Add momentum strategy with QQQ-based TQQQ/SQQQ trading

Implements MomentumIndicator (samples QQQ direction) and
MomentumStrategy (buys TQQQ on up, SQQQ on down, exits at
+1% target or 1hr timeout). Wired into Bot via index.ts.
Also fixes vitest config to exclude dist/ from test discovery.

Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>

src/index.ts

@@ -1,9 +1,11 @@
 import { Alpaca } from "./alpaca";
 import { Bot } from "./bot";
 import { wait } from "./trading";
+import { MomentumStrategy } from "./momentum-strategy";
 
 const alpaca = new Alpaca(false);
-const bot = new Bot(alpaca, []);
+const momentum = new MomentumStrategy(1.0);
+const bot = new Bot(alpaca, [momentum]);
 
 async function main() {
     while(true) {

src/momentum-indicator.test.ts

@@ -0,0 +1,90 @@
+import { describe, it, expect, vi, beforeEach, afterEach } from 'vitest';
+import { MomentumIndicator } from './momentum-indicator';
+import type { Alpaca } from './alpaca';
+
+function mockAlpaca(overrides: Partial<Alpaca> = {}): Alpaca {
+    return {
+        getAccount: vi.fn(),
+        getAssets: vi.fn(),
+        getAsset: vi.fn(),
+        getClock: vi.fn(),
+        getLatestQuote: vi.fn(),
+        getLatestTrades: vi.fn(),
+        ...overrides,
+    } as unknown as Alpaca;
+}
+
+beforeEach(() => {
+    vi.useFakeTimers();
+});
+
+afterEach(() => {
+    vi.useRealTimers();
+    vi.restoreAllMocks();
+});
+
+describe('MomentumIndicator', () => {
+    it('returns up when second quote is higher', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 101, bp: 100 }),
+        });
+
+        const indicator = new MomentumIndicator({ settleDelay: 0, sampleDelay: 100 });
+        const promise = indicator.evaluate(alpaca);
+        await vi.advanceTimersByTimeAsync(100);
+        const result = await promise;
+
+        expect(result.direction).toBe('up');
+        expect(result.priceBefore).toBe(100);
+        expect(result.priceAfter).toBe(101);
+    });
+
+    it('returns down when second quote is lower', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 99, bp: 98 }),
+        });
+
+        const indicator = new MomentumIndicator({ settleDelay: 0, sampleDelay: 100 });
+        const promise = indicator.evaluate(alpaca);
+        await vi.advanceTimersByTimeAsync(100);
+        const result = await promise;
+
+        expect(result.direction).toBe('down');
+        expect(result.priceBefore).toBe(100);
+        expect(result.priceAfter).toBe(99);
+    });
+
+    it('returns up when prices are equal', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 100, bp: 99 }),
+        });
+
+        const indicator = new MomentumIndicator({ settleDelay: 0, sampleDelay: 100 });
+        const promise = indicator.evaluate(alpaca);
+        await vi.advanceTimersByTimeAsync(100);
+        const result = await promise;
+
+        expect(result.direction).toBe('up');
+    });
+
+    it('uses configured symbol', async () => {
+        const getLatestQuote = vi.fn()
+            .mockResolvedValueOnce({ ap: 50, bp: 49 })
+            .mockResolvedValueOnce({ ap: 51, bp: 50 });
+        const alpaca = mockAlpaca({ getLatestQuote });
+
+        const indicator = new MomentumIndicator({ symbol: 'SPY', settleDelay: 0, sampleDelay: 100 });
+        const promise = indicator.evaluate(alpaca);
+        await vi.advanceTimersByTimeAsync(100);
+        await promise;
+
+        expect(getLatestQuote).toHaveBeenCalledWith('SPY');
+        expect(getLatestQuote).toHaveBeenCalledTimes(2);
+    });
+});

