feat(strategy): add Grid trend guard and Bollinger squeeze detection

1 files changed, 31 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/grid_strategy.py b/services/strategy-engine/strategies/grid_strategy.py
index 70443ec..07ccaba 100644
--- a/services/strategy-engine/strategies/grid_strategy.py
+++ b/services/strategy-engine/strategies/grid_strategy.py
@@ -18,6 +18,9 @@ class GridStrategy(BaseStrategy):
         self._quantity: Decimal = Decimal("0.01")
         self._grid_levels: list[float] = []
         self._last_zone: Optional[int] = None
+        self._exit_threshold_pct: float = 5.0
+        self._out_of_range: bool = False
+        self._in_position: bool = False  # Track if we have any grid positions
 
     @property
     def warmup_period(self) -> int:
@@ -29,11 +32,17 @@ class GridStrategy(BaseStrategy):
         self._grid_count = int(params.get("grid_count", 5))
         self._quantity = Decimal(str(params.get("quantity", "0.01")))
 
+        self._exit_threshold_pct = float(params.get("exit_threshold_pct", 5.0))
+
         if self._lower_price >= self._upper_price:
             raise ValueError(
                 f"Grid lower_price must be < upper_price, "
                 f"got lower={self._lower_price}, upper={self._upper_price}"
             )
+        if self._exit_threshold_pct <= 0:
+            raise ValueError(
+                f"exit_threshold_pct must be > 0, got {self._exit_threshold_pct}"
+            )
         if self._grid_count < 2:
             raise ValueError(f"Grid grid_count must be >= 2, got {self._grid_count}")
         if self._quantity <= 0:
@@ -53,7 +62,9 @@ class GridStrategy(BaseStrategy):
         )
 
     def reset(self) -> None:
+        super().reset()
         self._last_zone = None
+        self._out_of_range = False
 
     def _get_zone(self, price: float) -> int:
         """Return the grid zone index for a given price.
@@ -69,6 +80,26 @@ class GridStrategy(BaseStrategy):
     def on_candle(self, candle: Candle) -> Signal | None:
         self._update_filter_data(candle)
         price = float(candle.close)
+
+        # Check if price is out of grid range
+        if self._grid_levels:
+            lower_bound = self._grid_levels[0] * (1 - self._exit_threshold_pct / 100)
+            upper_bound = self._grid_levels[-1] * (1 + self._exit_threshold_pct / 100)
+
+            if price < lower_bound or price > upper_bound:
+                if not self._out_of_range:
+                    self._out_of_range = True
+                    # Exit signal — close positions
+                    return self._apply_filters(Signal(
+                        strategy=self.name, symbol=candle.symbol,
+                        side=OrderSide.SELL, price=candle.close,
+                        quantity=self._quantity, conviction=0.8,
+                        reason=f"Grid: price {price:.2f} broke out of range [{self._grid_levels[0]:.2f}, {self._grid_levels[-1]:.2f}]",
+                    ))
+                return None  # Already out of range, no more signals
+            else:
+                self._out_of_range = False
+
         current_zone = self._get_zone(price)
 
         if self._last_zone is None: