27 lines
1.1 KiB
Python
27 lines
1.1 KiB
Python
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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 signals(data: DataFrame) -> Series:
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"""
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Generate signals based on the Put / Call Ratio Highs 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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above_200_ma = data['Close'] > data['Close'].rolling(window = 200).mean()
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start_date = data['Date'].min()
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end_date = data['Date'].max()
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put_volume = get_daily_data(symbol = 'VPOT.Z', start_date = start_date, end_date = end_date)
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call_volume = get_daily_data(symbol = 'VCOT.Z', start_date = start_date, end_date = end_date)
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# The put and call volume data contains extraneous data for holidays when the market is closed.
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put_volume = put_volume[put_volume['Date'].isin(data['Date'])].reset_index(drop = True)
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call_volume = call_volume[call_volume['Date'].isin(data['Date'])].reset_index(drop = True)
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put_call_ratio = put_volume['Close'] / call_volume['Close']
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put_call_high_5_day = put_call_ratio == put_call_ratio.rolling(window = 5).max()
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signals = Series('N', index = data.index)
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signals[above_200_ma & put_call_high_5_day] = 'L'
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return signals
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