src/momentum-indicator.ts

@@ -0,0 +1,46 @@
+import { Alpaca } from "./alpaca";
+import { Indicator } from "./indicator";
+import { wait } from "./trading";
+
+export interface MomentumResult {
+    direction: 'up' | 'down';
+    priceBefore: number;
+    priceAfter: number;
+}
+
+export interface MomentumIndicatorConfig {
+    symbol: string;
+    settleDelay: number;
+    sampleDelay: number;
+}
+
+const defaultConfig: MomentumIndicatorConfig = {
+    symbol: 'QQQ',
+    settleDelay: 60_000,
+    sampleDelay: 1_000,
+};
+
+export class MomentumIndicator implements Indicator<MomentumResult> {
+    name = 'momentum-indicator';
+    private config: MomentumIndicatorConfig;
+
+    constructor(config: Partial<MomentumIndicatorConfig> = {}) {
+        this.config = { ...defaultConfig, ...config };
+    }
+
+    async evaluate(alpaca: Alpaca): Promise<MomentumResult> {
+        await wait(this.config.settleDelay);
+
+        const before = await alpaca.getLatestQuote(this.config.symbol);
+        const priceBefore = before.ap;
+
+        await wait(this.config.sampleDelay);
+
+        const after = await alpaca.getLatestQuote(this.config.symbol);
+        const priceAfter = after.ap;
+
+        const direction = priceAfter >= priceBefore ? 'up' : 'down';
+
+        return { direction, priceBefore, priceAfter };
+    }
+}

src/momentum-strategy.test.ts

@@ -0,0 +1,139 @@
+import { describe, it, expect, vi, beforeEach, afterEach } from 'vitest';
+import { MomentumStrategy } from './momentum-strategy';
+import type { Alpaca } from './alpaca';
+
+function mockAlpaca(overrides: Partial<Alpaca> = {}): Alpaca {
+    return {
+        getAccount: vi.fn(),
+        getAssets: vi.fn(),
+        getAsset: vi.fn(),
+        getClock: vi.fn(),
+        getLatestQuote: vi.fn(),
+        getLatestTrades: vi.fn(),
+        ...overrides,
+    } as unknown as Alpaca;
+}
+
+const fastConfig = {
+    targetGain: 0.01,
+    holdTime: 1000,
+    pollInterval: 100,
+    indicatorConfig: { settleDelay: 0, sampleDelay: 100 },
+};
+
+beforeEach(() => {
+    vi.useFakeTimers();
+    vi.spyOn(console, 'log').mockImplementation(() => {});
+});
+
+afterEach(() => {
+    vi.useRealTimers();
+    vi.restoreAllMocks();
+});
+
+describe('MomentumStrategy', () => {
+    it('buys TQQQ when QQQ goes up', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                // indicator: QQQ before
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                // indicator: QQQ after (up)
+                .mockResolvedValueOnce({ ap: 101, bp: 100 })
+                // entry quote for TQQQ
+                .mockResolvedValueOnce({ ap: 50, bp: 49 })
+                // poll: hit target immediately
+                .mockResolvedValueOnce({ ap: 51, bp: 50.50 }),
+        });
+
+        const strategy = new MomentumStrategy(1.0, fastConfig);
+        const promise = strategy.execute(alpaca);
+        await vi.advanceTimersByTimeAsync(1000);
+        const signals = await promise;
+
+        expect(signals[0]).toEqual({ symbol: 'TQQQ', direction: 'buy', allocation: 1.0 });
+    });
+
+    it('buys SQQQ when QQQ goes down', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                // indicator: QQQ before
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                // indicator: QQQ after (down)
+                .mockResolvedValueOnce({ ap: 99, bp: 98 })
+                // entry quote for SQQQ
+                .mockResolvedValueOnce({ ap: 30, bp: 29 })
+                // poll: hit target immediately
+                .mockResolvedValueOnce({ ap: 31, bp: 30.30 }),
+        });
+
+        const strategy = new MomentumStrategy(1.0, fastConfig);
+        const promise = strategy.execute(alpaca);
+        await vi.advanceTimersByTimeAsync(1000);
+        const signals = await promise;
+
+        expect(signals[0]).toEqual({ symbol: 'SQQQ', direction: 'buy', allocation: 1.0 });
+    });
+
+    it('sells when bid hits 1% target', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                // indicator: QQQ samples
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 101, bp: 100 })
+                // entry quote: ask = 50
+                .mockResolvedValueOnce({ ap: 50, bp: 49 })
+                // poll 1: not yet (target = 50.50)
+                .mockResolvedValueOnce({ ap: 50.20, bp: 50.10 })
+                // poll 2: hit target
+                .mockResolvedValueOnce({ ap: 51, bp: 50.50 }),
+        });
+
+        const strategy = new MomentumStrategy(1.0, fastConfig);
+        const promise = strategy.execute(alpaca);
+        await vi.advanceTimersByTimeAsync(1000);
+        const signals = await promise;
+
+        expect(signals[1]).toEqual({ symbol: 'TQQQ', direction: 'sell', allocation: 1.0 });
+        expect(console.log).toHaveBeenCalledWith('[momentum] exit TQQQ — reason: target');
+    });
+
+    it('sells on timeout when target not reached', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                // indicator: QQQ samples
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 101, bp: 100 })
+                // entry quote: ask = 50
+                .mockResolvedValueOnce({ ap: 50, bp: 49 })
+                // all polls: never reach target
+                .mockResolvedValue({ ap: 50.10, bp: 49.90 }),
+        });
+
+        const strategy = new MomentumStrategy(1.0, fastConfig);
+        const promise = strategy.execute(alpaca);
+        await vi.advanceTimersByTimeAsync(2000);
+        const signals = await promise;
+
+        expect(signals[1]).toEqual({ symbol: 'TQQQ', direction: 'sell', allocation: 1.0 });
+        expect(console.log).toHaveBeenCalledWith('[momentum] exit TQQQ — reason: timeout');
+    });
+
+    it('returns both buy and sell signals', async () => {
+        const alpaca = mockAlpaca({
+            getLatestQuote: vi.fn()
+                .mockResolvedValueOnce({ ap: 100, bp: 99 })
+                .mockResolvedValueOnce({ ap: 101, bp: 100 })
+                .mockResolvedValueOnce({ ap: 50, bp: 49 })
+                .mockResolvedValueOnce({ ap: 51, bp: 50.50 }),
+        });
+
+        const strategy = new MomentumStrategy(1.0, fastConfig);
+        const promise = strategy.execute(alpaca);
+        await vi.advanceTimersByTimeAsync(1000);
+        const signals = await promise;
+
+        expect(signals).toHaveLength(2);
+        expect(signals[0].direction).toBe('buy');
+        expect(signals[1].direction).toBe('sell');
+    });
+});

