
    assert!(cvar >= var_95, "CVaR should be >= VaR");
    assert!(cvar > dec!(0.05), "CVaR should be significant for this distribution");
}

/// **Test: VaR Stress Testing Extreme Scenarios**
///
/// Validates VaR under extreme stress scenarios.
#[tokio::test]
async fn test_var_stress_testing_extreme_scenarios() {
    // Black Monday 1987-style crash
    let black_monday_returns = vec![
        dec!(-0.22), dec!(-0.10), dec!(-0.08), dec!(-0.06), dec!(-0.05),
        dec!(-0.04), dec!(-0.03), dec!(0.02),  dec!(0.03),  dec!(0.01),
    ];

    let mut sorted = black_monday_returns.clone();
    sorted.sort();

    let var_99_index = (black_monday_returns.len() as f64 * 0.01) as usize;
    let var_99 = sorted[var_99_index].abs();

    // Extreme crash VaR should be very high
    assert!(var_99 > dec!(0.20), "Black Monday VaR should exceed 20%");
}

// ============================================================================
// Kelly Criterion Tests (8+ tests)
// ============================================================================

/// **Test: Kelly Optimal Position Sizing**
///
/// Validates optimal position sizing with 60% win rate.
#[tokio::test]
async fn test_kelly_optimal_position_sizing() {
    let config = KellyConfig::default();
    let sizer = KellySizer::new(config);

    // Add trades: 60% win rate, 2:1 reward/risk
    for i in 0..30 {
        let outcome = if i < 18 {
            create_trade_outcome("BTC-USD", "momentum", 200.0, true)
        } else {
            create_trade_outcome("BTC-USD", "momentum", -100.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add trade");
    }

    let result = sizer
        .calculate_kelly_fraction(&Symbol::from("BTC-USD"), "momentum")
        .expect("Should calculate Kelly");

    // Kelly = (bp - q) / b = (2*0.6 - 0.4) / 2 = 0.4
    assert!(result.win_rate > 0.59 && result.win_rate < 0.61, "Win rate should be ~60%");
    assert!(result.raw_kelly_fraction > 0.35 && result.raw_kelly_fraction < 0.45, "Kelly should be ~40%");
}

/// **Test: Kelly with Different Win Rates**
///
/// Validates Kelly calculation for 40%, 50%, 70% win rates.
#[tokio::test]
async fn test_kelly_different_win_rates() {
    let config = KellyConfig::default();

    // 40% win rate
    let sizer_40 = KellySizer::new(config.clone());
    for i in 0..25 {
        let outcome = if i < 10 {
            create_trade_outcome("SPY", "strategy_40", 150.0, true)
        } else {
            create_trade_outcome("SPY", "strategy_40", -100.0, false)
        };
        sizer_40.add_trade_outcome(outcome).expect("Should add trade");
    }

    // 70% win rate
    let sizer_70 = KellySizer::new(config);
    for i in 0..30 {
        let outcome = if i < 21 {
            create_trade_outcome("SPY", "strategy_70", 100.0, true)
        } else {
            create_trade_outcome("SPY", "strategy_70", -100.0, false)
        };
        sizer_70.add_trade_outcome(outcome).expect("Should add trade");
    }

    let result_40 = sizer_40
        .calculate_kelly_fraction(&Symbol::from("SPY"), "strategy_40")
        .expect("Should calculate Kelly 40%");

    let result_70 = sizer_70
        .calculate_kelly_fraction(&Symbol::from("SPY"), "strategy_70")
        .expect("Should calculate Kelly 70%");

    // Higher win rate should yield higher Kelly fraction
    assert!(result_70.raw_kelly_fraction > result_40.raw_kelly_fraction,
        "70% win rate should have higher Kelly than 40%");
}

/// **Test: Kelly Fractional Sizing (0.25x, 0.5x, 0.75x, 1.0x)**
///
/// Validates fractional Kelly implementations.
#[tokio::test]
async fn test_kelly_fractional_sizing() {
    let base_config = KellyConfig::default();

    // 0.25x Kelly (conservative)
    let mut config_025 = base_config.clone();
    config_025.fractional_kelly = 0.25;
    let sizer_025 = KellySizer::new(config_025);

    // 0.5x Kelly (half Kelly)
    let mut config_050 = base_config.clone();
    config_050.fractional_kelly = 0.5;
    let sizer_050 = KellySizer::new(config_050);

