feat(strategy): add EMA Crossover strategy

1 files changed, 67 insertions, 0 deletions

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