22 lines
710 B
Python
22 lines
710 B
Python
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import pandas as pd
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def signals(data: pd.DataFrame) -> pd.Series:
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"""
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Generate trading signals based on the following rules:
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1. SPY is above its 200-day moving average.
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2. Enter a long position if SPY closes at a 5-day low.
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This strategy is based on the Double 7's strategy by Larry Connors.
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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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ma_200 = data['Close'].rolling(window = 200).mean()
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low_5_day = data['Close'].rolling(window = 5).min()
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above_200_ma = data['Close'] > ma_200
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at_5_day_low = data['Close'] == low_5_day
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signals = pd.Series('N', index = data.index)
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signals[above_200_ma & at_5_day_low] = 'L'
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return signals
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