from __future__ import annotations from typing import ClassVar from app.engine.indicators import ema, sma from app.engine.strategies.base import Strategy, StrategyContext, register from app.models import PositionSide @register class EmaCross(Strategy): """EMA crossover with an optional long-term trend filter.""" key: ClassVar[str] = "ema_cross" name: ClassVar[str] = "EMA Crossover" description: ClassVar[str] = ( "Open long when the fast EMA crosses above the slow EMA (and price is " "above the trend filter, if enabled); exit on the opposite cross." ) default_params: ClassVar[dict] = { "fast": 9, "slow": 21, "trend_filter": 200, "size": 1.0, } param_help: ClassVar[dict] = { "fast": "Fast EMA period", "slow": "Slow EMA period", "trend_filter": "SMA trend filter period (0 disables)", "size": "Fraction of equity per trade", } param_bounds: ClassVar[dict] = {"fast": (2, 100), "slow": (3, 300), "size": (0.01, 1.0)} def on_candle(self, ctx: StrategyContext) -> None: fast_period = int(self.params["fast"]) slow_period = int(self.params["slow"]) trend_period = int(self.params["trend_filter"]) needed = max(slow_period, trend_period) + 2 if len(ctx.closes) < needed: return fast = ema(ctx.closes, fast_period) slow = ema(ctx.closes, slow_period) f_prev, f_now = fast[-2], fast[-1] s_prev, s_now = slow[-2], slow[-1] if None in (f_prev, f_now, s_prev, s_now): return trend_ok = True if trend_period > 0: trend = sma(ctx.closes, trend_period)[-1] trend_ok = trend is not None and ctx.price > trend crossed_up = f_prev <= s_prev and f_now > s_now crossed_down = f_prev >= s_prev and f_now < s_now if ctx.is_flat and crossed_up and trend_ok: ctx.enter_long(size=float(self.params["size"]), reason="EMA cross up") elif ctx.side == PositionSide.LONG and crossed_down: ctx.close(reason="EMA cross down")