ビットコインの売買タイミング、どうやって決める？「アルティメット・オシレーター」を学ぼう！

"""
Ultimate Oscillator Trading Signal
複数期間を統合したオシレーター
"""
import pandas as pd
import numpy as np


def calculate_ultimate_oscillator_signals(df: pd.DataFrame,
                                       period1: int = 7,
                                       period2: int = 14,
                                       period3: int = 28) -> pd.DataFrame:
    """
    Ultimate Oscillator戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    period1 : int
        短期期間（デフォルト: 7）
    period2 : int
        中期期間（デフォルト: 14）
    period3 : int
        長期期間（デフォルト: 28）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # Buying Pressure
    df['bp'] = df['close'] - df[['low', 'close']].shift(1).min(axis=1)
    
    # True Range
    df['tr'] = df[['high', 'close']].shift(1).max(axis=1) - df[['low', 'close']].shift(1).min(axis=1)
    
    # Average for each period
    df['avg1'] = df['bp'].rolling(window=period1).sum() / df['tr'].rolling(window=period1).sum()
    df['avg2'] = df['bp'].rolling(window=period2).sum() / df['tr'].rolling(window=period2).sum()
    df['avg3'] = df['bp'].rolling(window=period3).sum() / df['tr'].rolling(window=period3).sum()
    
    # Ultimate Oscillator
    df['uo'] = 100 * ((4 * df['avg1'] + 2 * df['avg2'] + df['avg3']) / 7)
    
    # シグナル初期化
    df['signal'] = 0
    df['is_buy'] = False
    df['is_sell'] = False
    
    position = 0
    
    for i in range(period3, len(df)):
        # 買いシグナル
        if position <= 0 and df['uo'].iloc[i] < 30 and df['uo'].iloc[i] > df['uo'].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
        elif position >= 0 and df['uo'].iloc[i] > 70 and df['uo'].iloc[i] < df['uo'].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 "Ultimate Oscillator"


def get_strategy_description() -> str:
    """戦略の説明を返す"""
    return "複数期間を統合したオシレーター戦略"