21 lines
769 B
Python
21 lines
769 B
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 long signals based on the Connors VIX Reversal 3 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_ma_50 = vix_data['Close'].rolling(window = 50).mean()
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vix_low_above_50_ma = vix_data['Low'] > vix_ma_50
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vix_close_10_percent_above_ma = vix_data['Close'] >= (1.1 * vix_ma_50)
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signals = Series('N', index = data.index)
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signals[vix_low_above_50_ma & vix_close_10_percent_above_ma] = 'L'
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return signals
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