ビットコインが大きく動く時を見つけよう！AIが教える「デサイクラー」作戦

"""
Decycler Oscillator Trading Signal Generator
高周波ノイズを除去してトレンドを抽出
"""
import pandas as pd
import numpy as np


def calculate_decycler_signals(df: pd.DataFrame,
                              hp_period: int = 125,
                              smooth_period: int = 5) -> pd.DataFrame:
    """
    Decycler Oscillator戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    hp_period : int
        ハイパスフィルター期間（デフォルト: 125）
    smooth_period : int
        スムージング期間（デフォルト: 5）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # Decycler (High-pass filter)
    alpha = (np.cos(2 * np.pi / hp_period) + np.sin(2 * np.pi / hp_period) - 1) / np.cos(2 * np.pi / hp_period)
    
    df['decycler'] = df['close'].copy()
    for i in range(2, len(df)):
        df.loc[df.index[i], 'decycler'] = alpha * (df.iloc[i]['close'] + df.iloc[i-1]['close']) / 2 + (1 - alpha) * df.iloc[i-1]['decycler']
    
    # Decycler Oscillator (価格 - Decycler)
    df['osc'] = ((df['close'] / df['decycler']) - 1) * 100
    
    # スムージング
    df['osc_smooth'] = df['osc'].rolling(window=smooth_period).mean()
    
    # 標準偏差バンド
    df['osc_std'] = df['osc_smooth'].rolling(window=hp_period).std()
    df['upper_band'] = df['osc_std'] * 2
    df['lower_band'] = -df['osc_std'] * 2
    
    # モメンタム
    df['osc_momentum'] = df['osc_smooth'] - df['osc_smooth'].shift(smooth_period)
    
    # シグナル生成
    df['osc_prev'] = df['osc_smooth'].shift(1)
    df['is_buy'] = (
        ((df['osc_smooth'] > df['lower_band']) & (df['osc_prev'] <= df['lower_band'])) |  # 売られ過ぎからの反発
        ((df['osc_smooth'] > 0) & (df['osc_prev'] <= 0) & (df['osc_momentum'] > 0))  # ゼロクロス＋モメンタム
    ) & df['osc_smooth'].notna()
    df['is_sell'] = (
        ((df['osc_smooth'] < df['upper_band']) & (df['osc_prev'] >= df['upper_band'])) |  # 買われ過ぎからの反落
        ((df['osc_smooth'] < 0) & (df['osc_prev'] >= 0) & (df['osc_momentum'] < 0))  # ゼロクロス＋モメンタム
    ) & df['osc_smooth'].notna()
    
    # 不要カラム削除
    df.drop(['decycler', 'osc', 'osc_smooth', 'osc_std', 'upper_band', 'lower_band',
             'osc_momentum', 'osc_prev'], axis=1, inplace=True, errors='ignore')
    
    return df