feat(strategy): add EMA Crossover strategy

3 files changed, 169 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml b/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml
new file mode 100644
index 0000000..6127e1a
--- /dev/null
+++ b/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml
@@ -0,0 +1,3 @@
+short_period: 9
+long_period: 21
+quantity: "0.01"
diff --git a/services/strategy-engine/strategies/ema_crossover_strategy.py b/services/strategy-engine/strategies/ema_crossover_strategy.py
new file mode 100644
index 0000000..17234a3
--- /dev/null
+++ b/services/strategy-engine/strategies/ema_crossover_strategy.py
@@ -0,0 +1,67 @@
+from collections import deque
+from decimal import Decimal
+
+import pandas as pd
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class EmaCrossoverStrategy(BaseStrategy):
+    name: str = "ema_crossover"
+
+    def __init__(self) -> None:
+        self._closes: deque[float] = deque(maxlen=500)
+        self._short_period: int = 9
+        self._long_period: int = 21
+        self._quantity: Decimal = Decimal("0.01")
+        self._prev_short_above: bool | None = None
+
+    @property
+    def warmup_period(self) -> int:
+        return self._long_period
+
+    def configure(self, params: dict) -> None:
+        self._short_period = int(params.get("short_period", 9))
+        self._long_period = int(params.get("long_period", 21))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+
+    def reset(self) -> None:
+        self._closes.clear()
+        self._prev_short_above = None
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        self._closes.append(float(candle.close))
+
+        if len(self._closes) < self._long_period:
+            return None
+
+        series = pd.Series(list(self._closes))
+        short_ema = series.ewm(span=self._short_period, adjust=False).mean().iloc[-1]
+        long_ema = series.ewm(span=self._long_period, adjust=False).mean().iloc[-1]
+
+        short_above = short_ema > long_ema
+
+        signal = None
+        if self._prev_short_above is not None:
+            if not self._prev_short_above and short_above:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"Golden Cross: short EMA ({short_ema:.2f}) crossed above long EMA ({long_ema:.2f})",
+                )
+            elif self._prev_short_above and not short_above:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"Death Cross: short EMA ({short_ema:.2f}) crossed below long EMA ({long_ema:.2f})",
+                )
+
+        self._prev_short_above = short_above
+        return signal
diff --git a/services/strategy-engine/tests/test_ema_crossover_strategy.py b/services/strategy-engine/tests/test_ema_crossover_strategy.py
new file mode 100644
index 0000000..5a40319
--- /dev/null
+++ b/services/strategy-engine/tests/test_ema_crossover_strategy.py
@@ -0,0 +1,99 @@
+"""Tests for the EMA Crossover strategy."""
+from datetime import datetime, timezone
+from decimal import Decimal
+
+import pytest
+
+from shared.models import Candle, OrderSide
+from strategies.ema_crossover_strategy import EmaCrossoverStrategy
+
+
+def make_candle(close: float) -> Candle:
+    return Candle(
+        symbol="BTC/USDT",
+        timeframe="1m",
+        open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
+        open=Decimal(str(close)),
+        high=Decimal(str(close)),
+        low=Decimal(str(close)),
+        close=Decimal(str(close)),
+        volume=Decimal("1.0"),
+    )
+
+
+def _make_strategy(short: int = 3, long: int = 6) -> EmaCrossoverStrategy:
+    s = EmaCrossoverStrategy()
+    s.configure({"short_period": short, "long_period": long, "quantity": "0.01"})
+    return s
+
+
+def test_ema_warmup_period():
+    strategy = _make_strategy(short=3, long=6)
+    assert strategy.warmup_period == 6
+
+
+def test_ema_no_signal_insufficient_data():
+    strategy = _make_strategy(short=3, long=6)
+    # Feed fewer candles than warmup_period
+    for price in [100, 101, 102, 103, 104]:
+        result = strategy.on_candle(make_candle(price))
+        assert result is None
+
+
+def test_ema_buy_signal_golden_cross():
+    strategy = _make_strategy(short=3, long=6)
+
+    # Declining prices so short EMA stays below long EMA
+    declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
+    for price in declining:
+        strategy.on_candle(make_candle(price))
+
+    # Sharp rise to force short EMA above long EMA (golden cross)
+    rising = [120, 140, 160]
+    signal = None
+    for price in rising:
+        result = strategy.on_candle(make_candle(price))
+        if result is not None:
+            signal = result
+
+    assert signal is not None
+    assert signal.side == OrderSide.BUY
+    assert "Golden Cross" in signal.reason
+
+
+def test_ema_sell_signal_death_cross():
+    strategy = _make_strategy(short=3, long=6)
+
+    # Rising prices so short EMA stays above long EMA
+    rising = [80, 82, 84, 86, 88, 90, 92, 94, 96, 98]
+    for price in rising:
+        strategy.on_candle(make_candle(price))
+
+    # Sharp decline to force short EMA below long EMA (death cross)
+    declining = [60, 40, 20]
+    signal = None
+    for price in declining:
+        result = strategy.on_candle(make_candle(price))
+        if result is not None:
+            signal = result
+
+    assert signal is not None
+    assert signal.side == OrderSide.SELL
+    assert "Death Cross" in signal.reason
+
+
+def test_ema_reset_clears_state():
+    strategy = _make_strategy(short=3, long=6)
+
+    # Feed enough data to produce a signal
+    for price in [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]:
+        strategy.on_candle(make_candle(price))
+
+    strategy.reset()
+
+    # After reset, insufficient data again — no signal
+    result = strategy.on_candle(make_candle(100))
+    assert result is None
+    # Internal state should be cleared
+    assert len(strategy._closes) == 1
+    assert strategy._prev_short_above is None