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Merged
aleksnick merged 2 commits into from
Sep 8, 2026
Merged

Separate strategy risk from execution costs #1

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f66cc07
fix: separate strategy risk estimates from execution costs
aleksnick Sep 5, 2026
0a3a013
fix: require Strategy Kit 3.0.5
aleksnick Sep 8, 2026
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4 changes: 2 additions & 2 deletions package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -46,7 +46,7 @@
"sideEffects": false,
"devDependencies": {
"@tradejs/core": "^3.0.1",
"@tradejs/strategy-kit": "^3.0.1",
"@tradejs/strategy-kit": "^3.0.5",
"@tradejs/types": "^3.0.1",
"@types/jest": "^29.5.14",
"jest": "^29.7.0",
Expand All @@ -70,7 +70,7 @@
"author": "aleksnick (https://github.com/aleksnick)",
"peerDependencies": {
"@tradejs/core": "^3.0.1",
"@tradejs/strategy-kit": "^3.0.1",
"@tradejs/strategy-kit": "^3.0.5",
"@tradejs/types": "^3.0.1"
}
}
6 changes: 4 additions & 2 deletions src/TrendFollow/config.ts
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Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
import { FEE_PERCENT } from "@tradejs/core/constants";
import { FEE_PERCENT as RISK_FEE_RATE } from "@tradejs/core/constants";
import {
BacktestPriceMode,
Direction,
Expand All @@ -23,7 +23,9 @@ export const config = {
ML_ENABLED: false,
ML_THRESHOLD: 0.1,
MIN_AI_QUALITY: 3,
FEE_PERCENT,
RISK_FEE_RATE,
RISK_SLIPPAGE_BPS: 0,
RISK_MARKET_IMPACT_BPS: 0,
MAX_LOSS_VALUE: 10,
MA_FAST: 14,
MA_MEDIUM: 49,
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6 changes: 3 additions & 3 deletions src/TrendFollow/core.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -156,10 +156,10 @@ export const createTrendFollowCore: CreateStrategyCore<
fallback: 2,
}),
maxLossValue: config.MAX_LOSS_VALUE,
feeRate: Number(config.FEE_PERCENT ?? 0),
feeRate: Number(config.RISK_FEE_RATE ?? 0),
slippageBps:
Number(config.SLIPPAGE_BASE_BPS ?? 0) +
Number(config.SLIPPAGE_MARKET_IMPACT_BPS ?? 0),
Number(config.RISK_SLIPPAGE_BPS ?? 0) +
Number(config.RISK_MARKET_IMPACT_BPS ?? 0),
});

if (!qty || !Number.isFinite(qty) || qty <= 0) {
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4 changes: 2 additions & 2 deletions src/TrendFollow/strategy.ts
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Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
import { createStrategyConfigParser } from "@tradejs/strategy-kit/config";
import { createCostIsolatedStrategyConfigParser } from "@tradejs/strategy-kit/config";
import type { ValidatedStrategyRegistryEntry } from "@tradejs/strategy-kit/config";
import { config as DEFAULT_CONFIG, TrendFollowConfig } from "./config";
import { createTrendFollowCore } from "./core";
Expand All @@ -7,7 +7,7 @@ import { trendFollowManifest } from "./manifest";
export const TrendFollowStrategyDefinition: ValidatedStrategyRegistryEntry<TrendFollowConfig> =
{
defaults: DEFAULT_CONFIG,
parseConfig: createStrategyConfigParser({
parseConfig: createCostIsolatedStrategyConfigParser({
strategyName: "TrendFollow",
defaults: DEFAULT_CONFIG,
}),
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21 changes: 21 additions & 0 deletions src/__tests__/configContract.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,27 @@ import path from "node:path";
import { strategyEntries } from "../index";

describe("strategy config contract", () => {
it.each(strategyEntries)(
"keeps decision costs explicit for $manifest.name",
(entry) => {
const config = entry.parseConfig({
RISK_FEE_RATE: 0.002,
RISK_SLIPPAGE_BPS: 15,
});
expect(config).toMatchObject({
RISK_FEE_RATE: 0.002,
RISK_SLIPPAGE_BPS: 15,
});
expect(() => entry.parseConfig({ SLIPPAGE_BASE_BPS: 10 })).toThrow(
"SLIPPAGE_BASE_BPS",
);
expect(entry.defaults).not.toHaveProperty("FEE_PERCENT");
expect(entry.defaults).not.toHaveProperty("SLIPPAGE_BASE_BPS");
expect(() => entry.parseConfig({ FEE_PERCENT: 0.001 })).toThrow(
"FEE_PERCENT",
);
},
);
it.each(strategyEntries)(
"materializes defaults and rejects unknown fields for $manifest.name",
(entry) => {
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18 changes: 9 additions & 9 deletions yarn.lock
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Original file line number Diff line number Diff line change
Expand Up @@ -1086,13 +1086,13 @@ __metadata:
languageName: node
linkType: hard

"@tradejs/strategy-kit@npm:^3.0.1":
version: 3.0.1
resolution: "@tradejs/strategy-kit@npm:3.0.1"
dependencies:
"@tradejs/core": "npm:^3.0.1"
"@tradejs/types": "npm:^3.0.1"
checksum: 10c0/425e4e97e5cd1995c9ad32cd6e61bdb098da4b0dde069e90438081e92e0852a2b4757ebf1bd06733b009359dc365c8756155793d1287642cc2f2b8eaa022eef2
"@tradejs/strategy-kit@npm:^3.0.5":
version: 3.0.5
resolution: "@tradejs/strategy-kit@npm:3.0.5"
peerDependencies:
"@tradejs/core": ^3.0.1
"@tradejs/types": ^3.0.1
checksum: 10c0/9ddef5586ab48515419e7e8563802156fa98597e8809d760ae78f064637013d5c23a4edd8bfa949225aab503f21e03236cde816d23a5ba75d3b7765c8f6bad75
languageName: node
linkType: hard

Expand All @@ -1101,7 +1101,7 @@ __metadata:
resolution: "@tradejs/strategy-trend-follow@workspace:."
dependencies:
"@tradejs/core": "npm:^3.0.1"
"@tradejs/strategy-kit": "npm:^3.0.1"
"@tradejs/strategy-kit": "npm:^3.0.5"
"@tradejs/types": "npm:^3.0.1"
"@types/jest": "npm:^29.5.14"
jest: "npm:^29.7.0"
Expand All @@ -1111,7 +1111,7 @@ __metadata:
typescript: "npm:^5.9.2"
peerDependencies:
"@tradejs/core": ^3.0.1
"@tradejs/strategy-kit": ^3.0.1
"@tradejs/strategy-kit": ^3.0.5
"@tradejs/types": ^3.0.1
languageName: unknown
linkType: soft
Expand Down