未来の値段がわかる？「3本線」で挑戦するビットコイン取引！

"""
Three Line Break Trading Signal
日本の3線転換図をベースにしたトレンド判定戦略
"""
import pandas as pd
import numpy as np


def calculate_three_line_break_signals(df: pd.DataFrame,
                                      num_lines: int = 3,
                                      filter_atr: float = 0.5) -> pd.DataFrame:
    """
    Three Line Break戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    num_lines : int
        ブレイクライン数（デフォルト: 3）
    filter_atr : float
        ノイズフィルターのATR倍数（デフォルト: 0.5）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # ATR計算（フィルター用）
    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['true_range'] = df[['h_l', 'h_c', 'l_c']].max(axis=1)
    df['atr'] = df['true_range'].rolling(window=14).mean()
    
    # Three Line Breakラインの構築
    lines = []
    line_colors = []  # 1: 白（上昇）、-1: 黒（下降）
    
    # 初期ライン
    if len(df) > 0:
        lines.append({'high': df['high'].iloc[0], 'low': df['low'].iloc[0], 'close': df['close'].iloc[0]})
        line_colors.append(1 if df['close'].iloc[0] > df['open'].iloc[0] else -1)
    
    # ラインの生成
    for i in range(1, len(df)):
        current_price = df['close'].iloc[i]
        current_atr = df['atr'].iloc[i] if pd.notna(df['atr'].iloc[i]) else 0
        
        if len(lines) > 0:
            last_line = lines[-1]
            
            # 上昇ライン条件
            if current_price > last_line['high']:
                # ノイズフィルター
                if current_price - last_line['high'] > current_atr * filter_atr:
                    lines.append({
                        'high': current_price,
                        'low': last_line['high'],
                        'close': current_price
                    })
                    line_colors.append(1)
            
            # 下降ライン条件
            elif current_price < last_line['low']:
                # ノイズフィルター
                if last_line['low'] - current_price > current_atr * filter_atr:
                    lines.append({
                        'high': last_line['low'],
                        'low': current_price,
                        'close': current_price
                    })
                    line_colors.append(-1)
            
            # 転換条件チェック
            if len(lines) >= num_lines:
                # 上昇転換（num_lines本の下降ラインの後）
                if all(line_colors[-j] == -1 for j in range(1, min(num_lines + 1, len(line_colors) + 1))):
                    reversal_level = max(lines[-j]['high'] for j in range(1, min(num_lines + 1, len(lines) + 1)))
                    if current_price > reversal_level:
                        lines.append({
                            'high': current_price,
                            'low': reversal_level,
                            'close': current_price
                        })
                        line_colors.append(1)
                
                # 下降転換（num_lines本の上昇ラインの後）
                if all(line_colors[-j] == 1 for j in range(1, min(num_lines + 1, len(line_colors) + 1))):
                    reversal_level = min(lines[-j]['low'] for j in range(1, min(num_lines + 1, len(lines) + 1)))
                    if current_price < reversal_level:
                        lines.append({
                            'high': reversal_level,
                            'low': current_price,
                            'close': current_price
                        })
                        line_colors.append(-1)
    
    # シグナル初期化
    df['signal'] = 0
    df['is_buy'] = False
    df['is_sell'] = False
    df['tlb_trend'] = 0
    
    # ラインカラーをDataFrameにマップ
    for i in range(len(df)):
        if i < len(line_colors):
            df.loc[df.index[i], 'tlb_trend'] = line_colors[i]
    
    # 現在のポジション状態を追跡
    position = 0
    
    for i in range(10, len(df)):
        # 買いシグナル（Three Line Breakが陽線に転換）
        if position <= 0 and df['tlb_trend'].iloc[i] == 1 and df['tlb_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（Three Line Breakが陰線に転換）  
        elif position >= 0 and df['tlb_trend'].iloc[i] == -1 and df['tlb_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)
    
    # エグジットシグナル
    df['exit_signal'] = 0
    
    # トレンド反転でエグジット
    df.loc[(df['signal'] == 1) & (df['tlb_trend'] == -1), 'exit_signal'] = -1
    df.loc[(df['signal'] == -1) & (df['tlb_trend'] == 1), 'exit_signal'] = 1
    
    return df