ビットコインの未来を予想！特別な道具『Laguerre RSI』の使い方

"""
Laguerre RSI Trading Signal
Laguerreフィルターを適用したRSI
"""
import pandas as pd
import numpy as np


def calculate_laguerre_rsi_signals(df: pd.DataFrame,
                                gamma: float = 0.7) -> pd.DataFrame:
    """
    Laguerre RSI戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    gamma : float
        Laguerreフィルター係数（デフォルト: 0.7）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # Laguerreフィルター
    df['l0'] = 0.0
    df['l1'] = 0.0
    df['l2'] = 0.0
    df['l3'] = 0.0
    
    for i in range(1, len(df)):
        df.loc[df.index[i], 'l0'] = (1 - gamma) * df['close'].iloc[i] + gamma * df['l0'].iloc[i-1]
        df.loc[df.index[i], 'l1'] = -gamma * df['l0'].iloc[i] + df['l0'].iloc[i-1] + gamma * df['l1'].iloc[i-1]
        df.loc[df.index[i], 'l2'] = -gamma * df['l1'].iloc[i] + df['l1'].iloc[i-1] + gamma * df['l2'].iloc[i-1]
        df.loc[df.index[i], 'l3'] = -gamma * df['l2'].iloc[i] + df['l2'].iloc[i-1] + gamma * df['l3'].iloc[i-1]
    
    # RSI計算
    df['cu'] = np.where(df['l0'] > df['l1'], df['l0'] - df['l1'], 0) + \
              np.where(df['l1'] > df['l2'], df['l1'] - df['l2'], 0) + \
              np.where(df['l2'] > df['l3'], df['l2'] - df['l3'], 0)
    
    df['cd'] = np.where(df['l0'] < df['l1'], df['l1'] - df['l0'], 0) + \
              np.where(df['l1'] < df['l2'], df['l2'] - df['l1'], 0) + \
              np.where(df['l2'] < df['l3'], df['l3'] - df['l2'], 0)
    
    df['lrsi'] = np.where(df['cu'] + df['cd'] != 0, df['cu'] / (df['cu'] + df['cd']), 0)
    
    # シグナル初期化
    df['signal'] = 0
    df['is_buy'] = False
    df['is_sell'] = False
    
    position = 0
    
    for i in range(10, len(df)):
        # 買いシグナル
        if position <= 0 and df['lrsi'].iloc[i] > 0.2 and df['lrsi'].iloc[i-1] <= 0.2:
            df.loc[df.index[i], 'is_buy'] = True
            df.loc[df.index[i], 'signal'] = 1
            position = 1
            
        # 売りシグナル
        elif position >= 0 and df['lrsi'].iloc[i] < 0.8 and df['lrsi'].iloc[i-1] >= 0.8:
            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 "Laguerre RSI"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "Laguerreフィルターを適用したRSI戦略"