feat(strategy): add EMA pullback entry and VWAP daily reset with deviation bands

2 files changed, 153 insertions, 4 deletions

diff --git a/services/strategy-engine/tests/test_ema_crossover_strategy.py b/services/strategy-engine/tests/test_ema_crossover_strategy.py
index 0cf767b..ee26a33 100644
--- a/services/strategy-engine/tests/test_ema_crossover_strategy.py
+++ b/services/strategy-engine/tests/test_ema_crossover_strategy.py
@@ -21,9 +21,9 @@ def make_candle(close: float) -> Candle:
     )
 
 
-def _make_strategy(short: int = 3, long: int = 6) -> EmaCrossoverStrategy:
+def _make_strategy(short: int = 3, long: int = 6, pullback_enabled: bool = False) -> EmaCrossoverStrategy:
     s = EmaCrossoverStrategy()
-    s.configure({"short_period": short, "long_period": long, "quantity": "0.01"})
+    s.configure({"short_period": short, "long_period": long, "quantity": "0.01", "pullback_enabled": pullback_enabled})
     return s
 
 
@@ -97,3 +97,106 @@ def test_ema_reset_clears_state():
     # Internal state should be cleared
     assert len(strategy._closes) == 1
     assert strategy._prev_short_above is None
+    assert strategy._pending_signal is None
+
+
+def test_ema_pullback_entry():
+    """Crossover detected, then pullback to short EMA triggers signal."""
+    strategy = EmaCrossoverStrategy()
+    strategy.configure({
+        "short_period": 3,
+        "long_period": 6,
+        "quantity": "0.01",
+        "pullback_enabled": True,
+        "pullback_tolerance": 0.05,  # 5% tolerance for test simplicity
+    })
+
+    # Declining prices so short EMA stays below long EMA
+    declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
+    for price in declining:
+        strategy.on_candle(make_candle(price))
+
+    # Sharp rise to force golden cross — with pullback enabled, no signal yet
+    rising = [120, 140, 160]
+    signal = None
+    for price in rising:
+        result = strategy.on_candle(make_candle(price))
+        if result is not None:
+            signal = result
+
+    # With pullback enabled, crossover should NOT produce immediate signal
+    # but _pending_signal should be set
+    assert strategy._pending_signal == "BUY"
+
+    # Now feed a candle whose close is near the short EMA (pullback)
+    # The short EMA will be tracking recent prices; feed a price that pulls back
+    # toward it. We use a moderate price to get close to short EMA.
+    import pandas as pd
+    series = pd.Series(list(strategy._closes))
+    short_ema_val = series.ewm(span=3, adjust=False).mean().iloc[-1]
+    # Feed a candle at approximately the short EMA value
+    result = strategy.on_candle(make_candle(short_ema_val))
+    assert result is not None
+    assert result.side == OrderSide.BUY
+    assert "pullback" in result.reason
+
+
+def test_ema_pullback_cancelled_on_reversal():
+    """Crossover detected, then reversal cancels the pending signal."""
+    strategy = EmaCrossoverStrategy()
+    strategy.configure({
+        "short_period": 3,
+        "long_period": 6,
+        "quantity": "0.01",
+        "pullback_enabled": True,
+        "pullback_tolerance": 0.001,  # Very tight tolerance — won't trigger easily
+    })
+
+    # Declining prices
+    declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
+    for price in declining:
+        strategy.on_candle(make_candle(price))
+
+    # Sharp rise to force golden cross
+    for price in [120, 140, 160]:
+        strategy.on_candle(make_candle(price))
+
+    assert strategy._pending_signal == "BUY"
+
+    # Now sharp decline to reverse the crossover (death cross)
+    for price in [60, 40, 20]:
+        strategy.on_candle(make_candle(price))
+
+    # The BUY pending signal should be cancelled because short EMA fell below long EMA.
+    # A new death cross may set _pending_signal to "SELL", but the original "BUY" is gone.
+    assert strategy._pending_signal != "BUY"
+
+
+def test_ema_immediate_mode():
+    """With pullback_enabled=False, original immediate entry works."""
+    strategy = EmaCrossoverStrategy()
+    strategy.configure({
+        "short_period": 3,
+        "long_period": 6,
+        "quantity": "0.01",
+        "pullback_enabled": False,
+    })
+
+    # Declining prices so short EMA stays below long EMA
+    declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
+    for price in declining:
+        strategy.on_candle(make_candle(price))
+
+    # Sharp rise to force golden cross — immediate mode should fire signal
+    rising = [120, 140, 160]
+    signal = None
+    for price in rising:
+        result = strategy.on_candle(make_candle(price))
+        if result is not None:
+            signal = result
+
+    assert signal is not None
+    assert signal.side == OrderSide.BUY
+    assert "Golden Cross" in signal.reason
+    # No pending signal should be set
+    assert strategy._pending_signal is None
diff --git a/services/strategy-engine/tests/test_vwap_strategy.py b/services/strategy-engine/tests/test_vwap_strategy.py
index 5d76b04..2cc4766 100644
--- a/services/strategy-engine/tests/test_vwap_strategy.py
+++ b/services/strategy-engine/tests/test_vwap_strategy.py
@@ -1,6 +1,6 @@
 """Tests for the VWAP strategy."""
 
