Add script for generating swing trading signals based on the Connors VIX Reversal 2 strategy

strategies/vix_reversal_2.py

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+import numpy as np
+
+from pandas import DataFrame, Series
+
+from daily_data import get_daily_data
+
+def calculate_rsi(data: DataFrame, period: int = 5) -> Series:
+    """
+    Calculate the RSI and return it as a Series without modifying the original DataFrame.
+    """
+    delta = data['Close'].diff()
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+
+    alpha = 1 / period
+    avg_gain = Series(gain).ewm(alpha = alpha, adjust = False).mean()
+    avg_loss = Series(loss).ewm(alpha = alpha, adjust = False).mean()
+
+    rs = avg_gain / avg_loss
+    return 100 - (100 / (1 + rs))
+
+def signals(data: DataFrame) -> Series:
+    """
+    Generate swing trading signals based on the Connors VIX Reversal 2 strategy.
+    Returns a Series with 'L' for long signals and 'N' for no signal.
+    """
+    start_date = data['Date'].min()
+    end_date = data['Date'].max()
+    vix_data = get_daily_data(symbol = 'VIX.XO', start_date = start_date, end_date = end_date)
+
+    vix_rsi_5 = calculate_rsi(vix_data, period = 5)
+
+    vix_rsi_above_70 = vix_rsi_5.shift(1) > 70
+    vix_close_below_prev_close = vix_data['Close'] < vix_data['Close'].shift(1)
+
+    signals = Series('N', index = data.index)
+    signals[vix_rsi_above_70 & vix_close_below_prev_close] = 'L'
+    return signals