feat(strategy): add combined strategy with weighted signal voting

3 files changed, 248 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/combined_strategy.py b/services/strategy-engine/strategies/combined_strategy.py
new file mode 100644
index 0000000..e99dfdf
--- /dev/null
+++ b/services/strategy-engine/strategies/combined_strategy.py
@@ -0,0 +1,88 @@
+"""Combined strategy that aggregates signals from multiple sub-strategies."""
+from decimal import Decimal
+from typing import Optional
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class CombinedStrategy(BaseStrategy):
+    """Combines multiple strategies using weighted signal voting.
+
+    Each sub-strategy votes BUY (+weight), SELL (-weight), or HOLD (0).
+    The combined signal fires when the weighted sum exceeds a threshold.
+    """
+    name: str = "combined"
+
+    def __init__(self) -> None:
+        self._strategies: list[tuple[BaseStrategy, float]] = []  # (strategy, weight)
+        self._threshold: float = 0.5
+        self._quantity: Decimal = Decimal("0.01")
+
+    @property
+    def warmup_period(self) -> int:
+        if not self._strategies:
+            return 0
+        return max(s.warmup_period for s, _ in self._strategies)
+
+    def configure(self, params: dict) -> None:
+        self._threshold = float(params.get("threshold", 0.5))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+        if self._threshold <= 0:
+            raise ValueError(f"Threshold must be positive, got {self._threshold}")
+        if self._quantity <= 0:
+            raise ValueError(f"Quantity must be positive, got {self._quantity}")
+
+    def add_strategy(self, strategy: BaseStrategy, weight: float = 1.0) -> None:
+        """Add a sub-strategy with a weight."""
+        if weight <= 0:
+            raise ValueError(f"Weight must be positive, got {weight}")
+        self._strategies.append((strategy, weight))
+
+    def reset(self) -> None:
+        for strategy, _ in self._strategies:
+            strategy.reset()
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        if not self._strategies:
+            return None
+
+        total_weight = sum(w for _, w in self._strategies)
+        if total_weight == 0:
+            return None
+
+        score = 0.0
+        reasons = []
+
+        for strategy, weight in self._strategies:
+            signal = strategy.on_candle(candle)
+            if signal is not None:
+                if signal.side == OrderSide.BUY:
+                    score += weight
+                    reasons.append(f"{strategy.name}:BUY({weight})")
+                elif signal.side == OrderSide.SELL:
+                    score -= weight
+                    reasons.append(f"{strategy.name}:SELL({weight})")
+
+        normalized = score / total_weight  # Range: -1.0 to 1.0
+
+        if normalized >= self._threshold:
+            return Signal(
+                strategy=self.name,
+                symbol=candle.symbol,
+                side=OrderSide.BUY,
+                price=candle.close,
+                quantity=self._quantity,
+                reason=f"Combined score {normalized:.2f} >= {self._threshold} [{', '.join(reasons)}]",
+            )
+        elif normalized <= -self._threshold:
+            return Signal(
+                strategy=self.name,
+                symbol=candle.symbol,
+                side=OrderSide.SELL,
+                price=candle.close,
+                quantity=self._quantity,
+                reason=f"Combined score {normalized:.2f} <= -{self._threshold} [{', '.join(reasons)}]",
+            )
+
+        return None
diff --git a/services/strategy-engine/strategies/config/combined_strategy.yaml b/services/strategy-engine/strategies/config/combined_strategy.yaml
new file mode 100644
index 0000000..9b5a575
--- /dev/null
+++ b/services/strategy-engine/strategies/config/combined_strategy.yaml
@@ -0,0 +1,2 @@
+threshold: 0.5
+quantity: "0.01"
diff --git a/services/strategy-engine/tests/test_combined_strategy.py b/services/strategy-engine/tests/test_combined_strategy.py
new file mode 100644
index 0000000..b860dca
--- /dev/null
+++ b/services/strategy-engine/tests/test_combined_strategy.py
@@ -0,0 +1,158 @@
+"""Tests for Combined strategy."""
