feat(strategy): apply filters, conviction scoring, and ATR stops to all strategies

1 files changed, 25 insertions, 1 deletions

diff --git a/services/strategy-engine/strategies/macd_strategy.py b/services/strategy-engine/strategies/macd_strategy.py
index bf30ed3..67c5e44 100644
--- a/services/strategy-engine/strategies/macd_strategy.py
+++ b/services/strategy-engine/strategies/macd_strategy.py
@@ -43,11 +43,30 @@ class MacdStrategy(BaseStrategy):
         if self._quantity <= 0:
             raise ValueError(f"Quantity must be positive, got {self._quantity}")
 
+        self._init_filters(
+            require_trend=True,
+            adx_threshold=float(params.get("adx_threshold", 25.0)),
+            min_volume_ratio=float(params.get("min_volume_ratio", 0.5)),
+            atr_stop_multiplier=float(params.get("atr_stop_multiplier", 2.0)),
+            atr_tp_multiplier=float(params.get("atr_tp_multiplier", 3.0)),
+        )
+
     def reset(self) -> None:
         self._closes.clear()
         self._prev_histogram = None
 
+    def _macd_conviction(self, histogram_value: float, price: float) -> float:
+        """Map histogram magnitude to conviction (0.1-1.0).
+
+        Normalize by price to make it scale-independent.
+        """
+        if price == 0:
+            return 0.5
+        normalized = abs(histogram_value) / price * 1000  # scale to reasonable range
+        return min(1.0, max(0.1, normalized))
+
     def on_candle(self, candle: Candle) -> Signal | None:
+        self._update_filter_data(candle)
         self._closes.append(float(candle.close))
 
         if len(self._closes) < self.warmup_period:
@@ -65,6 +84,7 @@ class MacdStrategy(BaseStrategy):
         signal = None
 
         if self._prev_histogram is not None:
+            conviction = self._macd_conviction(current_histogram, float(candle.close))
             # Bullish crossover: histogram crosses from negative to positive
             if self._prev_histogram <= 0 and current_histogram > 0:
                 signal = Signal(
@@ -73,6 +93,7 @@ class MacdStrategy(BaseStrategy):
                     side=OrderSide.BUY,
                     price=candle.close,
                     quantity=self._quantity,
+                    conviction=conviction,
                     reason=f"MACD bullish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
                 )
             # Bearish crossover: histogram crosses from positive to negative
@@ -83,8 +104,11 @@ class MacdStrategy(BaseStrategy):
                     side=OrderSide.SELL,
                     price=candle.close,
                     quantity=self._quantity,
+                    conviction=conviction,
                     reason=f"MACD bearish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
                 )
 
         self._prev_histogram = current_histogram
-        return signal
+        if signal is not None:
+            return self._apply_filters(signal)
+        return None