ビットコインの売り時・買い時がわかる？「CSI」っていう方法を見てみよう！

"""
Commodity Selection Index Trading Signal
CSIを使用したトレンド判定
"""
import pandas as pd
import numpy as np


def calculate_commodity_selection_index_signals(df: pd.DataFrame,
                                              period: int = 14,
                                              multiplier: float = 0.015) -> pd.DataFrame:
    """
    Commodity Selection Index戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    period : int
        計算期間（デフォルト: 14）
    multiplier : float
        マルチプライヤー（デフォルト: 0.015）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # ATR計算
    df['h_l'] = df['high'] - df['low']
    df['h_c'] = np.abs(df['high'] - df['close'].shift(1))
    df['l_c'] = np.abs(df['low'] - df['close'].shift(1))
    df['tr'] = df[['h_l', 'h_c', 'l_c']].max(axis=1)
    df['atr'] = df['tr'].rolling(window=period).mean()
    
    # ADX計算
    df['up_move'] = df['high'] - df['high'].shift(1)
    df['down_move'] = df['low'].shift(1) - df['low']
    df['plus_dm'] = np.where((df['up_move'] > df['down_move']) & (df['up_move'] > 0), df['up_move'], 0)
    df['minus_dm'] = np.where((df['down_move'] > df['up_move']) & (df['down_move'] > 0), df['down_move'], 0)
    
    df['plus_di'] = 100 * (df['plus_dm'].rolling(window=period).sum() / df['atr'])
    df['minus_di'] = 100 * (df['minus_dm'].rolling(window=period).sum() / df['atr'])
    df['dx'] = 100 * np.abs(df['plus_di'] - df['minus_di']) / (df['plus_di'] + df['minus_di'] + 0.0001)
    df['adx'] = df['dx'].rolling(window=period).mean()
    
    # CSI計算
    df['csi'] = df['adx'] * df['atr'] * 100 / (np.sqrt(150) * multiplier)
    
    # シグナル初期化
    df['signal'] = 0
    df['is_buy'] = False
    df['is_sell'] = False
    
    position = 0
    
    for i in range(period * 2, len(df)):
        # 買いシグナル（CSIが高く、上昇トレンド）
        if position <= 0 and df['csi'].iloc[i] > 100 and df['plus_di'].iloc[i] > df['minus_di'].iloc[i]:
            df.loc[df.index[i], 'is_buy'] = True
            df.loc[df.index[i], 'signal'] = 1
            position = 1
            
        # 売りシグナル
        elif position >= 0 and (df['csi'].iloc[i] < 50 or df['minus_di'].iloc[i] > df['plus_di'].iloc[i]):
            df.loc[df.index[i], 'is_sell'] = True
            df.loc[df.index[i], 'signal'] = -1
            position = -1
        else:
            df.loc[df.index[i], 'signal'] = position
    
    df['signal'] = df['signal'].fillna(0)
    
    return df


def get_strategy_name() -> str:
    """戦略名を返す"""
    return "Commodity Selection Index"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "CSIを使用したトレンド判定戦略"