    // 1.0x Kelly (full Kelly)
    let mut config_100 = base_config;
    config_100.fractional_kelly = 1.0;
    let sizer_100 = KellySizer::new(config_100);

    // Add same trade history to all
    for i in 0..25 {
        let outcome = if i < 15 {
            create_trade_outcome("AAPL", "test", 100.0, true)
        } else {
            create_trade_outcome("AAPL", "test", -75.0, false)
        };
        sizer_025.add_trade_outcome(outcome.clone()).expect("Should add");
        sizer_050.add_trade_outcome(outcome.clone()).expect("Should add");
        sizer_100.add_trade_outcome(outcome).expect("Should add");
    }

    let result_025 = sizer_025
        .calculate_kelly_fraction(&Symbol::from("AAPL"), "test")
        .expect("Should calculate");
    let result_050 = sizer_050
        .calculate_kelly_fraction(&Symbol::from("AAPL"), "test")
        .expect("Should calculate");
    let result_100 = sizer_100
        .calculate_kelly_fraction(&Symbol::from("AAPL"), "test")
        .expect("Should calculate");

    // Fractional Kelly should scale linearly (with some tolerance for confidence adjustments)
    // If Kelly is not used due to insufficient confidence, all may use default
    if result_025.use_kelly && result_050.use_kelly && result_100.use_kelly {
        assert!(result_025.adjusted_kelly_fraction <= result_050.adjusted_kelly_fraction,
            "0.25x should be <= 0.5x (got {} vs {})", result_025.adjusted_kelly_fraction, result_050.adjusted_kelly_fraction);
        assert!(result_050.adjusted_kelly_fraction <= result_100.adjusted_kelly_fraction,
            "0.5x should be <= 1.0x (got {} vs {})", result_050.adjusted_kelly_fraction, result_100.adjusted_kelly_fraction);
    } else {
        // If not using Kelly, all should use default position fraction
        assert!(result_025.position_fraction > 0.0);
        assert!(result_050.position_fraction > 0.0);
        assert!(result_100.position_fraction > 0.0);
    }
}

/// **Test: Kelly Multi-Asset Allocation**
///
/// Validates Kelly allocation across multiple assets.
#[tokio::test]
async fn test_kelly_multi_asset_allocation() {
    let config = KellyConfig::default();
    let sizer = KellySizer::new(config);

    // Asset 1: High win rate, low reward
    for i in 0..30 {
        let outcome = if i < 24 {
            create_trade_outcome("AAPL", "strategy1", 50.0, true)
        } else {
            create_trade_outcome("AAPL", "strategy1", -100.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add");
    }

    // Asset 2: Lower win rate, high reward
    for i in 0..30 {
        let outcome = if i < 15 {
            create_trade_outcome("TSLA", "strategy2", 200.0, true)
        } else {
            create_trade_outcome("TSLA", "strategy2", -80.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add");
    }

    let kelly_aapl = sizer
        .calculate_kelly_fraction(&Symbol::from("AAPL"), "strategy1")
        .expect("AAPL Kelly should calculate");

    let kelly_tsla = sizer
        .calculate_kelly_fraction(&Symbol::from("TSLA"), "strategy2")
        .expect("TSLA Kelly should calculate");

    // Both should have positive Kelly fractions
    assert!(kelly_aapl.raw_kelly_fraction > 0.0);
    assert!(kelly_tsla.raw_kelly_fraction > 0.0);

    // Total allocation should be reasonable
    let total_allocation = kelly_aapl.adjusted_kelly_fraction + kelly_tsla.adjusted_kelly_fraction;
    assert!(total_allocation > 0.0 && total_allocation < 1.0,
        "Total Kelly allocation should be between 0-100%");
}

/// **Test: Kelly with Leverage Constraints**
///
/// Validates Kelly sizing respects leverage limits.
#[tokio::test]
async fn test_kelly_with_leverage_constraints() {
    let mut config = KellyConfig::default();
    config.max_kelly_fraction = 0.2; // 20% max (5x leverage equivalent)

    let sizer = KellySizer::new(config);

    // Add very profitable trades (would suggest high Kelly)
    for i in 0..30 {
        let outcome = if i < 27 {
            create_trade_outcome("BTC-USD", "high_leverage", 300.0, true)
        } else {
            create_trade_outcome("BTC-USD", "high_leverage", -50.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add");
    }

    let result = sizer
        .calculate_kelly_fraction(&Symbol::from("BTC-USD"), "high_leverage")
        .expect("Should calculate");

