Add trend MACD spot strategy

2026-06-21 09:15:38 +03:00
parent f19856ca6e
commit 8a211acf98
18 changed files with 593 additions and 81 deletions
@@ -21,8 +21,11 @@ def make_settings():
            auto_select_symbols=True,
            top_symbols_count=6,
            symbols=(),
-            base_interval="1",
+            strategy_mode="legacy",
+            base_interval="60",
            kline_limit=240,
+            trend_interval="D",
+            trend_kline_limit=260,
            loop_interval_seconds=5,
            fast_trading_enabled=False,
            fast_loop_interval_seconds=1.0,
@@ -62,6 +65,10 @@ def make_settings():
            kelly_sizing_enabled=True,
            kelly_fraction=0.25,
            kelly_max_fraction=0.20,
+            risk_per_trade_percent=0.01,
+            atr_trailing_multiplier=2.2,
+            trend_rsi_min=45.0,
+            trend_rsi_max=65.0,
            time_series_forecast_enabled=True,
            time_series_min_candles=120,
            time_series_forecast_horizon=3,
@@ -1,6 +1,6 @@
 from __future__ import annotations

-from crypto_spot_bot.bybit import BybitClient, _looks_like_leveraged_token, _looks_like_stablecoin
+from crypto_spot_bot.bybit import BybitClient, websocket_subscribe_message, _looks_like_leveraged_token, _looks_like_stablecoin


 def test_leveraged_token_filter() -> None:
@@ -56,3 +56,10 @@ def test_live_spot_order_explicitly_disables_leverage(make_settings, tmp_path) -
    assert captured["payload"]["category"] == "spot"
    assert captured["payload"]["isLeverage"] == 0
    assert captured["payload"]["orderFilter"] == "Order"
+
+
+def test_websocket_subscribe_uses_configured_kline_interval() -> None:
+    payload = websocket_subscribe_message(["BTCUSDT"], interval="60")
+
+    assert "kline.60.BTCUSDT" in payload
+    assert "kline.1.BTCUSDT" not in payload
@@ -63,10 +63,11 @@ def test_llm_advisor_is_disabled_by_default(tmp_path, monkeypatch) -> None:
    assert settings.llm_advisor_enabled is False


-def test_default_symbols_are_fixed_six_pairs(tmp_path, monkeypatch) -> None:
+def test_default_symbols_are_fixed_trend_pairs(tmp_path, monkeypatch) -> None:
    monkeypatch.delenv("AUTO_SELECT_SYMBOLS", raising=False)
    monkeypatch.delenv("TOP_SYMBOLS_COUNT", raising=False)
    monkeypatch.delenv("SYMBOLS", raising=False)
+    monkeypatch.delenv("STRATEGY_MODE", raising=False)
    monkeypatch.setenv("TRADING_MODE", "paper")
    env_file = tmp_path / ".env"
    env_file.write_text("TRADING_MODE=paper\nSYMBOLS=\n", encoding="utf-8")
@@ -74,5 +75,9 @@ def test_default_symbols_are_fixed_six_pairs(tmp_path, monkeypatch) -> None:
    settings = load_settings(env_file)

    assert settings.auto_select_symbols is False
-    assert settings.top_symbols_count == 6
+    assert settings.top_symbols_count == 3
    assert settings.symbols == FIXED_SPOT_SYMBOLS
+    assert settings.strategy_mode == "trend_macd"
+    assert settings.base_interval == "60"
+    assert settings.trend_interval == "D"
+    assert settings.risk_per_trade_percent == 0.01
@@ -129,3 +129,28 @@ def test_paper_broker_respects_adaptive_exposure_target(make_settings, tmp_path)

