From 99fb46f40619b7c7be1698419ed105252dae7cdd 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 EMA Crossover strategy

---
 .../strategies/config/ema_crossover_strategy.yaml  |  3 +
 .../strategies/ema_crossover_strategy.py           | 67 ++++++++++++++++++++++
 2 files changed, 70 insertions(+)
 create mode 100644 services/strategy-engine/strategies/config/ema_crossover_strategy.yaml
 create mode 100644 services/strategy-engine/strategies/ema_crossover_strategy.py

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

diff --git a/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml b/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml
new file mode 100644
index 0000000..6127e1a
--- /dev/null
+++ b/services/strategy-engine/strategies/config/ema_crossover_strategy.yaml
@@ -0,0 +1,3 @@
+short_period: 9
+long_period: 21
+quantity: "0.01"
diff --git a/services/strategy-engine/strategies/ema_crossover_strategy.py b/services/strategy-engine/strategies/ema_crossover_strategy.py
new file mode 100644
index 0000000..17234a3
--- /dev/null
+++ b/services/strategy-engine/strategies/ema_crossover_strategy.py
@@ -0,0 +1,67 @@
+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 EmaCrossoverStrategy(BaseStrategy):
+    name: str = "ema_crossover"
+
+    def __init__(self) -> None:
+        self._closes: deque[float] = deque(maxlen=500)
+        self._short_period: int = 9
+        self._long_period: int = 21
+        self._quantity: Decimal = Decimal("0.01")
+        self._prev_short_above: bool | None = None
+
+    @property
+    def warmup_period(self) -> int:
+        return self._long_period
+
+    def configure(self, params: dict) -> None:
+        self._short_period = int(params.get("short_period", 9))
+        self._long_period = int(params.get("long_period", 21))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+
+    def reset(self) -> None:
+        self._closes.clear()
+        self._prev_short_above = None
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        self._closes.append(float(candle.close))
+
+        if len(self._closes) < self._long_period:
+            return None
+
+        series = pd.Series(list(self._closes))
+        short_ema = series.ewm(span=self._short_period, adjust=False).mean().iloc[-1]
+        long_ema = series.ewm(span=self._long_period, adjust=False).mean().iloc[-1]
+
+        short_above = short_ema > long_ema
+
+        signal = None
+        if self._prev_short_above is not None:
+            if not self._prev_short_above and short_above:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"Golden Cross: short EMA ({short_ema:.2f}) crossed above long EMA ({long_ema:.2f})",
+                )
+            elif self._prev_short_above and not short_above:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"Death Cross: short EMA ({short_ema:.2f}) crossed below long EMA ({long_ema:.2f})",
+                )
+
+        self._prev_short_above = short_above
+        return signal
-- 
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