From da6c9598f92057e2fcbb206aa7466b6997a455f3 Mon Sep 17 00:00:00 2001
From: TheSiahxyz <164138827+TheSiahxyz@users.noreply.github.com>
Date: Thu, 2 Apr 2026 09:18:30 +0900
Subject: feat(strategy): add EMA pullback entry and VWAP daily reset with
 deviation bands

---
 .../tests/test_ema_crossover_strategy.py           | 107 ++++++++++++++++++++-
 1 file changed, 105 insertions(+), 2 deletions(-)

(limited to 'services/strategy-engine/tests/test_ema_crossover_strategy.py')

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
-- 
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