feat(strategy): add MACD alignment requirement for buy signals

.env.example

@@ -81,6 +81,14 @@ MACD_FAST=12               # Fast EMA for MACD line
 MACD_SLOW=26               # Slow EMA for MACD line
 MACD_SIGNAL=9              # Signal line smoothing period
 
+# MACD Alignment for Buys (Momentum Confirmation)
+# Requires MACD histogram to show non-declining momentum before buying
+# Helps prevent buying during falling knife scenarios where RSI/Bollinger
+# show oversold but momentum is still declining (common in flash crashes)
+# Post-mortem analysis: All 4 losing trades had negative MACD histogram (-37 to -85)
+REQUIRE_MACD_ALIGNMENT=false              # Enable MACD alignment check for buys
+MACD_ALIGNMENT_THRESHOLD=-0.5             # Histogram must be above this (-5.0 to 5.0)
+
 # Bollinger Bands - Volatility and mean reversion
 BOLLINGER_PERIOD=20        # SMA lookback period
 BOLLINGER_STD=2.0          # Band width in standard deviations (2.0 = 95%)

config/settings.py

@@ -184,6 +184,21 @@ class Settings(BaseSettings):
     macd_slow: int = Field(default=26, ge=5, le=100)
     macd_signal: int = Field(default=9, ge=2, le=50)
 
+    # MACD Alignment for Buy Signals (Momentum Confirmation)
+    # Requires MACD histogram to show non-declining momentum before buying
+    # Helps prevent buying during "falling knife" scenarios where RSI/Bollinger
+    # indicate oversold but momentum is still declining
+    require_macd_alignment: bool = Field(
+        default=False,
+        description="Require MACD histogram to be above threshold for buy signals"
+    )
+    macd_alignment_threshold: float = Field(
+        default=-0.5,
+        ge=-5.0,
+        le=5.0,
+        description="MACD histogram must be above this for buy signals (negative = allow slight decline)"
+    )
+
     # Strategy Parameters - Bollinger Bands
     bollinger_period: int = Field(default=20, ge=5, le=100)
     bollinger_std: float = Field(default=2.0, ge=1.0, le=4.0)

src/daemon/runner.py

@@ -396,6 +396,8 @@ def __init__(self, settings: Settings):
             adx_period=settings.adx_period,
             adx_weak_threshold=settings.adx_weak_threshold,
             adx_strong_threshold=settings.adx_strong_threshold,
+            require_macd_alignment=settings.require_macd_alignment,
+            macd_alignment_threshold=settings.macd_alignment_threshold,
         )
 
         self.position_sizer = PositionSizer(

src/strategy/signal_scorer.py

@@ -207,6 +207,8 @@ def __init__(
         adx_period: int = 14,
         adx_weak_threshold: float = 20.0,
         adx_strong_threshold: float = 25.0,
+        require_macd_alignment: bool = False,
+        macd_alignment_threshold: float = -0.5,
     ):
         """
         Initialize signal scorer.
@@ -299,6 +301,10 @@ def __init__(
         self.adx_weak_threshold = adx_weak_threshold
         self.adx_strong_threshold = adx_strong_threshold
 
+        # MACD alignment parameters (momentum confirmation for buys)
+        self.require_macd_alignment = require_macd_alignment
+        self.macd_alignment_threshold = macd_alignment_threshold
+
     def get_min_candles(self) -> int:
         """
         Get minimum number of candles required for indicator calculations.
@@ -1201,6 +1207,42 @@ def calculate_score(
         else:
             action = "hold"
 
+        # MACD Alignment Check for Buy Signals (Momentum Confirmation)
+        # When enabled, requires MACD histogram to be above threshold to confirm
+        # momentum is not declining before allowing buy trades.
+        # This prevents buying during "falling knife" scenarios where RSI/Bollinger
+        # indicate oversold but momentum is still strongly negative.
+        macd_alignment_blocked = False
+        if self.require_macd_alignment and action == "buy":
+            macd_histogram = indicators.macd_histogram
+            if macd_histogram is not None:
+                if macd_histogram < self.macd_alignment_threshold:
+                    # MACD histogram is below threshold - block the buy
+                    macd_alignment_blocked = True
+                    logger.info(
+                        "macd_alignment_blocked_buy",
+                        macd_histogram=round(macd_histogram, 2),
+                        threshold=self.macd_alignment_threshold,
+                        original_score=total_score,
+                        action="downgraded to hold",
+                    )
+                    action = "hold"
+                else:
+                    logger.debug(
+                        "macd_alignment_passed",
+                        macd_histogram=round(macd_histogram, 2),
+                        threshold=self.macd_alignment_threshold,
+                    )
+            else:
+                # No MACD data available - conservative: block buy
+                macd_alignment_blocked = True
+                logger.warning(
+                    "macd_alignment_no_data",
+                    action="downgraded to hold (no MACD data)",
+                )
+                action = "hold"
+        metadata["_macd_alignment_blocked"] = 1 if macd_alignment_blocked else 0
+
         # Calculate confidence with confluence factor
         # Combines magnitude with how many indicators agree
         if action != "hold":