feat: Chandelier-Trailing-Stop

src/server/strategy/chandelier.test.ts

@@ -0,0 +1,22 @@
+import { expect, test } from 'bun:test';
+import { updateChandelier } from './chandelier';
+
+test('Stop steigt mit neuem Hoch', () => {
+  // hh 100 → 110, ATR 2, Mult 3 → Stop 110−6 = 104
+  const r = updateChandelier({ highestHigh: 100, stop: 94 }, 110, 2, 3);
+  expect(r.highestHigh).toBe(110);
+  expect(r.stop).toBe(104);
+});
+
+test('Stop fällt NIE — auch wenn ATR explodiert', () => {
+  // hh bleibt 110, ATR springt auf 10 → Kandidat 80, aber Stop bleibt 104
+  const r = updateChandelier({ highestHigh: 110, stop: 104 }, 105, 10, 3);
+  expect(r.highestHigh).toBe(110);
+  expect(r.stop).toBe(104);
+});
+
+test('NaN-ATR lässt Stop unverändert', () => {
+  const r = updateChandelier({ highestHigh: 110, stop: 104 }, 120, NaN, 3);
+  expect(r.highestHigh).toBe(120);
+  expect(r.stop).toBe(104);
+});

src/server/strategy/chandelier.ts

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+export interface TrailState {
+  highestHigh: number;
+  stop: number;
+}
+
+/** Chandelier-Stop: hh − mult×ATR, wandert nur aufwärts. Aufruf pro abgeschlossener 4h-Candle. */
+export function updateChandelier(state: TrailState, barHigh: number, atrValue: number, mult: number): TrailState {
+  const highestHigh = Math.max(state.highestHigh, barHigh);
+  const candidate = Number.isNaN(atrValue) ? -Infinity : highestHigh - mult * atrValue;
+  return { highestHigh, stop: Math.max(state.stop, candidate) };
+}