Add script for calculating the 2-period RSI and generating signals

strategies/2_period_rsi.py

@@ -0,0 +1,41 @@
+import pandas as pd
+import numpy as np
+
+from datetime import datetime, timedelta
+from ohlc import ohlc
+
+symbol = 'SPY'
+today = datetime.today()
+data = ohlc(symbol = symbol, start_date = today - timedelta(days = 365), end_date = today)
+
+def calculate_moving_average(data, window = 200):
+    data['200_MA'] = data['Close'].rolling(window = window).mean()
+    return data
+
+def calculate_rsi(data, period = 2):
+    delta = data['Close'].diff()
+
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+
+    alpha = 1 / period
+    avg_gain = pd.Series(gain).ewm(alpha = alpha, adjust = False).mean()
+    avg_loss = pd.Series(loss).ewm(alpha = alpha, adjust = False).mean()
+
+    rs = avg_gain / avg_loss
+    rsi = 100 - (100 / (1 + rs))
+    data['RSI_2'] = rsi
+    return data
+
+def generate_signals(data):
+    conditions = (data['Close'] > data['200_MA']) & (data['RSI_2'] < 5)
+    data['Signal'] = np.where(conditions, 'Long', 'None')
+    return data
+
+data['Date'] = pd.to_datetime(data['Date'])
+
+data = calculate_moving_average(data)
+data = calculate_rsi(data)
+data = generate_signals(data)
+
+print(data)