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

2 files changed, 115 insertions, 0 deletions

diff --git a/services/strategy-engine/tests/test_macd_strategy.py b/services/strategy-engine/tests/test_macd_strategy.py
index 9931b43..cd24ee0 100644
--- a/services/strategy-engine/tests/test_macd_strategy.py
+++ b/services/strategy-engine/tests/test_macd_strategy.py
@@ -78,3 +78,61 @@ def test_macd_reset_clears_state():
     s.reset()
     assert len(s._closes) == 0
     assert s._prev_histogram is None
+    assert s._prev_macd is None
+    assert s._prev_signal is None
+
+
+def test_macd_signal_line_crossover():
+    """Test that MACD signal-line crossover generates signals."""
+    s = _make_strategy()
+    # Declining then rising prices should produce a signal-line bullish crossover
+    prices = [100, 99, 98, 97, 96, 95, 94, 93, 92, 91, 90, 89, 88]
+    prices += [89, 91, 94, 98, 103, 109, 116, 124, 133, 143]
+    signals = []
+    for p in prices:
+        result = s.on_candle(_candle(float(p)))
+        if result is not None:
+            signals.append(result)
+
+    buy_signals = [sig for sig in signals if sig.side == OrderSide.BUY]
+    assert len(buy_signals) > 0, "Expected at least one BUY signal"
+    # Check that at least one is a signal-line crossover or histogram crossover
+    all_reasons = [sig.reason for sig in buy_signals]
+    assert any("crossover" in r for r in all_reasons), f"Expected crossover signal, got: {all_reasons}"
+
+
+def test_macd_conviction_varies_with_distance():
+    """Test that conviction varies based on MACD distance from zero line."""
+    s1 = _make_strategy()
+    s2 = _make_strategy()
+
+    # Small price movements -> MACD near zero -> lower conviction
+    small_prices = [100, 99.5, 99, 98.5, 98, 97.5, 97, 96.5, 96, 95.5, 95, 94.5, 94]
+    small_prices += [94.5, 95, 95.5, 96, 96.5, 97, 97.5, 98, 98.5, 99]
+    small_signals = []
+    for p in small_prices:
+        result = s1.on_candle(_candle(float(p)))
+        if result is not None:
+            small_signals.append(result)
+
+    # Large price movements -> MACD far from zero -> higher conviction
+    large_prices = [100, 95, 90, 85, 80, 75, 70, 65, 60, 55, 50, 45, 40]
+    large_prices += [45, 55, 70, 90, 115, 145, 180, 220, 265, 315]
+    large_signals = []
+    for p in large_prices:
+        result = s2.on_candle(_candle(float(p)))
+        if result is not None:
+            large_signals.append(result)
+
+    # Both should produce signals
+    assert len(small_signals) > 0, "Expected signals from small movements"
+    assert len(large_signals) > 0, "Expected signals from large movements"
+
+    # The large-movement signals should generally have higher conviction
+    # (or at least different conviction, since distance from zero affects it)
+    small_conv = small_signals[-1].conviction
+    large_conv = large_signals[-1].conviction
+    # Large movements should produce conviction >= small movements
+    assert large_conv >= small_conv, (
+        f"Expected large movement conviction ({large_conv}) >= small ({small_conv})"
+    )
diff --git a/services/strategy-engine/tests/test_rsi_strategy.py b/services/strategy-engine/tests/test_rsi_strategy.py
index 2a2f4e7..b2aecc9 100644
--- a/services/strategy-engine/tests/test_rsi_strategy.py
+++ b/services/strategy-engine/tests/test_rsi_strategy.py
@@ -43,3 +43,60 @@ def test_rsi_strategy_buy_signal_on_oversold():
     # if a signal is returned, it must be a BUY
     if signal is not None:
         assert signal.side == OrderSide.BUY
+
+
+def test_rsi_detects_bullish_divergence():
+    """Bullish divergence: price makes lower low, RSI makes higher low."""
+    strategy = RsiStrategy()
+    strategy.configure({"period": 5, "oversold": 20, "overbought": 80})
+    strategy._filter_enabled = False  # Disable filters to test divergence logic only
+
+    # Sharp consecutive drop to 50 drives RSI near 0 (first swing low).
+    # Big recovery, then gradual decline to 48 (lower price, but RSI > 0 = higher low).
+    prices = [100.0] * 7
+    prices += [85.0, 70.0, 55.0, 50.0]
+    prices += [55.0, 65.0, 80.0, 95.0, 110.0, 120.0, 130.0, 135.0, 140.0, 142.0, 143.0, 144.0]
+    prices += [142.0, 140.0, 138.0, 135.0, 130.0, 125.0, 120.0, 115.0, 110.0, 105.0]
+    prices += [100.0, 95.0, 90.0, 85.0, 80.0, 75.0, 70.0, 65.0, 60.0, 55.0, 50.0, 48.0]
+    prices += [52.0, 58.0]
+
+    signals = []
+    for p in prices:
+        result = strategy.on_candle(make_candle(p))
+        if result is not None:
+            signals.append(result)
+
+    divergence_signals = [s for s in signals if "divergence" in s.reason]
+    assert len(divergence_signals) > 0, "Expected at least one bullish divergence signal"
+    assert divergence_signals[0].side == OrderSide.BUY
+    assert divergence_signals[0].conviction == 0.9
+    assert "bullish divergence" in divergence_signals[0].reason
+
+
+def test_rsi_detects_bearish_divergence():
+    """Bearish divergence: price makes higher high, RSI makes lower high."""
+    strategy = RsiStrategy()
+    strategy.configure({"period": 5, "oversold": 20, "overbought": 80})
+    strategy._filter_enabled = False  # Disable filters to test divergence logic only
+
+    # Sharp consecutive rise to 160 drives RSI very high (first swing high).
+    # Deep pullback, then rise to 162 (higher price) but with a dip right before
+    # the peak to dampen RSI (lower high).
+    prices = [100.0] * 7
+    prices += [110.0, 120.0, 130.0, 140.0, 150.0, 160.0]
+    prices += [155.0, 145.0, 130.0, 115.0, 100.0, 90.0, 80.0]
+    prices += [90.0, 100.0, 110.0, 120.0, 130.0, 140.0, 150.0]
+    prices += [145.0, 162.0]
+    prices += [155.0, 148.0]
+
+    signals = []
+    for p in prices:
+        result = strategy.on_candle(make_candle(p))
+        if result is not None:
+            signals.append(result)
+
+    divergence_signals = [s for s in signals if "divergence" in s.reason]
+    assert len(divergence_signals) > 0, "Expected at least one bearish divergence signal"
+    assert divergence_signals[0].side == OrderSide.SELL
+    assert divergence_signals[0].conviction == 0.9
+    assert "bearish divergence" in divergence_signals[0].reason