feat(strategy): add RSI divergence detection and MACD signal-line crossover

2 files changed, 130 insertions, 6 deletions

diff --git a/services/strategy-engine/strategies/macd_strategy.py b/services/strategy-engine/strategies/macd_strategy.py
index 67c5e44..4ce0737 100644
--- a/services/strategy-engine/strategies/macd_strategy.py
+++ b/services/strategy-engine/strategies/macd_strategy.py
@@ -18,6 +18,8 @@ class MacdStrategy(BaseStrategy):
         self._quantity: Decimal = Decimal("0.01")
         self._closes: deque[float] = deque(maxlen=500)
         self._prev_histogram: float | None = None
+        self._prev_macd: float | None = None
+        self._prev_signal: float | None = None
 
     @property
     def warmup_period(self) -> int:
@@ -54,6 +56,8 @@ class MacdStrategy(BaseStrategy):
     def reset(self) -> None:
         self._closes.clear()
         self._prev_histogram = None
+        self._prev_macd = None
+        self._prev_signal = None
 
     def _macd_conviction(self, histogram_value: float, price: float) -> float:
         """Map histogram magnitude to conviction (0.1-1.0).
@@ -81,13 +85,45 @@ class MacdStrategy(BaseStrategy):
         histogram = macd_line - signal_line
 
         current_histogram = float(histogram.iloc[-1])
-        signal = None
+        macd_val = float(macd_line.iloc[-1])
+        signal_val = float(signal_line.iloc[-1])
+        result_signal = None
+
+        # Signal-line crossover detection (MACD crosses signal line directly)
+        if self._prev_macd is not None and self._prev_signal is not None:
+            # Bullish: MACD crosses above signal
+            if self._prev_macd <= self._prev_signal and macd_val > signal_val:
+                distance_from_zero = abs(macd_val) / float(candle.close) * 1000
+                conv = min(max(distance_from_zero, 0.3), 1.0)
+                result_signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=conv,
+                    reason=f"MACD signal-line bullish crossover",
+                )
+            # Bearish: MACD crosses below signal
+            elif self._prev_macd >= self._prev_signal and macd_val < signal_val:
+                distance_from_zero = abs(macd_val) / float(candle.close) * 1000
+                conv = min(max(distance_from_zero, 0.3), 1.0)
+                result_signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=conv,
+                    reason=f"MACD signal-line bearish crossover",
+                )
 
-        if self._prev_histogram is not None:
+        # Histogram crossover detection (existing logic, as secondary signal)
+        if result_signal is None and 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(
+                result_signal = Signal(
                     strategy=self.name,
                     symbol=candle.symbol,
                     side=OrderSide.BUY,
@@ -98,7 +134,7 @@ class MacdStrategy(BaseStrategy):
                 )
             # Bearish crossover: histogram crosses from positive to negative
             elif self._prev_histogram >= 0 and current_histogram < 0:
-                signal = Signal(
+                result_signal = Signal(
                     strategy=self.name,
                     symbol=candle.symbol,
                     side=OrderSide.SELL,
@@ -109,6 +145,8 @@ class MacdStrategy(BaseStrategy):
                 )
 
         self._prev_histogram = current_histogram
-        if signal is not None:
-            return self._apply_filters(signal)
+        self._prev_macd = macd_val
+        self._prev_signal = signal_val
+        if result_signal is not None:
+            return self._apply_filters(result_signal)
         return None
diff --git a/services/strategy-engine/strategies/rsi_strategy.py b/services/strategy-engine/strategies/rsi_strategy.py
index 0ec6780..0646d8c 100644
--- a/services/strategy-engine/strategies/rsi_strategy.py
+++ b/services/strategy-engine/strategies/rsi_strategy.py
@@ -34,6 +34,14 @@ class RsiStrategy(BaseStrategy):
         self._oversold: float = 30.0
         self._overbought: float = 70.0
         self._quantity: Decimal = Decimal("0.01")
+        # Divergence detection state
+        self._price_lows: deque[float] = deque(maxlen=5)
+        self._price_highs: deque[float] = deque(maxlen=5)
+        self._rsi_at_lows: deque[float] = deque(maxlen=5)
+        self._rsi_at_highs: deque[float] = deque(maxlen=5)
+        self._prev_close: float | None = None
+        self._prev_prev_close: float | None = None
+        self._prev_rsi: float | None = None
 
