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

1 files changed, 15 insertions, 2 deletions

diff --git a/services/strategy-engine/strategies/volume_profile_strategy.py b/services/strategy-engine/strategies/volume_profile_strategy.py
index 2cfa87a..324f1c2 100644
--- a/services/strategy-engine/strategies/volume_profile_strategy.py
+++ b/services/strategy-engine/strategies/volume_profile_strategy.py
@@ -43,6 +43,14 @@ class VolumeProfileStrategy(BaseStrategy):
         if self._quantity <= 0:
             raise ValueError(f"Quantity must be positive, got {self._quantity}")
 
+        self._init_filters(
+            require_trend=False,
+            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._candles.clear()
         self._was_below_va = False
@@ -106,6 +114,7 @@ class VolumeProfileStrategy(BaseStrategy):
         return (poc, va_low, va_high)
 
     def on_candle(self, candle: Candle) -> Signal | None:
+        self._update_filter_data(candle)
         close = float(candle.close)
         volume = float(candle.volume)
         self._candles.append((close, volume))
@@ -124,25 +133,29 @@ class VolumeProfileStrategy(BaseStrategy):
         # BUY: was below VA, price bounces back between va_low and poc
         if self._was_below_va and va_low <= close <= poc:
             self._was_below_va = False
-            return Signal(
+            signal = Signal(
                 strategy=self.name,
                 symbol=candle.symbol,
                 side=OrderSide.BUY,
                 price=candle.close,
                 quantity=self._quantity,
+                conviction=0.6,
                 reason=f"Price bounced from below VA low {va_low:.2f} to {close:.2f} (POC {poc:.2f})",
             )
+            return self._apply_filters(signal)
 
         # SELL: was above VA, price pulls back between poc and va_high
         if self._was_above_va and poc <= close <= va_high:
             self._was_above_va = False
-            return Signal(
+            signal = Signal(
                 strategy=self.name,
                 symbol=candle.symbol,
                 side=OrderSide.SELL,
                 price=candle.close,
                 quantity=self._quantity,
+                conviction=0.6,
                 reason=f"Price rejected from above VA high {va_high:.2f} to {close:.2f} (POC {poc:.2f})",
             )
+            return self._apply_filters(signal)
 
         return None