from __future__ import annotations from typing import ClassVar from app.engine.indicators import macd from app.engine.strategies.base import Strategy, StrategyContext, register from app.models import PositionSide @register class MacdTrend(Strategy): """MACD crossover trend following, long-only.""" key: ClassVar[str] = "macd_trend" name: ClassVar[str] = "MACD Trend" description: ClassVar[str] = ( "Open long when the MACD line crosses above its signal line and close when " "it crosses back below." ) default_params: ClassVar[dict] = {"fast": 12, "slow": 26, "signal": 9, "size": 1.0} param_help: ClassVar[dict] = { "fast": "Fast EMA period", "slow": "Slow EMA period", "signal": "Signal EMA period", "size": "Fraction of equity per trade", } param_bounds: ClassVar[dict] = {"fast": (2, 100), "slow": (3, 200), "signal": (2, 100)} def on_candle(self, ctx: StrategyContext) -> None: closes = ctx.closes if len(closes) < int(self.params["slow"]) + int(self.params["signal"]) + 2: return macd_line, signal_line, _ = macd( closes, int(self.params["fast"]), int(self.params["slow"]), int(self.params["signal"]), ) m_prev, m_now = macd_line[-2], macd_line[-1] s_prev, s_now = signal_line[-2], signal_line[-1] if None in (m_prev, m_now, s_prev, s_now): return crossed_up = m_prev <= s_prev and m_now > s_now crossed_down = m_prev >= s_prev and m_now < s_now if ctx.is_flat and crossed_up: ctx.enter_long(size=float(self.params["size"]), reason="MACD crossed above signal") elif ctx.side == PositionSide.LONG and crossed_down: ctx.close(reason="MACD crossed below signal")