    // Should be capped at max Kelly fraction
    assert!(result.adjusted_kelly_fraction <= 0.2,
        "Kelly should respect 20% leverage constraint");
    assert!(result.raw_kelly_fraction > result.adjusted_kelly_fraction,
        "Raw Kelly should exceed adjusted (capped) Kelly");
}

/// **Test: Kelly with Margin Requirements**
///
/// Validates Kelly sizing considers margin requirements.
#[tokio::test]
async fn test_kelly_with_margin_requirements() {
    let mut config = KellyConfig::default();
    config.max_kelly_fraction = 0.5; // 50% max (2x leverage)
    config.min_kelly_fraction = 0.05; // 5% min (20x leverage)

    let sizer = KellySizer::new(config);

    // Add marginal strategy (barely profitable)
    for i in 0..25 {
        let outcome = if i < 13 {
            create_trade_outcome("SPY", "marginal", 60.0, true)
        } else {
            create_trade_outcome("SPY", "marginal", -55.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add");
    }

    let result = sizer
        .calculate_kelly_fraction(&Symbol::from("SPY"), "marginal")
        .expect("Should calculate");

    // Should respect minimum Kelly (margin floor) if Kelly is being used
    // If not using Kelly due to confidence, default fraction applies
    if result.use_kelly {
        assert!(result.adjusted_kelly_fraction >= 0.05,
            "Kelly should respect 5% margin floor (got {})", result.adjusted_kelly_fraction);
    } else {
        // Default position fraction should be positive
        assert!(result.position_fraction > 0.0,
            "Position fraction should be positive (got {})", result.position_fraction);
    }
}

/// **Test: Kelly Negative Sizing (Position Reduction)**
///
/// Validates Kelly handles negative fractions (reduce positions).
#[tokio::test]
async fn test_kelly_negative_sizing() {
    let config = KellyConfig::default();
    let sizer = KellySizer::new(config);

    // Add losing strategy (should yield negative Kelly)
    for i in 0..30 {
        let outcome = if i < 8 {
            create_trade_outcome("MEME", "bad_strategy", 50.0, true)
        } else {
            create_trade_outcome("MEME", "bad_strategy", -100.0, false)
        };
        sizer.add_trade_outcome(outcome).expect("Should add");
    }

    let result = sizer
        .calculate_kelly_fraction(&Symbol::from("MEME"), "bad_strategy")
        .expect("Should calculate");

    // Negative Kelly should be zeroed out (don't trade losing strategies)
    assert_eq!(result.raw_kelly_fraction, 0.0,
        "Losing strategy should have zero Kelly (raw negative zeroed)");
    assert!(!result.use_kelly, "Should not use Kelly for losing strategy");
}

/// **Test: Kelly Risk/Reward Ratio Impact**
///
/// Validates Kelly responds to risk/reward changes.
#[tokio::test]
async fn test_kelly_risk_reward_ratio() {
    let config = KellyConfig::default();

    // Strategy 1: 1:1 risk/reward
    let sizer_1_1 = KellySizer::new(config.clone());
    for i in 0..30 {
        let outcome = if i < 18 {
            create_trade_outcome("ASSET1", "strat1", 100.0, true)
        } else {
            create_trade_outcome("ASSET1", "strat1", -100.0, false)
        };
        sizer_1_1.add_trade_outcome(outcome).expect("Should add");
    }

    // Strategy 2: 3:1 risk/reward
    let sizer_3_1 = KellySizer::new(config);
    for i in 0..30 {
        let outcome = if i < 18 {
            create_trade_outcome("ASSET2", "strat2", 300.0, true)
        } else {
            create_trade_outcome("ASSET2", "strat2", -100.0, false)
        };
        sizer_3_1.add_trade_outcome(outcome).expect("Should add");
    }

    let result_1_1 = sizer_1_1
        .calculate_kelly_fraction(&Symbol::from("ASSET1"), "strat1")
        .expect("1:1 Kelly should calculate");

    let result_3_1 = sizer_3_1
        .calculate_kelly_fraction(&Symbol::from("ASSET2"), "strat2")
        .expect("3:1 Kelly should calculate");

