ビットコインの未来を予測？DMI作戦で、おこづかいは増えるかな？

"""
Directional Movement System Trading Signal
DMIシステムを使用したトレンドフォロー
"""
import pandas as pd
import numpy as np


def calculate_directional_movement_system_signals(df: pd.DataFrame,
                                                period: int = 14) -> pd.DataFrame:
    """
    Directional Movement System戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    period : int
        DMI計算期間（デフォルト: 14）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # True Range
    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()
    
    # Directional Movement
    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)
    
    # Smoothed DM
    df['plus_dm_smooth'] = df['plus_dm'].rolling(window=period).mean()
    df['minus_dm_smooth'] = df['minus_dm'].rolling(window=period).mean()
    
    # Directional Indicator
    df['plus_di'] = (df['plus_dm_smooth'] / df['atr']) * 100
    df['minus_di'] = (df['minus_dm_smooth'] / df['atr']) * 100
    
    # ADX
    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()
    
    # 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（+DI > -DI かつ ADX上昇）
        if position <= 0 and df['plus_di'].iloc[i] > df['minus_di'].iloc[i] and df['adx'].iloc[i] > 25:
            df.loc[df.index[i], 'is_buy'] = True
            df.loc[df.index[i], 'signal'] = 1
            position = 1
            
        # 売りシグナル（-DI > +DI かつ ADX上昇）
        elif position >= 0 and df['minus_di'].iloc[i] > df['plus_di'].iloc[i] and df['adx'].iloc[i] > 25:
            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 "Directional Movement System"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "DMIシステムを使用したトレンドフォロー戦略"