/**
* strategies/macd_cross.ts - MACDクロスオーバー戦略
*
* エントリー: MACDラインがシグナルラインを上抜け（ゴールデンクロス）
* エグジット: MACDラインがシグナルラインを下抜け（デッドクロス）
*/
import type { Candle } from '../../types.js';
import type { Strategy, Signal, Overlay, ParamValidationResult } from './types.js';
/**
* MACD戦略のデフォルトパラメータ
*/
const DEFAULT_PARAMS = {
fast: 12,
slow: 26,
signal: 9,
};
/**
* EMA（指数移動平均）を計算
*
* @param prices 価格配列（古い順）
* @param period EMA期間
* @returns EMA配列
*/
function calculateEMA(prices: number[], period: number): number[] {
const result: number[] = new Array(prices.length).fill(NaN);
if (prices.length < period) {
return result;
}
// 最初のEMAはSMAとして計算
let sum = 0;
for (let i = 0; i < period; i++) {
sum += prices[i];
}
result[period - 1] = sum / period;
// EMA計算（multiplier = 2 / (period + 1)）
const multiplier = 2 / (period + 1);
for (let i = period; i < prices.length; i++) {
result[i] = (prices[i] - result[i - 1]) * multiplier + result[i - 1];
}
return result;
}
/**
* MACDを計算
*
* @param closes 終値配列（古い順）
* @param fastPeriod 短期EMA期間
* @param slowPeriod 長期EMA期間
* @param signalPeriod シグナル期間
* @returns { macd, signal, histogram }
*/
function calculateMACD(
closes: number[],
fastPeriod: number,
slowPeriod: number,
signalPeriod: number
): { macd: number[]; signal: number[]; histogram: number[] } {
const fastEMA = calculateEMA(closes, fastPeriod);
const slowEMA = calculateEMA(closes, slowPeriod);
// MACDライン = 短期EMA - 長期EMA
const macd: number[] = new Array(closes.length).fill(NaN);
for (let i = 0; i < closes.length; i++) {
if (!isNaN(fastEMA[i]) && !isNaN(slowEMA[i])) {
macd[i] = fastEMA[i] - slowEMA[i];
}
}
// シグナルライン = MACDのEMA
// 有効なMACDの値のみを使ってEMAを計算
const validMacdStart = slowPeriod - 1;
const macdForSignal = macd.slice(validMacdStart).filter(v => !isNaN(v));
const signalEMA = calculateEMA(macdForSignal, signalPeriod);
// シグナルを元の配列に戻す
const signal: number[] = new Array(closes.length).fill(NaN);
let signalIdx = 0;
for (let i = validMacdStart; i < closes.length; i++) {
if (!isNaN(macd[i])) {
signal[i] = signalEMA[signalIdx];
signalIdx++;
}
}
// ヒストグラム = MACD - シグナル
const histogram: number[] = new Array(closes.length).fill(NaN);
for (let i = 0; i < closes.length; i++) {
if (!isNaN(macd[i]) && !isNaN(signal[i])) {
histogram[i] = macd[i] - signal[i];
}
}
return { macd, signal, histogram };
}
/**
* 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.fast >= normalized.slow) {
errors.push('fast period must be less than slow period');
}
if (normalized.fast < 2) {
errors.push('fast period must be at least 2');
}
if (normalized.signal < 2) {
errors.push('signal period must be at least 2');
}
return {
valid: errors.length === 0,
errors,
normalizedParams: normalized,
};
}
/**
* MACDクロスオーバー戦略
*/
export const macdCrossStrategy: Strategy = {
name: 'MACD Crossover',
type: 'macd_cross',
requiredBars: 35, // slow(26) + signal(9)
defaultParams: DEFAULT_PARAMS,
generate(candles: Candle[], params: Record<string, number>): Signal[] {
const { fast, slow, signal: signalPeriod } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const { macd, signal } = calculateMACD(closes, fast, slow, signalPeriod);
const signals: Signal[] = [];
const startIdx = slow + signalPeriod; // MACD + シグナルが有効 + 前日比較用
for (let i = 0; i < candles.length; i++) {
if (i < startIdx) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
const prevMACD = macd[i - 1];
const prevSignal = signal[i - 1];
const currMACD = macd[i];
const currSignal = signal[i];
if (isNaN(prevMACD) || isNaN(prevSignal) || isNaN(currMACD) || isNaN(currSignal)) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
// ゴールデンクロス: MACDがシグナルを上抜け
if (prevMACD <= prevSignal && currMACD > currSignal) {
signals.push({
time: candles[i].time,
action: 'buy',
reason: `MACD Golden Cross: MACD(${currMACD.toFixed(0)}) > Signal(${currSignal.toFixed(0)})`,
});
}
// デッドクロス: MACDがシグナルを下抜け
else if (prevMACD >= prevSignal && currMACD < currSignal) {
signals.push({
time: candles[i].time,
action: 'sell',
reason: `MACD Dead Cross: MACD(${currMACD.toFixed(0)}) < Signal(${currSignal.toFixed(0)})`,
});
}
// 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 { fast, slow, signal: signalPeriod } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const { macd, signal, histogram } = calculateMACD(closes, fast, slow, signalPeriod);
return [
{
type: 'line' as const,
name: `MACD(${fast},${slow})`,
color: '#22c55e',
data: macd,
panel: 'indicator' as const,
},
{
type: 'line' as const,
name: `Signal(${signalPeriod})`,
color: '#f97316',
data: signal,
panel: 'indicator' as const,
},
{
type: 'histogram' as const,
name: 'Histogram',
positiveColor: 'rgba(34, 197, 94, 0.7)',
negativeColor: 'rgba(239, 68, 68, 0.7)',
data: histogram,
panel: 'indicator' as const,
},
];
},
};
export default macdCrossStrategy;