src/momentum-strategy.ts

@@ -0,0 +1,61 @@
+import { Alpaca } from "./alpaca";
+import { Strategy, Signal } from "./strategy";
+import { MomentumIndicator, MomentumIndicatorConfig } from "./momentum-indicator";
+import { wait } from "./trading";
+
+export interface MomentumStrategyConfig {
+    targetGain: number;
+    holdTime: number;
+    pollInterval: number;
+    indicatorConfig?: Partial<MomentumIndicatorConfig>;
+}
+
+const defaultConfig: MomentumStrategyConfig = {
+    targetGain: 0.01,
+    holdTime: 3_600_000,
+    pollInterval: 5_000,
+};
+
+export class MomentumStrategy implements Strategy {
+    name = 'momentum';
+    capitalAllocation: number;
+    private config: MomentumStrategyConfig;
+    private indicator: MomentumIndicator;
+
+    constructor(capitalAllocation: number, config: Partial<MomentumStrategyConfig> = {}) {
+        this.capitalAllocation = capitalAllocation;
+        this.config = { ...defaultConfig, ...config };
+        this.indicator = new MomentumIndicator(this.config.indicatorConfig);
+    }
+
+    async execute(alpaca: Alpaca): Promise<Signal[]> {
+        const result = await this.indicator.evaluate(alpaca);
+        const symbol = result.direction === 'up' ? 'TQQQ' : 'SQQQ';
+
+        const entryQuote = await alpaca.getLatestQuote(symbol);
+        const entryPrice = entryQuote.ap;
+
+        const buy: Signal = { symbol, direction: 'buy', allocation: 1.0 };
+
+        const targetPrice = entryPrice * (1 + this.config.targetGain);
+        const deadline = Date.now() + this.config.holdTime;
+
+        let reason: 'target' | 'timeout' = 'timeout';
+
+        while (Date.now() < deadline) {
+            await wait(this.config.pollInterval);
+
+            const quote = await alpaca.getLatestQuote(symbol);
+            if (quote.bp >= targetPrice) {
+                reason = 'target';
+                break;
+            }
+        }
+
+        console.log(`[${this.name}] exit ${symbol} — reason: ${reason}`);
+
+        const sell: Signal = { symbol, direction: 'sell', allocation: 1.0 };
+
+        return [buy, sell];
+    }
+}

vitest.config.ts

@@ -3,5 +3,6 @@ import { defineConfig } from 'vitest/config';
 export default defineConfig({
     test: {
         globals: true,
+        exclude: ['dist/**', 'node_modules/**'],
     },
 });