feat: wire sentiment into engine + add EMA/bullish candle entry filters

1 files changed, 20 insertions, 1 deletions

diff --git a/services/strategy-engine/strategies/asian_session_rsi.py b/services/strategy-engine/strategies/asian_session_rsi.py
index 741cd63..1874591 100644
--- a/services/strategy-engine/strategies/asian_session_rsi.py
+++ b/services/strategy-engine/strategies/asian_session_rsi.py
@@ -36,6 +36,9 @@ class AsianSessionRsiStrategy(BaseStrategy):
         self._max_trades_per_day: int = 3
         self._max_consecutive_losses: int = 2
         self._use_sentiment: bool = True
+        self._ema_period: int = 20
+        self._require_bullish_candle: bool = True
+        self._prev_candle_bullish: bool = False
         # Sentiment (updated externally before each session)
         self._sentiment: SentimentData | None = None
         # State
@@ -63,6 +66,8 @@ class AsianSessionRsiStrategy(BaseStrategy):
         self._max_trades_per_day = int(params.get("max_trades_per_day", 3))
         self._max_consecutive_losses = int(params.get("max_consecutive_losses", 2))
         self._use_sentiment = bool(params.get("use_sentiment", True))
+        self._ema_period = int(params.get("ema_period", 20))
+        self._require_bullish_candle = bool(params.get("require_bullish_candle", True))
 
         if self._quantity <= 0:
             raise ValueError(f"Quantity must be positive, got {self._quantity}")
@@ -89,6 +94,7 @@ class AsianSessionRsiStrategy(BaseStrategy):
         self._in_position = False
         self._entry_price = 0.0
         self._sentiment = None
+        self._prev_candle_bullish = False
 
     def update_sentiment(self, sentiment: SentimentData) -> None:
         """Update sentiment data. Call before each trading session."""
@@ -130,6 +136,14 @@ class AsianSessionRsiStrategy(BaseStrategy):
         avg = sum(self._volumes) / len(self._volumes)
         return self._volumes[-1] >= avg
 
+    def _price_above_ema(self) -> bool:
+        """Check if current price is above short-term EMA."""
+        if len(self._closes) < self._ema_period:
+            return True  # Not enough data, allow by default
+        series = pd.Series(list(self._closes))
+        ema_val = series.ewm(span=self._ema_period, adjust=False).mean().iloc[-1]
+        return self._closes[-1] >= ema_val
+
     def on_candle(self, candle: Candle) -> Signal | None:
         self._update_filter_data(candle)
 
@@ -137,6 +151,9 @@ class AsianSessionRsiStrategy(BaseStrategy):
         self._closes.append(close)
         self._volumes.append(float(candle.volume))
 
+        # Track candle direction for bullish confirmation
+        is_bullish = float(candle.close) >= float(candle.open)
+
         # Daily reset
         day = candle.open_time.strftime("%Y-%m-%d")
         if self._today != day:
@@ -218,7 +235,9 @@ class AsianSessionRsiStrategy(BaseStrategy):
         if rsi is None:
             return None
 
-        if rsi < self._rsi_oversold and self._volume_above_average():
+        if rsi < self._rsi_oversold and self._volume_above_average() and self._price_above_ema():
+            if self._require_bullish_candle and not is_bullish:
+                return None  # Wait for bullish candle confirmation
             self._in_position = True
             self._entry_price = close
             self._trades_today += 1