46 lines
1.4 KiB
Python
46 lines
1.4 KiB
Python
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import numpy as np
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from pandas import DataFrame, Series
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from ohlc import ohlc
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def calculate_rsi(data: DataFrame, period: int = 2) -> 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 long signals based on the TRIN strategy with the following rules:
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1. SPY is above its 200-day moving average
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2. 2-period RSI is below 50
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3. TRIN closes above 1
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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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rsi_2 = calculate_rsi(data, period = 2)
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start_date = data['Date'].min()
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end_date = data['Date'].max()
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trin_data = ohlc(symbol = 'RINT.Z', start_date = start_date, end_date = end_date)
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trin_above_1 = trin_data['Close'] > 1
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above_200_ma = data['Close'] > ma_200
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rsi_below_50 = rsi_2 < 50
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signals = Series('N', index = data.index)
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signals[above_200_ma & rsi_below_50 & trin_above_1] = 'L'
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return signals
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