/**
* strategies/bb_breakout.ts - ボリンジャーバンドブレイクアウト戦略
*
* エントリー: 価格が下部バンド（-stddev σ）を下回った後、中央線（SMA）を上抜け
* エグジット: 価格が上部バンド（+stddev σ）に到達
*/
import type { Candle } from '../../types.js';
import type { Strategy, Signal, Overlay, ParamValidationResult } from './types.js';
import { calculateSMA } from '../sma.js';
/**
* BB戦略のデフォルトパラメータ
*/
const DEFAULT_PARAMS = {
period: 20,
stddev: 2,
};
/**
* 標準偏差を計算
*/
function calculateStdDev(values: number[], period: number, sma: number[]): number[] {
const result: number[] = new Array(values.length).fill(NaN);
for (let i = period - 1; i < values.length; i++) {
const mean = sma[i];
if (isNaN(mean)) continue;
let sumSq = 0;
for (let j = i - period + 1; j <= i; j++) {
sumSq += Math.pow(values[j] - mean, 2);
}
result[i] = Math.sqrt(sumSq / period);
}
return result;
}
/**
* ボリンジャーバンドを計算
*/
function calculateBollingerBands(
closes: number[],
period: number,
stddevMultiplier: number
): { middle: number[]; upper: number[]; lower: number[] } {
const middle = calculateSMA(closes, period);
const stddev = calculateStdDev(closes, period, middle);
const upper: number[] = new Array(closes.length).fill(NaN);
const lower: number[] = new Array(closes.length).fill(NaN);
for (let i = 0; i < closes.length; i++) {
if (!isNaN(middle[i]) && !isNaN(stddev[i])) {
upper[i] = middle[i] + stddevMultiplier * stddev[i];
lower[i] = middle[i] - stddevMultiplier * stddev[i];
}
}
return { middle, upper, lower };
}
/**
* パラメータのバリデーション
*/
export function validateParams(params: Record<string, number>): ParamValidationResult {
const errors: string[] = [];
const normalized = { ...DEFAULT_PARAMS, ...params };
if (normalized.period < 5) {
errors.push('period must be at least 5');
}
if (normalized.stddev <= 0) {
errors.push('stddev must be positive');
}
return {
valid: errors.length === 0,
errors,
normalizedParams: normalized,
};
}
/**
* ボリンジャーバンドブレイクアウト戦略
*/
export const bbBreakoutStrategy: Strategy = {
name: 'Bollinger Bands Breakout',
type: 'bb_breakout',
requiredBars: 25,
defaultParams: DEFAULT_PARAMS,
generate(candles: Candle[], params: Record<string, number>): Signal[] {
const { period, stddev } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const { middle, upper, lower } = calculateBollingerBands(closes, period, stddev);
const signals: Signal[] = [];
const startIdx = period + 1;
// 下部バンドを下回ったかどうかを追跡
let belowLowerBand = false;
for (let i = 0; i < candles.length; i++) {
if (i < startIdx) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
const close = closes[i];
const prevClose = closes[i - 1];
const mid = middle[i];
const prevMid = middle[i - 1];
const up = upper[i];
const low = lower[i];
const prevLow = lower[i - 1];
if (isNaN(mid) || isNaN(up) || isNaN(low) || isNaN(prevMid) || isNaN(prevLow)) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
// 下部バンドを下回ったら追跡開始
if (prevClose <= prevLow) {
belowLowerBand = true;
}
// エントリー: 下部バンドを下回った後、中央線を上抜け
if (belowLowerBand && prevClose <= prevMid && close > mid) {
signals.push({
time: candles[i].time,
action: 'buy',
reason: `BB Breakout: Price crossed above middle band (${mid.toFixed(0)})`,
});
belowLowerBand = false; // リセット
}
// エグジット: 上部バンドに到達
else if (close >= up) {
signals.push({
time: candles[i].time,
action: 'sell',
reason: `BB Upper Band reached: ${up.toFixed(0)}`,
});
belowLowerBand = false; // リセット
}
// シグナルなし
else {
signals.push({ time: candles[i].time, action: 'hold' });
}
}
return signals;
},
getOverlays(candles: Candle[], params: Record<string, number>): Overlay[] {
const { period, stddev } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const { middle, upper, lower } = calculateBollingerBands(closes, period, stddev);
return [
{
type: 'line',
name: `BB Middle(${period})`,
color: '#fbbf24', // yellow（Closeの青と区別）
data: middle,
},
{
type: 'band',
name: `BB ±${stddev}σ`,
color: '#a855f7', // purple
fillColor: 'rgba(168, 85, 247, 0.15)',
data: { upper, middle, lower },
},
];
},
};
export default bbBreakoutStrategy;
