Add script for generating Double 5's swing trading signals

strategies/double_5s.py

@@ -0,0 +1,22 @@
+import pandas as pd
+
+def signals(data: pd.DataFrame) -> pd.Series:
+    """
+    Generate trading signals based on the following rules:
+    1. SPY is above its 200-day moving average.
+    2. Enter a long position if SPY closes at a 5-day low.
+
+    This strategy is based on the Double 7's strategy by Larry Connors.
+
+    Returns a Series with 'L' for long signals and 'N' for no signal.
+    """
+    ma_200 = data['Close'].rolling(window = 200).mean()
+    low_5_day = data['Close'].rolling(window = 5).min()
+
+    above_200_ma = data['Close'] > ma_200
+    at_5_day_low = data['Close'] == low_5_day
+
+    signals = pd.Series('N', index = data.index)
+    signals[above_200_ma & at_5_day_low] = 'L'
+
+    return signals