foxhunt/ml/tests/ppo_position_limits_tests.rs

//! 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"
    );
}