値段の動きやすさでチャレンジ！コイン「XRP」で試した「EOM」作戦

"""
Ease of Movement Trading Signal Generator
価格変動の容易さを測定する指標
"""
import pandas as pd
import numpy as np


def calculate_eom_signals(df: pd.DataFrame,
                         period: int = 14,
                         signal_period: int = 9) -> pd.DataFrame:
    """
    Ease of Movement戦略のシグナル生成
    
    Parameters:
    -----------
    df : pd.DataFrame
        OHLCVデータ
    period : int
        EOM計算期間（デフォルト: 14）
    signal_period : int
        シグナルライン期間（デフォルト: 9）
    
    Returns:
    --------
    pd.DataFrame
        シグナルが追加されたDataFrame
    """
    df = df.copy()
    
    # Distance Moved
    df['mid_point'] = (df['high'] + df['low']) / 2
    df['mid_move'] = df['mid_point'] - df['mid_point'].shift(1)
    
    # EMV Box Ratio
    df['box_height'] = df['high'] - df['low']
    scale = 1000000  # スケーリング係数
    df['box_ratio'] = (scale / df['volume']) / (df['box_height'] + 0.0001)
    
    # 1-period EMV
    df['emv_1'] = df['mid_move'] * df['box_ratio']
    
    # N-period EMV（移動平均）
    df['emv'] = df['emv_1'].rolling(window=period).mean()
    
    # シグナルライン
    df['emv_signal'] = df['emv'].rolling(window=signal_period).mean()
    
    # EMVヒストグラム
    df['emv_hist'] = df['emv'] - df['emv_signal']
    
    # ゼロラインクロス
    df['emv_prev'] = df['emv'].shift(1)
    df['zero_cross_up'] = (df['emv'] > 0) & (df['emv_prev'] <= 0)
    df['zero_cross_down'] = (df['emv'] < 0) & (df['emv_prev'] >= 0)
    
    # シグナル生成
    df['hist_prev'] = df['emv_hist'].shift(1)
    df['is_buy'] = (
        ((df['emv_hist'] > 0) & (df['hist_prev'] <= 0)) |
        df['zero_cross_up']
    ) & df['emv'].notna()
    df['is_sell'] = (
        ((df['emv_hist'] < 0) & (df['hist_prev'] >= 0)) |
        df['zero_cross_down']
    ) & df['emv'].notna()
    
    # 不要カラム削除
    df.drop(['mid_point', 'mid_move', 'box_height', 'box_ratio', 'emv_1',
             'emv_prev', 'zero_cross_up', 'zero_cross_down', 'hist_prev'], axis=1, inplace=True, errors='ignore')
    
    return df