feat(strategy): add Asian Session RSI strategy for SOL/USDT scalping

Simple time-based + RSI strategy for small capital day trading:
- Trading window: KST 9:00-11:00 (UTC 0:00-2:00)
- Entry: RSI(14) < 25 + volume above average
- Exit: +1.5% TP, -0.7% SL, or session end time exit
- Risk: max 3 trades/day, pause after 2 consecutive losses
- Config: ~$75 per trade (10% of 100만원 capital)

2 files changed, 231 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/asian_session_rsi.py b/services/strategy-engine/strategies/asian_session_rsi.py
new file mode 100644
index 0000000..f22c3eb
--- /dev/null
+++ b/services/strategy-engine/strategies/asian_session_rsi.py
@@ -0,0 +1,219 @@
+"""Asian Session RSI Strategy — 한국시간 9:00~11:00 단타.
+
+규칙:
+- SOL/USDT 5분봉
+- 매수: RSI(14) < 25 + 볼륨 > 평균
+- 익절: +1.5%, 손절: -0.7%, 시간청산: 11:00 KST (02:00 UTC)
+- 하루 최대 3회, 2연패 시 중단
+"""
+
+from collections import deque
+from decimal import Decimal
+from datetime import datetime
+
+import pandas as pd
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class AsianSessionRsiStrategy(BaseStrategy):
+    name: str = "asian_session_rsi"
+
+    def __init__(self) -> None:
+        super().__init__()
+        self._rsi_period: int = 14
+        self._rsi_oversold: float = 25.0
+        self._rsi_overbought: float = 75.0
+        self._quantity: Decimal = Decimal("0.1")
+        self._take_profit_pct: float = 1.5
+        self._stop_loss_pct: float = 0.7
+        # Session: 00:00~02:00 UTC = 09:00~11:00 KST
+        self._session_start_utc: int = 0
+        self._session_end_utc: int = 2
+        self._max_trades_per_day: int = 3
+        self._max_consecutive_losses: int = 2
+        # State
+        self._closes: deque[float] = deque(maxlen=200)
+        self._volumes: deque[float] = deque(maxlen=50)
+        self._today: str | None = None
+        self._trades_today: int = 0
+        self._consecutive_losses: int = 0
+        self._in_position: bool = False
+        self._entry_price: float = 0.0
+
+    @property
+    def warmup_period(self) -> int:
+        return self._rsi_period + 1
+
+    def configure(self, params: dict) -> None:
+        self._rsi_period = int(params.get("rsi_period", 14))
+        self._rsi_oversold = float(params.get("rsi_oversold", 25.0))
+        self._rsi_overbought = float(params.get("rsi_overbought", 75.0))
+        self._quantity = Decimal(str(params.get("quantity", "0.1")))
+        self._take_profit_pct = float(params.get("take_profit_pct", 1.5))
+        self._stop_loss_pct = float(params.get("stop_loss_pct", 0.7))
+        self._session_start_utc = int(params.get("session_start_utc", 0))
+        self._session_end_utc = int(params.get("session_end_utc", 2))
+        self._max_trades_per_day = int(params.get("max_trades_per_day", 3))
+        self._max_consecutive_losses = int(params.get("max_consecutive_losses", 2))
+
+        if self._quantity <= 0:
+            raise ValueError(f"Quantity must be positive, got {self._quantity}")
+        if self._stop_loss_pct <= 0:
+            raise ValueError(f"Stop loss must be positive, got {self._stop_loss_pct}")
+        if self._take_profit_pct <= 0:
+            raise ValueError(f"Take profit must be positive, got {self._take_profit_pct}")
+
+        self._init_filters(
+            require_trend=False,
+            adx_threshold=25.0,
+            min_volume_ratio=0.5,
+            atr_stop_multiplier=1.5,
+            atr_tp_multiplier=2.0,
+        )
+
+    def reset(self) -> None:
+        super().reset()
+        self._closes.clear()
+        self._volumes.clear()
+        self._today = None
+        self._trades_today = 0
+        self._consecutive_losses = 0
+        self._in_position = False
+        self._entry_price = 0.0
+
+    def _is_session_active(self, dt: datetime) -> bool:
+        """Check if current time is within trading session."""