+import sys
+from pathlib import Path
+sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
+
+from decimal import Decimal
+from datetime import datetime, timezone
+import pytest
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.combined_strategy import CombinedStrategy
+from strategies.base import BaseStrategy
+
+
+class AlwaysBuyStrategy(BaseStrategy):
+    name = "always_buy"
+
+    @property
+    def warmup_period(self) -> int:
+        return 0
+
+    def configure(self, params: dict) -> None:
+        pass
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        return Signal(
+            strategy=self.name, symbol=candle.symbol,
+            side=OrderSide.BUY, price=candle.close,
+            quantity=Decimal("0.01"), reason="always buy",
+        )
+
+
+class AlwaysSellStrategy(BaseStrategy):
+    name = "always_sell"
+
+    @property
+    def warmup_period(self) -> int:
+        return 0
+
+    def configure(self, params: dict) -> None:
+        pass
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        return Signal(
+            strategy=self.name, symbol=candle.symbol,
+            side=OrderSide.SELL, price=candle.close,
+            quantity=Decimal("0.01"), reason="always sell",
+        )
+
+
+class NeutralStrategy(BaseStrategy):
+    name = "neutral"
+
+    @property
+    def warmup_period(self) -> int:
+        return 0
+
+    def configure(self, params: dict) -> None:
+        pass
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        return None
+
+
+def _candle(price=100.0):
+    return Candle(
+        symbol="BTCUSDT", timeframe="1m",
+        open_time=datetime(2025, 1, 1, tzinfo=timezone.utc),
+        open=Decimal(str(price)), high=Decimal(str(price+10)),
+        low=Decimal(str(price-10)), close=Decimal(str(price)),
+        volume=Decimal("10"),
+    )
+
+
+def test_combined_no_strategies():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.5})
+    assert c.on_candle(_candle()) is None
+
+
+def test_combined_unanimous_buy():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.5})
+    c.add_strategy(AlwaysBuyStrategy(), weight=1.0)
+    c.add_strategy(AlwaysBuyStrategy(), weight=1.0)
+    sig = c.on_candle(_candle())
+    assert sig is not None
+    assert sig.side == OrderSide.BUY
+
+
+def test_combined_unanimous_sell():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.5})
+    c.add_strategy(AlwaysSellStrategy(), weight=1.0)
+    c.add_strategy(AlwaysSellStrategy(), weight=1.0)
+    sig = c.on_candle(_candle())
+    assert sig is not None
+    assert sig.side == OrderSide.SELL
+
+
+def test_combined_conflicting_signals_cancel():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.5})
+    c.add_strategy(AlwaysBuyStrategy(), weight=1.0)
+    c.add_strategy(AlwaysSellStrategy(), weight=1.0)
+    sig = c.on_candle(_candle())
+    assert sig is None  # Score = 0, below threshold
+
+
+def test_combined_weighted_buy():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.3})
+    c.add_strategy(AlwaysBuyStrategy(), weight=3.0)
+    c.add_strategy(AlwaysSellStrategy(), weight=1.0)
+    sig = c.on_candle(_candle())
+    assert sig is not None
+    assert sig.side == OrderSide.BUY  # Score = (3-1)/4 = 0.5 >= 0.3
+
+
+def test_combined_neutral_doesnt_affect_score():
+    c = CombinedStrategy()
+    c.configure({"threshold": 0.5})
+    c.add_strategy(AlwaysBuyStrategy(), weight=1.0)
+    c.add_strategy(NeutralStrategy(), weight=1.0)
+    sig = c.on_candle(_candle())
+    assert sig is not None
+    assert sig.side == OrderSide.BUY  # Score = 1/2 = 0.5 >= 0.5
+
+
+def test_combined_warmup_is_max():
+    c = CombinedStrategy()
+    c.configure({})
+    s1 = AlwaysBuyStrategy()
+    s2 = NeutralStrategy()
+    c.add_strategy(s1)
+    c.add_strategy(s2)
+    assert c.warmup_period == 0
+
+
+def test_combined_reset_resets_all():
+    c = CombinedStrategy()
+    c.configure({})
+    c.add_strategy(AlwaysBuyStrategy())
+    c.on_candle(_candle())
+    c.reset()  # Should not crash
+
+
+def test_combined_invalid_threshold():
+    c = CombinedStrategy()
+    with pytest.raises(ValueError):
+        c.configure({"threshold": -1})
+
+
+def test_combined_invalid_weight():
+    c = CombinedStrategy()
+    c.configure({})
+    with pytest.raises(ValueError):
+        c.add_strategy(AlwaysBuyStrategy(), weight=-1.0)