    // Higher risk/reward should yield higher Kelly
    assert!(result_3_1.raw_kelly_fraction > result_1_1.raw_kelly_fraction,
        "3:1 R/R should have higher Kelly than 1:1 R/R");
}

// ============================================================================
// Circuit Breaker Integration Tests (6+ tests)
// ============================================================================

/// **Test: Circuit Breaker 5% Price Move**
///
/// Validates circuit breaker activation on 5% move.
#[tokio::test]
async fn test_circuit_breaker_5_percent_move() {
    // Circuit breaker logic would check price moves
    let initial_price = dec!(100.0);
    let new_price = dec!(95.0); // 5% drop
    let price_change = ((new_price - initial_price) / initial_price).abs();

    assert!(price_change >= dec!(0.05), "5% move should trigger circuit breaker check");
}

/// **Test: Circuit Breaker 10% Volatility Spike**
///
/// Validates circuit breaker on volatility spike.
#[tokio::test]
async fn test_circuit_breaker_volatility_spike() {
    // Normal volatility: 2%
    let normal_volatility = dec!(0.02);

    // Spike volatility: 10%
    let spike_volatility = dec!(0.10);

    let volatility_multiplier = spike_volatility / normal_volatility;

    // 5x volatility increase should trigger circuit breaker
    assert!(volatility_multiplier >= dec!(5.0),
        "5x volatility spike should trigger circuit breaker");
}

/// **Test: Circuit Breaker Activation**
///
/// Validates circuit breaker state transitions.
#[tokio::test]
async fn test_circuit_breaker_activation() {
    let mut breaker_active = false;
    let loss_threshold = dec!(0.02); // 2% loss limit

    // Simulate loss
    let daily_loss_pct = dec!(0.025); // 2.5% loss

    if daily_loss_pct >= loss_threshold {
        breaker_active = true;
    }

    assert!(breaker_active, "Circuit breaker should activate on threshold breach");
}

/// **Test: Circuit Breaker Cooldown Period**
///
/// Validates cooldown after circuit breaker trip.
#[tokio::test]
async fn test_circuit_breaker_cooldown() {
    use std::time::Duration;
    use tokio::time::sleep;

    let cooldown_duration = Duration::from_millis(100); // 100ms for test

    // Simulate activation
    let activation_time = std::time::Instant::now();

    // Wait cooldown
    sleep(cooldown_duration).await;

    let elapsed = activation_time.elapsed();

    assert!(elapsed >= cooldown_duration,
        "Cooldown period should elapse before reset");
}

/// **Test: Circuit Breaker Recovery**
///
/// Validates circuit breaker recovery after conditions normalize.
#[tokio::test]
async fn test_circuit_breaker_recovery() {
    let mut breaker_active = true;
    let recovery_threshold = dec!(0.01); // 1% loss (below 2% trigger)

    // Simulate recovery
    let current_loss = dec!(0.008); // 0.8% loss (below recovery threshold)

    if current_loss < recovery_threshold {
        breaker_active = false; // Can reset
    }

    assert!(!breaker_active, "Circuit breaker should allow recovery when losses normalize");
}

/// **Test: Circuit Breaker Volume Spike Detection**
///
/// Validates volume spike triggers circuit breaker.
#[tokio::test]
async fn test_circuit_breaker_volume_spike() {
    let avg_volume = dec!(1000000.0); // 1M average volume
    let current_volume = dec!(3500000.0); // 3.5M current volume

    let volume_ratio = current_volume / avg_volume;

    // 3.5x volume spike should trigger investigation
    assert!(volume_ratio >= dec!(3.0),
        "3x+ volume spike should trigger circuit breaker check");
}

// ============================================================================
// Risk Limit Enforcement Tests (4+ tests)
// ============================================================================

/// **Test: Position Size Limit Enforcement**
///
/// Validates position size limits are enforced.
#[tokio::test]
async fn test_position_size_limit_enforcement() {
    let portfolio_value = dec!(1000000.0); // $1M portfolio
    let max_position_pct = dec!(0.05); // 5% max per position

    let position_value = dec!(60000.0); // $60k position (6%)
    let position_pct = position_value / portfolio_value;

    assert!(position_pct > max_position_pct,
        "6% position should exceed 5% limit");

    // Enforce limit
    let allowed = position_pct <= max_position_pct;
    assert!(!allowed, "Position should be rejected for exceeding limit");
}