     @property
     def warmup_period(self) -> int:
@@ -65,6 +73,13 @@ class RsiStrategy(BaseStrategy):
 
     def reset(self) -> None:
         self._closes.clear()
+        self._price_lows.clear()
+        self._price_highs.clear()
+        self._rsi_at_lows.clear()
+        self._rsi_at_highs.clear()
+        self._prev_close = None
+        self._prev_prev_close = None
+        self._prev_rsi = None
 
     def _rsi_conviction(self, rsi_value: float) -> float:
         """Map RSI value to conviction strength (0.0-1.0).
@@ -86,14 +101,76 @@ class RsiStrategy(BaseStrategy):
         self._closes.append(float(candle.close))
 
         if len(self._closes) < self._period + 1:
+            self._prev_prev_close = self._prev_close
+            self._prev_close = float(candle.close)
             return None
 
         series = pd.Series(list(self._closes))
         rsi_value = _compute_rsi(series, self._period)
 
         if rsi_value is None:
+            self._prev_prev_close = self._prev_close
+            self._prev_close = float(candle.close)
             return None
 
+        close = float(candle.close)
+
+        # Detect swing points for divergence
+        if self._prev_close is not None and self._prev_prev_close is not None:
+            # Swing low: prev_close < both neighbors
+            if self._prev_close < self._prev_prev_close and self._prev_close < close:
+                self._price_lows.append(self._prev_close)
+                self._rsi_at_lows.append(
+                    self._prev_rsi if self._prev_rsi is not None else rsi_value
+                )
+            # Swing high: prev_close > both neighbors
+            if self._prev_close > self._prev_prev_close and self._prev_close > close:
+                self._price_highs.append(self._prev_close)
+                self._rsi_at_highs.append(
+                    self._prev_rsi if self._prev_rsi is not None else rsi_value
+                )
+
+        # Check bullish divergence: price lower low, RSI higher low
+        if len(self._price_lows) >= 2:
+            if (
+                self._price_lows[-1] < self._price_lows[-2]
+                and self._rsi_at_lows[-1] > self._rsi_at_lows[-2]
+            ):
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=0.9,
+                    reason="RSI bullish divergence",
+                )
+                self._prev_rsi = rsi_value
+                self._prev_prev_close = self._prev_close
+                self._prev_close = close
+                return self._apply_filters(signal)
+
+        # Check bearish divergence: price higher high, RSI lower high
+        if len(self._price_highs) >= 2:
+            if (
+                self._price_highs[-1] > self._price_highs[-2]
+                and self._rsi_at_highs[-1] < self._rsi_at_highs[-2]
+            ):
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=0.9,
+                    reason="RSI bearish divergence",
+                )
+                self._prev_rsi = rsi_value
+                self._prev_prev_close = self._prev_close
+                self._prev_close = close
+                return self._apply_filters(signal)
+
+        # Existing oversold/overbought logic (secondary signals)
         if rsi_value < self._oversold:
             signal = Signal(
                 strategy=self.name,
@@ -104,6 +181,9 @@ class RsiStrategy(BaseStrategy):
                 conviction=self._rsi_conviction(rsi_value),
                 reason=f"RSI {rsi_value:.2f} below oversold threshold {self._oversold}",
             )
+            self._prev_rsi = rsi_value
+            self._prev_prev_close = self._prev_close
+            self._prev_close = close
             return self._apply_filters(signal)
         elif rsi_value > self._overbought:
             signal = Signal(
@@ -115,6 +195,12 @@ class RsiStrategy(BaseStrategy):
                 conviction=self._rsi_conviction(rsi_value),
                 reason=f"RSI {rsi_value:.2f} above overbought threshold {self._overbought}",
             )
+            self._prev_rsi = rsi_value
+            self._prev_prev_close = self._prev_close
+            self._prev_close = close
             return self._apply_filters(signal)
 
+        self._prev_rsi = rsi_value
+        self._prev_prev_close = self._prev_close
+        self._prev_close = close
         return None