Add trend MACD spot strategy

crypto_spot_bot/indicators.py

@@ -15,6 +15,7 @@ def add_indicators(candles: list[Candle]) -> list[Candle]:
     ema200 = _ema(closes, 200)
     rsi14 = _rsi(closes, 14)
     atr14 = _atr(highs, lows, closes, 14)
+    macd, macd_signal, macd_hist = _macd(closes)
     volume_ma20 = _sma(volumes, 20)
     for index, candle in enumerate(candles):
         candle.ema_20 = ema20[index]
@@ -22,6 +23,9 @@ def add_indicators(candles: list[Candle]) -> list[Candle]:
         candle.ema_200 = ema200[index]
         candle.rsi_14 = rsi14[index]
         candle.atr_14 = atr14[index]
+        candle.macd = macd[index]
+        candle.macd_signal = macd_signal[index]
+        candle.macd_hist = macd_hist[index]
         candle.volume_ma_20 = volume_ma20[index]
     return candles
 
@@ -104,3 +108,33 @@ def _atr(highs: list[float], lows: list[float], closes: list[float], period: int
         atr = ((atr * (period - 1)) + true_ranges[index]) / period
         result[index] = atr
     return result
+
+
+def _macd(
+    closes: list[float],
+    fast_period: int = 12,
+    slow_period: int = 26,
+    signal_period: int = 9,
+) -> tuple[list[float | None], list[float | None], list[float | None]]:
+    ema_fast = _ema(closes, fast_period)
+    ema_slow = _ema(closes, slow_period)
+    macd_line: list[float | None] = []
+    compact_macd: list[float] = []
+    compact_indexes: list[int] = []
+    for index, (fast, slow) in enumerate(zip(ema_fast, ema_slow)):
+        value = None if fast is None or slow is None else fast - slow
+        macd_line.append(value)
+        if value is not None:
+            compact_macd.append(value)
+            compact_indexes.append(index)
+
+    signal_line: list[float | None] = [None] * len(closes)
+    hist: list[float | None] = [None] * len(closes)
+    compact_signal = _ema(compact_macd, signal_period)
+    for compact_index, original_index in enumerate(compact_indexes):
+        signal = compact_signal[compact_index]
+        macd_value = macd_line[original_index]
+        signal_line[original_index] = signal
+        if macd_value is not None and signal is not None:
+            hist[original_index] = macd_value - signal
+    return macd_line, signal_line, hist