Add trend MACD spot strategy

tests/test_strategy.py

@@ -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)