From 8a5a6f4eb12969b2cde1e2357006fad64d1d6f39 Mon Sep 17 00:00:00 2001
From: Claude <claude@kuns.dev>
Date: Tue, 9 Jun 2026 20:22:14 +0000
Subject: [PATCH] feat: Donchian-Trend-Strategie (Entry-Evaluation)

---
 src/server/strategy/donchian-trend.test.ts | 62 ++++++++++++++++++++++
 src/server/strategy/donchian-trend.ts      | 59 ++++++++++++++++++++
 2 files changed, 121 insertions(+)
 create mode 100644 src/server/strategy/donchian-trend.test.ts
 create mode 100644 src/server/strategy/donchian-trend.ts

diff --git a/src/server/strategy/donchian-trend.test.ts b/src/server/strategy/donchian-trend.test.ts
new file mode 100644
index 0000000..b37ca81
--- /dev/null
+++ b/src/server/strategy/donchian-trend.test.ts
@@ -0,0 +1,62 @@
+import { expect, test } from 'bun:test';
+import type { Candle } from '../types';
+import { computeIndicators, evaluateAt, DEFAULT_PARAMS, type StrategyParams } from './donchian-trend';
+
+const P: StrategyParams = { donchianPeriod: 3, atrPeriod: 3, atrMultiplier: 3, trendEmaPeriod: 5 };
+
+function c(o: number, h: number, l: number, cl: number, ts = 0): Candle {
+  return { ts, open: o, high: h, low: l, close: cl, volume: 1 };
+}
+
+/** Aufwärtstrend, letzte Candle bricht über das 3er-Hoch aus. */
+function breakoutSeries(): Candle[] {
+  const s: Candle[] = [];
+  for (let i = 0; i < 7; i++) s.push(c(10 + i, 11 + i, 9 + i, 10.5 + i, i));
+  // bisheriges 3er-Hoch: max(high[4..6]) = 17 → Close 18 bricht aus, weit über EMA5
+  s.push(c(17, 18.5, 16.5, 18, 7));
+  return s;
+}
+
+test('Long-Signal bei Donchian-Breakout über Trend-EMA', () => {
+  const c4h = breakoutSeries();
+  const ev = evaluateAt(c4h, computeIndicators(c4h, P), c4h.length - 1, P);
+  expect(ev.signal).toBe('long');
+  expect(ev.blockedBy).toBeNull();
+  expect(ev.donchianHigh).toBe(17);
+  expect(Number.isNaN(ev.atr)).toBe(false);
+});
+
+test('blockiert unter Donchian-High', () => {
+  const c4h = breakoutSeries();
+  c4h[c4h.length - 1].close = 16.9; // unter 17
+  const ev = evaluateAt(c4h, computeIndicators(c4h, P), c4h.length - 1, P);
+  expect(ev.signal).toBeNull();
+  expect(ev.blockedBy).toBe('below_donchian');
+});
+
+test('blockiert unter Trend-EMA (Bärenmarkt-Filter)', () => {
+  // Hoher Trend, dann Stufen-Abfall, dann Mini-Breakout: Close > Donchian aber < EMA
+  const s: Candle[] = [];
+  s.push(c(100, 101, 99, 100, 0));
+  s.push(c(100, 101, 99, 100, 1));
+  s.push(c(100, 101, 99, 100, 2));
+  s.push(c(75, 76, 74, 75, 3));
+  s.push(c(75, 76, 74, 75, 4));
+  s.push(c(75, 76, 74, 75, 5));
+  s.push(c(75, 76, 74, 75, 6));
+  // Index 7: Donchian[7] = max(76,76,76) = 76, EMA5 ≈ 80, Close 77 > Donchian aber < EMA
+  s.push(c(77, 80, 76, 77, 7));
+  const ev = evaluateAt(s, computeIndicators(s, P), s.length - 1, P);
+  expect(ev.signal).toBeNull();
+  expect(ev.blockedBy).toBe('below_trend_ema');
+});
+
+test('blockiert bei zu wenig Daten', () => {
+  const c4h = breakoutSeries().slice(0, 4);
+  const ev = evaluateAt(c4h, computeIndicators(c4h, P), c4h.length - 1, P);
+  expect(ev.blockedBy).toBe('insufficient_data');
+});
+
+test('DEFAULT_PARAMS entsprechen der Spec', () => {
+  expect(DEFAULT_PARAMS).toEqual({ donchianPeriod: 20, atrPeriod: 14, atrMultiplier: 3, trendEmaPeriod: 200 });
+});
diff --git a/src/server/strategy/donchian-trend.ts b/src/server/strategy/donchian-trend.ts
new file mode 100644
index 0000000..c87fdf0
--- /dev/null
+++ b/src/server/strategy/donchian-trend.ts
@@ -0,0 +1,59 @@
+import type { Candle } from '../types';
+import { ema } from '../indicators/ema';
+import { atr } from '../indicators/atr';
+import { donchianHigh } from '../indicators/donchian';
+
+export interface StrategyParams {
+  donchianPeriod: number;
+  atrPeriod: number;
+  atrMultiplier: number;
+  trendEmaPeriod: number;
+}
+
+export const DEFAULT_PARAMS: StrategyParams = {
+  donchianPeriod: 20,
+  atrPeriod: 14,
+  atrMultiplier: 3,
+  trendEmaPeriod: 200,
+};
+
+export interface IndicatorSet {
+  trendEma: number[];
+  donchianHigh: number[];
+  atr: number[];
+}
+
+export interface Evaluation {
+  signal: 'long' | null;
+  blockedBy: 'insufficient_data' | 'below_donchian' | 'below_trend_ema' | null;
+  close: number;
+  atr: number;
+  donchianHigh: number;
+  trendEma: number;
+}
+
+/** Indikatoren einmal über die ganze Serie — Index i nutzt nur Daten ≤ i (kein Lookahead). */
+export function computeIndicators(c4h: Candle[], p: StrategyParams): IndicatorSet {
+  return {
+    trendEma: ema(c4h.map((c) => c.close), p.trendEmaPeriod),
+    donchianHigh: donchianHigh(c4h, p.donchianPeriod),
+    atr: atr(c4h, p.atrPeriod),
+  };
+}
+
+/** Bewertet die (abgeschlossene) 4h-Candle an Index i. */
+export function evaluateAt(c4h: Candle[], ind: IndicatorSet, i: number, p: StrategyParams): Evaluation {
+  const close = c4h[i]?.close ?? NaN;
+  const base = { close, atr: ind.atr[i], donchianHigh: ind.donchianHigh[i], trendEma: ind.trendEma[i] };
+  if (
+    i < 0 ||
+    Number.isNaN(ind.trendEma[i]) ||
+    Number.isNaN(ind.donchianHigh[i]) ||
+    Number.isNaN(ind.atr[i])
+  ) {
+    return { signal: null, blockedBy: 'insufficient_data', ...base };
+  }
+  if (close <= ind.donchianHigh[i]) return { signal: null, blockedBy: 'below_donchian', ...base };
+  if (close <= ind.trendEma[i]) return { signal: null, blockedBy: 'below_trend_ema', ...base };
+  return { signal: 'long', blockedBy: null, ...base };
+}