/**
* Maximum Adverse Excursion (MAE) Calculation
* calculateMAE function
*/
import { HistoricalDataPoint } from '../types'
export interface Position {
entryPrice: number
quantity: number
side?: 'LONG' | 'SHORT'
entryTime?: number
}
export interface MAEResult {
mae: number
worstPrice: number
worstPriceTime: number
currentAdverseExcursion: number
}
export function calculateMAE(
position: Position,
currentPrice: number,
historicalData: HistoricalDataPoint[] = []
): MAEResult | null {
if (!position || !currentPrice || position.entryPrice <= 0) {
return null
}
const entryPrice = position.entryPrice
const side = position.side || (position.quantity > 0 ? 'LONG' : 'SHORT')
const entryTime = position.entryTime || Date.now()
// If we have historical data, find the worst price since entry
if (historicalData && historicalData.length > 0) {
// Filter historical data to only include data after entry time
const relevantData = historicalData.filter(candle =>
candle.time && candle.time >= entryTime
)
if (relevantData.length > 0) {
if (side === 'LONG') {
// For LONG: find the lowest price since entry
const lowestPrice = Math.min(...relevantData.map(c => c.low || c.close))
const mae = ((entryPrice - lowestPrice) / entryPrice) * 100
return {
mae: mae,
worstPrice: lowestPrice,
worstPriceTime: relevantData.find(c => (c.low || c.close) === lowestPrice)?.time || entryTime,
currentAdverseExcursion: ((entryPrice - currentPrice) / entryPrice) * 100
}
} else {
// For SHORT: find the highest price since entry
const highestPrice = Math.max(...relevantData.map(c => c.high || c.close))
const mae = ((highestPrice - entryPrice) / entryPrice) * 100
return {
mae: mae,
worstPrice: highestPrice,
worstPriceTime: relevantData.find(c => (c.high || c.close) === highestPrice)?.time || entryTime,
currentAdverseExcursion: ((currentPrice - entryPrice) / entryPrice) * 100
}
}
}
}
// Fallback: calculate current adverse excursion if no historical data
let currentAdverseExcursion = 0
if (side === 'LONG') {
// For LONG: adverse excursion is negative if price is below entry
currentAdverseExcursion = currentPrice < entryPrice
? ((entryPrice - currentPrice) / entryPrice) * 100
: 0
} else {
// For SHORT: adverse excursion is negative if price is above entry
currentAdverseExcursion = currentPrice > entryPrice
? ((currentPrice - entryPrice) / entryPrice) * 100
: 0
}
return {
mae: currentAdverseExcursion, // Use current as MAE if no historical data
worstPrice: side === 'LONG' ? Math.min(entryPrice, currentPrice) : Math.max(entryPrice, currentPrice),
worstPriceTime: entryTime,
currentAdverseExcursion: currentAdverseExcursion
}
}