+        hour = dt.hour
+        if self._session_start_utc <= self._session_end_utc:
+            return self._session_start_utc <= hour < self._session_end_utc
+        # Wrap around midnight
+        return hour >= self._session_start_utc or hour < self._session_end_utc
+
+    def _compute_rsi(self) -> float | None:
+        if len(self._closes) < self._rsi_period + 1:
+            return None
+        series = pd.Series(list(self._closes))
+        delta = series.diff()
+        gain = delta.clip(lower=0)
+        loss = -delta.clip(upper=0)
+        avg_gain = gain.ewm(com=self._rsi_period - 1, min_periods=self._rsi_period).mean()
+        avg_loss = loss.ewm(com=self._rsi_period - 1, min_periods=self._rsi_period).mean()
+        rs = avg_gain / avg_loss.replace(0, float("nan"))
+        rsi = 100 - (100 / (1 + rs))
+        val = rsi.iloc[-1]
+        if pd.isna(val):
+            return None
+        return float(val)
+
+    def _volume_above_average(self) -> bool:
+        if len(self._volumes) < 20:
+            return True  # Not enough data, allow
+        avg = sum(self._volumes) / len(self._volumes)
+        return self._volumes[-1] >= avg
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        self._update_filter_data(candle)
+
+        close = float(candle.close)
+        self._closes.append(close)
+        self._volumes.append(float(candle.volume))
+
+        # Daily reset
+        day = candle.open_time.strftime("%Y-%m-%d")
+        if self._today != day:
+            self._today = day
+            self._trades_today = 0
+            # Don't reset consecutive_losses — carries across days
+
+        # Check exit conditions first (if in position)
+        if self._in_position:
+            pnl_pct = (close - self._entry_price) / self._entry_price * 100
+
+            # Take profit
+            if pnl_pct >= self._take_profit_pct:
+                self._in_position = False
+                self._consecutive_losses = 0
+                return self._apply_filters(Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=0.9,
+                    reason=f"Take profit {pnl_pct:.2f}% >= {self._take_profit_pct}%",
+                ))
+
+            # Stop loss
+            if pnl_pct <= -self._stop_loss_pct:
+                self._in_position = False
+                self._consecutive_losses += 1
+                return self._apply_filters(Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=1.0,
+                    reason=f"Stop loss {pnl_pct:.2f}% <= -{self._stop_loss_pct}%",
+                ))
+
+            # Time exit: session ended while in position
+            if not self._is_session_active(candle.open_time):
+                self._in_position = False
+                if pnl_pct < 0:
+                    self._consecutive_losses += 1
+                else:
+                    self._consecutive_losses = 0
+                return self._apply_filters(Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    conviction=0.5,
+                    reason=f"Time exit (session ended), PnL {pnl_pct:.2f}%",
+                ))
+
+            return None  # Still in position, no action
+
+        # Entry conditions
+        if not self._is_session_active(candle.open_time):
+            return None  # Outside trading hours
+
+        if self._trades_today >= self._max_trades_per_day:
+            return None  # Daily limit reached
+
+        if self._consecutive_losses >= self._max_consecutive_losses:
+            return None  # Consecutive loss limit
+
+        rsi = self._compute_rsi()
+        if rsi is None:
+            return None
+
+        if rsi < self._rsi_oversold and self._volume_above_average():
+            self._in_position = True
+            self._entry_price = close
+            self._trades_today += 1
+
+            # Conviction: lower RSI = stronger signal
+            conv = min((self._rsi_oversold - rsi) / self._rsi_oversold, 1.0)
+            conv = max(conv, 0.3)
+
+            sl = candle.close * (1 - Decimal(str(self._stop_loss_pct / 100)))
+            tp = candle.close * (1 + Decimal(str(self._take_profit_pct / 100)))
+
+            return self._apply_filters(Signal(
+                strategy=self.name,
+                symbol=candle.symbol,
+                side=OrderSide.BUY,
+                price=candle.close,
+                quantity=self._quantity,
+                conviction=conv,
+                stop_loss=sl,
+                take_profit=tp,
+                reason=f"RSI {rsi:.1f} < {self._rsi_oversold} (session active, vol OK)",
+            ))
+
+        return None
diff --git a/services/strategy-engine/strategies/config/asian_session_rsi.yaml b/services/strategy-engine/strategies/config/asian_session_rsi.yaml
new file mode 100644
index 0000000..21d7715
--- /dev/null
+++ b/services/strategy-engine/strategies/config/asian_session_rsi.yaml
@@ -0,0 +1,12 @@
+# Asian Session RSI — SOL/USDT 5분봉 단타
+# 한국시간 9:00~11:00 (UTC 0:00~2:00)
+rsi_period: 14
+rsi_oversold: 25
+rsi_overbought: 75
+quantity: "0.5"           # SOL 0.5개 (~$75, 100만원의 10%)
+take_profit_pct: 1.5      # 익절 1.5%
+stop_loss_pct: 0.7        # 손절 0.7%
+session_start_utc: 0      # UTC 0시 = KST 9시
+session_end_utc: 2        # UTC 2시 = KST 11시
+max_trades_per_day: 3     # 하루 최대 3회
+max_consecutive_losses: 2  # 2연패 시 중단