diff options
Diffstat (limited to 'services/strategy-engine/strategies')
| -rw-r--r-- | services/strategy-engine/strategies/asian_session_rsi.py | 21 | ||||
| -rw-r--r-- | services/strategy-engine/strategies/config/asian_session_rsi.yaml | 2 |
2 files changed, 22 insertions, 1 deletions
diff --git a/services/strategy-engine/strategies/asian_session_rsi.py b/services/strategy-engine/strategies/asian_session_rsi.py index 741cd63..1874591 100644 --- a/services/strategy-engine/strategies/asian_session_rsi.py +++ b/services/strategy-engine/strategies/asian_session_rsi.py @@ -36,6 +36,9 @@ class AsianSessionRsiStrategy(BaseStrategy): self._max_trades_per_day: int = 3 self._max_consecutive_losses: int = 2 self._use_sentiment: bool = True + self._ema_period: int = 20 + self._require_bullish_candle: bool = True + self._prev_candle_bullish: bool = False # Sentiment (updated externally before each session) self._sentiment: SentimentData | None = None # State @@ -63,6 +66,8 @@ class AsianSessionRsiStrategy(BaseStrategy): self._max_trades_per_day = int(params.get("max_trades_per_day", 3)) self._max_consecutive_losses = int(params.get("max_consecutive_losses", 2)) self._use_sentiment = bool(params.get("use_sentiment", True)) + self._ema_period = int(params.get("ema_period", 20)) + self._require_bullish_candle = bool(params.get("require_bullish_candle", True)) if self._quantity <= 0: raise ValueError(f"Quantity must be positive, got {self._quantity}") @@ -89,6 +94,7 @@ class AsianSessionRsiStrategy(BaseStrategy): self._in_position = False self._entry_price = 0.0 self._sentiment = None + self._prev_candle_bullish = False def update_sentiment(self, sentiment: SentimentData) -> None: """Update sentiment data. Call before each trading session.""" @@ -130,6 +136,14 @@ class AsianSessionRsiStrategy(BaseStrategy): avg = sum(self._volumes) / len(self._volumes) return self._volumes[-1] >= avg + def _price_above_ema(self) -> bool: + """Check if current price is above short-term EMA.""" + if len(self._closes) < self._ema_period: + return True # Not enough data, allow by default + series = pd.Series(list(self._closes)) + ema_val = series.ewm(span=self._ema_period, adjust=False).mean().iloc[-1] + return self._closes[-1] >= ema_val + def on_candle(self, candle: Candle) -> Signal | None: self._update_filter_data(candle) @@ -137,6 +151,9 @@ class AsianSessionRsiStrategy(BaseStrategy): self._closes.append(close) self._volumes.append(float(candle.volume)) + # Track candle direction for bullish confirmation + is_bullish = float(candle.close) >= float(candle.open) + # Daily reset day = candle.open_time.strftime("%Y-%m-%d") if self._today != day: @@ -218,7 +235,9 @@ class AsianSessionRsiStrategy(BaseStrategy): if rsi is None: return None - if rsi < self._rsi_oversold and self._volume_above_average(): + if rsi < self._rsi_oversold and self._volume_above_average() and self._price_above_ema(): + if self._require_bullish_candle and not is_bullish: + return None # Wait for bullish candle confirmation self._in_position = True self._entry_price = close self._trades_today += 1 diff --git a/services/strategy-engine/strategies/config/asian_session_rsi.yaml b/services/strategy-engine/strategies/config/asian_session_rsi.yaml index 21d7715..bc7c5c9 100644 --- a/services/strategy-engine/strategies/config/asian_session_rsi.yaml +++ b/services/strategy-engine/strategies/config/asian_session_rsi.yaml @@ -10,3 +10,5 @@ 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 +ema_period: 20 +require_bullish_candle: true |