    assert position is None
    assert broker.open_positions() == []
+
+
+def test_trend_macd_broker_blocks_dca_for_same_symbol(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        strategy_mode="trend_macd",
+        min_position_usdt=1,
+        max_position_usdt=20,
+        max_symbol_exposure_usdt=20,
+        max_total_exposure_usdt=80,
+        max_open_positions=3,
+        max_positions_per_symbol=20,
+        max_entries_per_minute=0,
+    )
+    storage = Storage(settings.database_path)
+    broker = PaperBroker(settings, storage)
+    ticker = Ticker("BTCUSDT", 100, 99.9, 100.1, 10_000_000, 100, 0)
+    instrument = Instrument("BTCUSDT", "BTC", "USDT", "Trading", 0.01, 0.000001, 0.000001, 1)
+
+    first = broker.buy(Signal("BTCUSDT", "BUY", 0.8, "first", {"position_notional_usdt": 2}), ticker, instrument, {"BTCUSDT": 100})
+    second = broker.buy(Signal("BTCUSDT", "BUY", 0.8, "second", {"position_notional_usdt": 2}), ticker, instrument, {"BTCUSDT": 100})
+
+    assert first is not None
+    assert second is None
+    assert len(broker.open_positions()) == 1
@@ -25,4 +25,7 @@ def test_add_indicators_populates_long_periods() -> None:
    assert latest.ema_200 is not None
    assert latest.rsi_14 is not None
    assert latest.atr_14 is not None
+    assert latest.macd is not None
+    assert latest.macd_signal is not None
+    assert latest.macd_hist is not None
    assert latest.volume_ma_20 is not None
@@ -59,6 +59,180 @@ def _rebound_candles() -> list[Candle]:
    return candles


