38 lines
1.3 KiB
Python
38 lines
1.3 KiB
Python
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import numpy as np
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from pandas import DataFrame, Series
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from daily_data import get_daily_data
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def calculate_rsi(data: DataFrame, period: int = 5) -> Series:
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"""
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Calculate the RSI and return it as a Series without modifying the original DataFrame.
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"""
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delta = data['Close'].diff()
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gain = np.where(delta > 0, delta, 0)
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loss = np.where(delta < 0, -delta, 0)
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alpha = 1 / period
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avg_gain = Series(gain).ewm(alpha = alpha, adjust = False).mean()
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avg_loss = Series(loss).ewm(alpha = alpha, adjust = False).mean()
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rs = avg_gain / avg_loss
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return 100 - (100 / (1 + rs))
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def signals(data: DataFrame) -> Series:
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"""
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Generate swing trading signals based on the Connors VIX Reversal 2 strategy.
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Returns a Series with 'L' for long signals and 'N' for no signal.
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"""
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start_date = data['Date'].min()
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end_date = data['Date'].max()
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vix_data = get_daily_data(symbol = 'VIX.XO', start_date = start_date, end_date = end_date)
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vix_rsi_5 = calculate_rsi(vix_data, period = 5)
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vix_rsi_above_70 = vix_rsi_5.shift(1) > 70
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vix_close_below_prev_close = vix_data['Close'] < vix_data['Close'].shift(1)
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signals = Series('N', index = data.index)
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signals[vix_rsi_above_70 & vix_close_below_prev_close] = 'L'
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return signals
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