23 lines
790 B
Python
23 lines
790 B
Python
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from pandas import DataFrame, Series
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from ohlc import ohlc
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def signals(data: DataFrame) -> Series:
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"""
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Generate long signals based on the VIX 15-day high 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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ma_200 = data['Close'].rolling(window = 200).mean()
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above_200_ma = data['Close'] > ma_200
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start_date = data['Date'].min()
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end_date = data['Date'].max()
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vix_data = ohlc(symbol='VIX.XO', start_date=start_date, end_date=end_date)
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vix_15_day_high = vix_data['High'] == vix_data['High'].rolling(window = 15).max()
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vix_close_below_open = vix_data['Close'] < vix_data['Open']
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signals = Series('N', index = data.index)
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signals[above_200_ma & vix_15_day_high & vix_close_below_open] = 'L'
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return signals
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