From 2faec2f1f1631bd286a5c55051e582f8abe2898c Mon Sep 17 00:00:00 2001
From: TheSiahxyz <164138827+TheSiahxyz@users.noreply.github.com>
Date: Wed, 1 Apr 2026 16:16:03 +0900
Subject: feat(strategy): add MACD strategy

---
 .../strategies/config/macd_strategy.yaml           |  4 ++
 .../strategy-engine/strategies/macd_strategy.py    | 75 ++++++++++++++++++++++
 2 files changed, 79 insertions(+)
 create mode 100644 services/strategy-engine/strategies/config/macd_strategy.yaml
 create mode 100644 services/strategy-engine/strategies/macd_strategy.py

(limited to 'services/strategy-engine/strategies')

diff --git a/services/strategy-engine/strategies/config/macd_strategy.yaml b/services/strategy-engine/strategies/config/macd_strategy.yaml
new file mode 100644
index 0000000..9d55c39
--- /dev/null
+++ b/services/strategy-engine/strategies/config/macd_strategy.yaml
@@ -0,0 +1,4 @@
+fast_period: 12
+slow_period: 26
+signal_period: 9
+quantity: "0.01"
diff --git a/services/strategy-engine/strategies/macd_strategy.py b/services/strategy-engine/strategies/macd_strategy.py
new file mode 100644
index 0000000..049574e
--- /dev/null
+++ b/services/strategy-engine/strategies/macd_strategy.py
@@ -0,0 +1,75 @@
+from collections import deque
+from decimal import Decimal
+
+import pandas as pd
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class MacdStrategy(BaseStrategy):
+    name: str = "macd"
+
+    def __init__(self) -> None:
+        self._fast_period: int = 12
+        self._slow_period: int = 26
+        self._signal_period: int = 9
+        self._quantity: Decimal = Decimal("0.01")
+        self._closes: deque[float] = deque(maxlen=500)
+        self._prev_histogram: float | None = None
+
+    @property
+    def warmup_period(self) -> int:
+        return self._slow_period + self._signal_period
+
+    def configure(self, params: dict) -> None:
+        self._fast_period = int(params.get("fast_period", 12))
+        self._slow_period = int(params.get("slow_period", 26))
+        self._signal_period = int(params.get("signal_period", 9))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+
+    def reset(self) -> None:
+        self._closes.clear()
+        self._prev_histogram = None
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        self._closes.append(float(candle.close))
+
+        if len(self._closes) < self.warmup_period:
+            return None
+
+        series = pd.Series(list(self._closes))
+
+        fast_ema = series.ewm(span=self._fast_period, adjust=False).mean()
+        slow_ema = series.ewm(span=self._slow_period, adjust=False).mean()
+        macd_line = fast_ema - slow_ema
+        signal_line = macd_line.ewm(span=self._signal_period, adjust=False).mean()
+        histogram = macd_line - signal_line
+
+        current_histogram = float(histogram.iloc[-1])
+        signal = None
+
+        if self._prev_histogram is not None:
+            # Bullish crossover: histogram crosses from negative to positive
+            if self._prev_histogram <= 0 and current_histogram > 0:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"MACD bullish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
+                )
+            # Bearish crossover: histogram crosses from positive to negative
+            elif self._prev_histogram >= 0 and current_histogram < 0:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"MACD bearish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
+                )
+
+        self._prev_histogram = current_histogram
+        return signal
-- 
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