+def _trend_entry_candles(
+    *,
+    macd_cross_up: bool = True,
+    close: float = 105.0,
+    ema50: float = 100.0,
+    rsi: float = 55.0,
+) -> list[Candle]:
+    candles = []
+    for index in range(80):
+        candles.append(
+            Candle(
+                timestamp=index,
+                open=close - 0.4,
+                high=close + 0.8,
+                low=close - 0.8,
+                close=close,
+                volume=100,
+                ema_20=close - 1.0,
+                ema_50=ema50,
+                ema_200=ema50 - 4.0,
+                rsi_14=rsi,
+                atr_14=1.0,
+                macd=-0.1,
+                macd_signal=0.0,
+                macd_hist=-0.1,
+                volume_ma_20=90,
+            )
+        )
+    candles[-1].macd = 0.15 if macd_cross_up else -0.05
+    candles[-1].macd_signal = 0.0
+    candles[-1].macd_hist = candles[-1].macd - candles[-1].macd_signal
+    return candles
+
+
+def _daily_trend_candles(*, uptrend: bool = True) -> list[Candle]:
+    close = 110.0 if uptrend else 95.0
+    ema50 = 105.0 if uptrend else 98.0
+    ema200 = 100.0
+    return [
+        Candle(
+            timestamp=index,
+            open=close - 1.0,
+            high=close + 1.0,
+            low=close - 2.0,
+            close=close,
+            volume=1000,
+            ema_20=ema50,
+            ema_50=ema50,
+            ema_200=ema200,
+            rsi_14=55,
+            atr_14=4.0,
+            macd=1.0,
+            macd_signal=0.8,
+            macd_hist=0.2,
+            volume_ma_20=900,
+        )
+        for index in range(205)
+    ]
+
+
+def test_trend_macd_buys_only_when_rules_pass(make_settings, tmp_path) -> None:
+    settings = make_settings(
+        tmp_path,
+        strategy_mode="trend_macd",
+        max_position_usdt=50,
+        stop_loss_percent=0.04,
+        risk_per_trade_percent=0.01,
+    )
+    strategy = SpotStrategy(settings)
+    ticker = Ticker("BTCUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
+
+    signal = strategy.entry_signal(
+        "BTCUSDT",
+        _trend_entry_candles(),
+        ticker,
+        open_positions_for_symbol=0,
+        account={"equity": 100.0},
+        trend_candles=_daily_trend_candles(),
+    )
+
+    assert signal.action == "BUY"
+    assert signal.diagnostics["strategy_mode"] == "trend_macd"
+    assert signal.diagnostics["position_notional_usdt"] == 25.0
+    assert signal.diagnostics["position_sizing"]["risk_per_trade_percent"] == 1.0
+
+
+def test_trend_macd_blocks_when_daily_trend_filter_fails(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, strategy_mode="trend_macd")
+    strategy = SpotStrategy(settings)
+    ticker = Ticker("ETHUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
+
+    signal = strategy.entry_signal(
+        "ETHUSDT",
+        _trend_entry_candles(),
+        ticker,
+        open_positions_for_symbol=0,
+        account={"equity": 100.0},
+        trend_candles=_daily_trend_candles(uptrend=False),
+    )
+
+    assert signal.action == "HOLD"
+    assert signal.diagnostics["checks"]["daily_trend_ok"] is False
+
+
+def test_trend_macd_blocks_second_position_for_symbol(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, strategy_mode="trend_macd")
+    strategy = SpotStrategy(settings)
+    ticker = Ticker("SOLUSDT", 105, 104.99, 105.01, 10_000_000, 1000, 1.0)
+
+    signal = strategy.entry_signal(
+        "SOLUSDT",
+        _trend_entry_candles(),
+        ticker,
+        open_positions_for_symbol=1,
+        account={"equity": 100.0},
+        trend_candles=_daily_trend_candles(),
+    )
+
+    assert signal.action == "HOLD"
+    assert "позиция" in signal.reason
+
+
+def test_trend_macd_exits_on_macd_cross_down(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, strategy_mode="trend_macd")
+    strategy = SpotStrategy(settings)
+    candles = _trend_entry_candles()
+    candles[-2].macd = 0.2
+    candles[-2].macd_signal = 0.0
+    candles[-1].macd = -0.1
+    candles[-1].macd_signal = 0.0
+    position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 100)
+    ticker = Ticker("BTCUSDT", 104, 103.99, 104.01, 1_000_000, 100, 0)
+
+    signal = strategy.exit_signal(position, candles, ticker)
+
+    assert signal.action == "SELL"
+    assert "MACD" in signal.reason
+
+
+def test_trend_macd_exits_on_close_below_ema50(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, strategy_mode="trend_macd")
+    strategy = SpotStrategy(settings)
+    candles = _trend_entry_candles(close=99.0, ema50=100.0, macd_cross_up=False)
+    candles[-2].macd = 0.1
+    candles[-2].macd_signal = 0.0
+    candles[-1].macd = 0.05
+    candles[-1].macd_signal = 0.0
+    position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 100)
+    ticker = Ticker("BTCUSDT", 99, 98.99, 99.01, 1_000_000, 100, 0)
+
+    signal = strategy.exit_signal(position, candles, ticker)
+
+    assert signal.action == "SELL"
+    assert "EMA50" in signal.reason
+
+
+def test_trend_macd_exits_on_atr_trailing_stop(make_settings, tmp_path) -> None:
+    settings = make_settings(tmp_path, strategy_mode="trend_macd", atr_trailing_multiplier=2.2)
+    strategy = SpotStrategy(settings)
+    candles = _trend_entry_candles(close=108.0, ema50=100.0, macd_cross_up=False)
+    candles[-2].macd = 0.1
+    candles[-2].macd_signal = 0.0
+    candles[-1].macd = 0.05
+    candles[-1].macd_signal = 0.0
+    candles[-1].atr_14 = 1.0
+    position = Position(1, "BTCUSDT", 1, 100, 100, 0.1, 96, 120, 110)
+    ticker = Ticker("BTCUSDT", 107.7, 107.69, 107.71, 1_000_000, 100, 0)
+
+    signal = strategy.exit_signal(position, candles, ticker)
+
+    assert signal.action == "SELL"
+    assert "ATR trailing" in signal.reason
+
+
 def test_strategy_emits_buy_when_score_passes_threshold(make_settings, tmp_path) -> None:
    settings = make_settings(tmp_path)
    strategy = SpotStrategy(settings)