ビットコインの取引、『ガン・ハイロー』ってどんな作戦？

"""
Gann HiLo Trading Signal
W.D. Gannの理論に基づくトレンド追従戦略
"""
import pandas as pd
import numpy as np


def calculate_gann_hilo_signals(df: pd.DataFrame,
                               period: int = 13,
                               multiplier: float = 1.0) -> pd.DataFrame:
    """
    Gann HiLo戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    period : int
        基本期間（デフォルト: 13）
    multiplier : float
        調整係数（デフォルト: 1.0）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # SMA of High and Low
    df['sma_high'] = df['high'].rolling(window=period).mean()
    df['sma_low'] = df['low'].rolling(window=period).mean()
    
    # Gann HiLo Activator
    df['hilo'] = pd.Series(index=df.index, dtype=float)
    df['trend'] = pd.Series(index=df.index, dtype=int)
    
    # 初期値設定
    if len(df) > 0:
        df.loc[df.index[0], 'hilo'] = df['close'].iloc[0]
        df.loc[df.index[0], 'trend'] = 1
    
    # Gann HiLo計算
    for i in range(1, len(df)):
        prev_trend = df.loc[df.index[i-1], 'trend']
        
        if prev_trend == 1:  # 上昇トレンド
            if df['close'].iloc[i] <= df['sma_low'].iloc[i] * multiplier:
                df.loc[df.index[i], 'trend'] = -1
                df.loc[df.index[i], 'hilo'] = df['sma_high'].iloc[i]
            else:
                df.loc[df.index[i], 'trend'] = 1
                df.loc[df.index[i], 'hilo'] = max(df['sma_low'].iloc[i], 
                                                  df.loc[df.index[i-1], 'hilo'])
        else:  # 下降トレンド
            if df['close'].iloc[i] >= df['sma_high'].iloc[i] * (2 - multiplier):
                df.loc[df.index[i], 'trend'] = 1
                df.loc[df.index[i], 'hilo'] = df['sma_low'].iloc[i]
            else:
                df.loc[df.index[i], 'trend'] = -1
                df.loc[df.index[i], 'hilo'] = min(df['sma_high'].iloc[i], 
                                                  df.loc[df.index[i-1], 'hilo'])
    
    # シグナル初期化
    df['signal'] = 0
    df['is_buy'] = False
    df['is_sell'] = False
    
    # 現在のポジション状態を追跡
    position = 0
    
    for i in range(period, len(df)):
        # 買いシグナル（トレンドが上昇に転換）
        if position <= 0 and df['trend'].iloc[i] == 1 and df['trend'].iloc[i-1] == -1:
            df.loc[df.index[i], 'is_buy'] = True
            df.loc[df.index[i], 'signal'] = 1
            position = 1
            
        # 売りシグナル（トレンドが下降に転換）  
        elif position >= 0 and df['trend'].iloc[i] == -1 and df['trend'].iloc[i-1] == 1:
            df.loc[df.index[i], 'is_sell'] = True
            df.loc[df.index[i], 'signal'] = -1
            position = -1
        else:
            # ポジション維持
            df.loc[df.index[i], 'signal'] = position
    
    # NaN値を0で埋める
    df['signal'] = df['signal'].fillna(0)
    
    return df


def get_strategy_name() -> str:
    """戦略名を返す"""
    return "Gann HiLo"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "Gann理論に基づく高値・安値の移動平均を使用したトレンド追従戦略"