-from datetime import datetime, timezone
+from datetime import datetime, timezone, timedelta
 from decimal import Decimal
 
 
@@ -13,15 +13,18 @@ def make_candle(
     high: float | None = None,
     low: float | None = None,
     volume: float = 1.0,
+    open_time: datetime | None = None,
 ) -> Candle:
     if high is None:
         high = close
     if low is None:
         low = close
+    if open_time is None:
+        open_time = datetime(2024, 1, 1, tzinfo=timezone.utc)
     return Candle(
         symbol="BTC/USDT",
         timeframe="1m",
-        open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
+        open_time=open_time,
         open=Decimal(str(close)),
         high=Decimal(str(high)),
         low=Decimal(str(low)),
@@ -99,3 +102,46 @@ def test_vwap_reset_clears_state():
     assert strategy._candle_count == 0
     assert strategy._was_below_vwap is False
     assert strategy._was_above_vwap is False
+    assert strategy._current_date is None
+    assert len(strategy._tp_values) == 0
+    assert len(strategy._vwap_values) == 0
+
+
+def test_vwap_daily_reset():
+    """Candles from two different dates cause VWAP to reset."""
+    strategy = _configured_strategy()
+
+    day1 = datetime(2024, 1, 1, tzinfo=timezone.utc)
+    day2 = datetime(2024, 1, 2, tzinfo=timezone.utc)
+
+    # Feed 35 candles on day 1 to build VWAP state
+    for i in range(35):
+        strategy.on_candle(make_candle(100.0, high=101.0, low=99.0, open_time=day1))
+
+    # Verify state is built up
+    assert strategy._candle_count == 35
+    assert strategy._cumulative_vol > 0
+    assert strategy._current_date == "2024-01-01"
+
+    # Feed first candle of day 2 — should reset
+    strategy.on_candle(make_candle(100.0, high=101.0, low=99.0, open_time=day2))
+
+    # After reset, candle_count should be 1 (the new candle)
+    assert strategy._candle_count == 1
+    assert strategy._current_date == "2024-01-02"
+
+
+def test_vwap_reset_clears_date():
+    """Verify reset() clears _current_date and deviation band state."""
+    strategy = _configured_strategy()
+
+    for _ in range(35):
+        strategy.on_candle(make_candle(100.0))
+
+    assert strategy._current_date is not None
+
+    strategy.reset()
+
+    assert strategy._current_date is None
+    assert len(strategy._tp_values) == 0
+    assert len(strategy._vwap_values) == 0