ビットコインの未来予測に挑戦！ある作戦を試した結果は…？

"""
Ehlers Fisher Transform Trading Signal
Fisher変換を使用したシグナル生成
"""
import pandas as pd
import numpy as np


def calculate_ehlers_fisher_transform_signals(df: pd.DataFrame,
                                            period: int = 10) -> pd.DataFrame:
    """
    Ehlers Fisher Transform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: 10）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # 中間価格
    df['hl2'] = (df['high'] + df['low']) / 2
    
    # 最高値と最低値
    df['max_high'] = df['hl2'].rolling(window=period).max()
    df['min_low'] = df['hl2'].rolling(window=period).min()
    
    # 正規化
    df['value'] = 2 * ((df['hl2'] - df['min_low']) / (df['max_high'] - df['min_low'] + 0.0001) - 0.5)
    df['value'] = np.clip(df['value'], -0.999, 0.999)
    
    # Fisher変換
    df['fisher'] = 0.5 * np.log((1 + df['value']) / (1 - df['value'] + 0.0001))
    df['trigger'] = df['fisher'].shift(1)
    
    # 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 + 1, len(df)):
        # 買いシグナル（FisherがTriggerを上抜け）
        if position <= 0 and df['fisher'].iloc[i] > df['trigger'].iloc[i] and df['fisher'].iloc[i-1] <= df['trigger'].iloc[i-1]:
            df.loc[df.index[i], 'is_buy'] = True
            df.loc[df.index[i], 'signal'] = 1
            position = 1
            
        # 売りシグナル（FisherがTriggerを下抜け）
        elif position >= 0 and df['fisher'].iloc[i] < df['trigger'].iloc[i] and df['fisher'].iloc[i-1] >= df['trigger'].iloc[i-1]:
            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 "Ehlers Fisher Transform"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "Fisher変換を使用したシグナル生成戦略"