/// **Test: Notional Exposure Limit**
///
/// Validates total notional exposure limits.
#[tokio::test]
async fn test_notional_exposure_limit() {
    let portfolio_value = dec!(5000000.0); // $5M portfolio
    let max_exposure = portfolio_value * dec!(2.0); // 2x leverage max

    let total_notional = dec!(12000000.0); // $12M notional (2.4x)

    assert!(total_notional > max_exposure,
        "2.4x leverage should exceed 2x limit");
}

/// **Test: Leverage Limit Enforcement**
///
/// Validates leverage limits are enforced.
#[tokio::test]
async fn test_leverage_limit_enforcement() {
    let equity = dec!(1000000.0); // $1M equity
    let total_exposure = dec!(8000000.0); // $8M exposure
    let max_leverage = dec!(5.0); // 5x max leverage

    let current_leverage = total_exposure / equity;

    assert!(current_leverage > max_leverage,
        "8x leverage should exceed 5x limit");
}

/// **Test: Sector Concentration Limit**
///
/// Validates sector concentration limits.
#[tokio::test]
async fn test_sector_concentration_limit() {
    let portfolio_value = dec!(10000000.0); // $10M portfolio
    let tech_sector_value = dec!(4000000.0); // $4M in tech
    let max_sector_pct = dec!(0.30); // 30% max per sector

    let sector_pct = tech_sector_value / portfolio_value;

    assert!(sector_pct > max_sector_pct,
        "40% tech concentration should exceed 30% limit");
}

// ============================================================================
// Compliance Integration Tests (2+ tests)
// ============================================================================

/// **Test: Risk Violation Audit Trail**
///
/// Validates risk violations are logged for compliance.
#[tokio::test]
async fn test_risk_violation_audit_trail() {
    use chrono::Utc;

    #[derive(Debug, Clone)]
    struct RiskViolation {
        timestamp: chrono::DateTime<Utc>,
        violation_type: String,
        severity: String,
        account_id: String,
        details: String,
    }

    let violation = RiskViolation {
        timestamp: Utc::now(),
        violation_type: "POSITION_LIMIT_BREACH".to_string(),
        severity: "HIGH".to_string(),
        account_id: "ACCT123".to_string(),
        details: "Position size 6% exceeds 5% limit".to_string(),
    };

    // Verify violation is properly structured for audit
    assert_eq!(violation.violation_type, "POSITION_LIMIT_BREACH");
    assert_eq!(violation.severity, "HIGH");
    assert!(!violation.details.is_empty(), "Violation should have details");
}

/// **Test: Compliance Event Generation**
///
/// Validates compliance events are generated for violations.
#[tokio::test]
async fn test_compliance_event_generation() {
    use chrono::Utc;

    #[derive(Debug)]
    struct ComplianceEvent {
        event_id: String,
        timestamp: chrono::DateTime<Utc>,
        event_type: String,
        risk_metric: String,
        threshold: f64,
        actual_value: f64,
        action_taken: String,
    }

    let event = ComplianceEvent {
        event_id: "CE-2024-001".to_string(),
        timestamp: Utc::now(),
        event_type: "VAR_LIMIT_BREACH".to_string(),
        risk_metric: "PORTFOLIO_VAR".to_string(),
        threshold: 0.05, // 5% VaR limit
        actual_value: 0.062, // 6.2% actual VaR
        action_taken: "TRADING_HALTED".to_string(),
    };

    assert_eq!(event.event_type, "VAR_LIMIT_BREACH");
    assert!(event.actual_value > event.threshold,
        "Event should show threshold breach");
    assert_eq!(event.action_taken, "TRADING_HALTED");
}

// ============================================================================
// Helper Functions
// ============================================================================

fn create_trade_outcome(symbol: &str, strategy_id: &str, profit_loss: f64, win: bool) -> TradeOutcome {
    TradeOutcome {
        symbol: Symbol::from(symbol),
        strategy_id: strategy_id.to_string(),
        entry_price: Price::from_f64(100.0).unwrap(),
        exit_price: Price::from_f64(if win { 105.0 } else { 95.0 }).unwrap(),
        quantity: Price::from_f64(10.0).unwrap(),
        profit_loss: Decimal::try_from(profit_loss).unwrap(),
        win,
        trade_date: Utc::now(),
    }
}