ビットコインの波に乗ろう！「スーパートレンド」でわかる、かんたん投資のヒント

#!/usr/bin/env python3
"""
SuperTrend戦略
ATRベースの動的トレンドフォロー
"""
import pandas as pd
import numpy as np


def calculate_supertrend_signals(df: pd.DataFrame, atr_period: int = 10, 
                                multiplier: float = 2.5) -> pd.DataFrame:
    """
    SuperTrendシグナルを生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    atr_period : int
        ATR計算期間（デフォルト: 10）
    multiplier : float
        ATR倍率（デフォルト: 1.5）
    
    Returns:
    --------
    pd.DataFrame
        シグナル列が追加された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=atr_period).mean()
    
    # 基準価格（HL/2）
    df['hl_avg'] = (df['high'] + df['low']) / 2
    
    # Basic Upper and Lower Bands
    df['basic_ub'] = df['hl_avg'] + multiplier * df['atr']
    df['basic_lb'] = df['hl_avg'] - multiplier * df['atr']
    
    # Final Bands（シンプル化）
    df['final_ub'] = df['basic_ub'].copy()
    df['final_lb'] = df['basic_lb'].copy()
    
    # SuperTrendとトレンド計算（シンプル化）
    df['supertrend'] = np.nan
    df['trend'] = 0
    
    for i in range(atr_period, len(df)):
        current_close = df.loc[df.index[i], 'close']
        current_ub = df.loc[df.index[i], 'basic_ub']
        current_lb = df.loc[df.index[i], 'basic_lb']
        
        if i == atr_period:
            # 初期値設定
            if current_close > current_ub:
                df.loc[df.index[i], 'trend'] = 1
                df.loc[df.index[i], 'supertrend'] = current_lb
            else:
                df.loc[df.index[i], 'trend'] = -1
                df.loc[df.index[i], 'supertrend'] = current_ub
        else:
            prev_trend = df.loc[df.index[i-1], 'trend']
            
            # トレンドの継続と転換を判定
            if prev_trend == 1:
                if current_close <= current_lb:
                    # 下降トレンドに転換
                    df.loc[df.index[i], 'trend'] = -1
                    df.loc[df.index[i], 'supertrend'] = current_ub
                else:
                    # 上昇トレンド継続
                    df.loc[df.index[i], 'trend'] = 1
                    df.loc[df.index[i], 'supertrend'] = current_lb
            else:  # prev_trend == -1
                if current_close >= current_ub:
                    # 上昇トレンドに転換
                    df.loc[df.index[i], 'trend'] = 1
                    df.loc[df.index[i], 'supertrend'] = current_lb
                else:
                    # 下降トレンド継続
                    df.loc[df.index[i], 'trend'] = -1
                    df.loc[df.index[i], 'supertrend'] = current_ub
    
    # シグナル生成（トレンド転換時）
    df['is_buy'] = (df['trend'] == 1) & (df['trend'].shift(1) == -1)
    df['is_sell'] = (df['trend'] == -1) & (df['trend'].shift(1) == 1)
    
    # NaN値をFalseに置換
    df['is_buy'] = df['is_buy'].fillna(False)
    df['is_sell'] = df['is_sell'].fillna(False)
    
    print(f"SuperTrend: ATR期間={atr_period}, 倍率={multiplier}")
    print(f"買いシグナル数: {df['is_buy'].sum()}")
    print(f"売りシグナル数: {df['is_sell'].sum()}")
    
    return df